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On conditional McKean Lagrangian stochastic models

Probability theory and related fields, 2011-10, Vol.151 (1-2), p.319-351

2011

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Stochastic Simulation and Monte Carlo Methods: Mathematical Foundations of Stochastic Simulation

2013

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A hypothesis test for the domain of attraction of a random variable

Probability and statistics, 2024-07

2024

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A new McKean–Vlasov stochastic interpretation of the parabolic–parabolic Keller–Segel model: The one-dimensional case

Bernoulli : official journal of the Bernoulli Society for Mathematical Statistics and Probability, 2020-05, Vol.26 (2), p.1323-1353

2020

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A Pseudo-Markov Property for Controlled Diffusion Processes

SIAM journal on control and optimization, 2016-01, Vol.54 (2), p.1017-1029

2016

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The Euler scheme for Lévy driven stochastic differential equations

The Annals of probability, 1997, Vol.25 (1), p.393-423

1997

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Numerical Methods in Finance

1997

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A symmetrized Euler scheme for an efficient approximation of reflected diffusions

Journal of applied probability, 2004-09, Vol.41 (3), p.877-889

2004

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ON A WASSERSTEIN-TYPE DISTANCE BETWEEN SOLUTIONS TO STOCHASTIC DIFFERENTIAL EQUATIONS

The Annals of applied probability, 2019-06, Vol.29 (3), p.1609-1639

2019

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Mean-Field Limit of a Stochastic Particle System Smoothly Interacting Through Threshold Hitting-Times and Applications to Neural Networks with Dendritic Component

SIAM journal on mathematical analysis, 2015-01, Vol.47 (5), p.3884-3916

2015

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A stochastic particle method for the McKean-Vlasov and the Burgers equation

Mathematics of computation, 1997-01, Vol.66 (217), p.157-192

1997

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One-dimensional parabolic diffraction equations: pointwise estimates and discretization of related stochastic differential equations with weighted local times

Electronic journal of probability, 2012, Vol.17 (none)

2012

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Monte Carlo and Quasi-Monte Carlo Methods 2004

1. Aufl., 2005

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On mean numbers of passage times in small balls of discretized Itô processes

Electronic communications in probability, 2009-01, Vol.14 (none), p.302-316

2009

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Convergence rate of the Sherman and Peskin branching stochastic particle method

Proceedings of the Royal Society. A, Mathematical, physical, and engineering sciences, 2004-01, Vol.460 (2041), p.199-220

2004

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Expansion of the global error for numerical schemes solving stochastic differential equations

Stochastic analysis and applications, 1990-01, Vol.8 (4), p.483-509

1990

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Probabilistic Models for Nonlinear Partial Differential Equations: Lectures Given at the 1st Session of the Centro Internazionale Matematico Estivo (C. I. M. E. ) Held in Montecatini Terme, Italy, May 22-30 1995

1996 edition., 2006

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Noise Sensitivity of Functionals of Fractional Brownian Motion Driven Stochastic Differential Equations: Results and Perspectives

Modern Problems of Stochastic Analysis and Statistics, 2017, Vol.208, p.219-235

2017

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Mean-field limit of a particle approximation of the one-dimensional parabolic-parabolic Keller-Segel model without smoothing

Electronic communications in probability, 2018-01, Vol.23 (none)

2018

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Stochastic Simulation and Monte Carlo Methods: Mathematical Foundations of Stochastic Simulation

2013

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Liquidity Costs: A New Numerical Methodology and an Empirical Study

Applied mathematical finance., 2016-01, Vol.23 (1), p.57-79

2016

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On a Monte Carlo method for neutron transport criticality computations

IMA journal of numerical analysis, 2006-10, Vol.26 (4), p.657-685

2006

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Discrétisation d'équations différentielles stochastiques unidimensionnelles à générateur sous forme divergence avec coefficient discontinu

Comptes rendus. Mathématique, 2006, Vol.342 (1), p.51-56

2006

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Derivatives of Solutions of Semilinear Parabolic PDEs and Variational Inequalities with Neumann Boundary Conditions

Stochastic Analysis and Related Topics, 2012, p.153-167

2012

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Monte Carlo and Quasi-Monte Carlo Methods 2004

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On conditional McKean Lagrangian stochastic models

Stochastic Simulation and Monte Carlo Methods: Mathematical Foundations of Stochastic Simulation

A hypothesis test for the domain of attraction of a random variable

A new McKean–Vlasov stochastic interpretation of the parabolic–parabolic Keller–Segel model: The one-dimensional case

A Pseudo-Markov Property for Controlled Diffusion Processes

The Euler scheme for Lévy driven stochastic differential equations

Numerical Methods in Finance

A symmetrized Euler scheme for an efficient approximation of reflected diffusions

ON A WASSERSTEIN-TYPE DISTANCE BETWEEN SOLUTIONS TO STOCHASTIC DIFFERENTIAL EQUATIONS

Mean-Field Limit of a Stochastic Particle System Smoothly Interacting Through Threshold Hitting-Times and Applications to Neural Networks with Dendritic Component

A stochastic particle method for the McKean-Vlasov and the Burgers equation

One-dimensional parabolic diffraction equations: pointwise estimates and discretization of related stochastic differential equations with weighted local times

Monte Carlo and Quasi-Monte Carlo Methods 2004

On mean numbers of passage times in small balls of discretized Itô processes

Convergence rate of the Sherman and Peskin branching stochastic particle method

Expansion of the global error for numerical schemes solving stochastic differential equations

Probabilistic Models for Nonlinear Partial Differential Equations: Lectures Given at the 1st Session of the Centro Internazionale Matematico Estivo (C. I. M. E. ) Held in Montecatini Terme, Italy, May 22-30 1995

Noise Sensitivity of Functionals of Fractional Brownian Motion Driven Stochastic Differential Equations: Results and Perspectives

Mean-field limit of a particle approximation of the one-dimensional parabolic-parabolic Keller-Segel model without smoothing

Stochastic Simulation and Monte Carlo Methods: Mathematical Foundations of Stochastic Simulation

Liquidity Costs: A New Numerical Methodology and an Empirical Study

On a Monte Carlo method for neutron transport criticality computations

Discrétisation d'équations différentielles stochastiques unidimensionnelles à générateur sous forme divergence avec coefficient discontinu

Derivatives of Solutions of Semilinear Parabolic PDEs and Variational Inequalities with Neumann Boundary Conditions

Monte Carlo and Quasi-Monte Carlo Methods 2004

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