Voir aussi

• [Multi angle] Stochastic variational inequalities for random mechanics / Auteur de la Conférence Mertz, Laurent.
• [Multi angle] Mean field type control with congestion / Auteur de la Conférence Laurière, Mathieu.
• [Multi angle] On the discretization of some nonlinear Fokker-Planck-Kolmogorov equations and applications / Auteur de la Conférence Silva Álvarez, Francisco José.
• [Multi angle] Project evaluation under uncertainty / Auteur de la Conférence Zubelli, Jorge P..
• [Multi angle] Some asymptotic results about American options and volativity / Auteur de la Conférence De Marco, Stefano.
• [Multi angle] Projected particle methods for solving McKean Vlasov SDEs / Auteur de la Conférence Belomestny, Denis.
• [Multi angle] Splitting algorithm for nested events / Auteur de la Conférence Goudenège, Ludovic.
• [Multi angle] Lecture 2: Introduction to HPC - MPI: design of parallel program and MPI / Auteur de la Conférence Lelong, Jérôme.
• [Multi angle] Lecture 1: Introduction to HPC, random generation, and OpenMP / Auteur de la Conférence Lelong, Jérôme.
• [ Post-edited] Numerical methods for mean field games - Lecture 2: Monotone finite difference schemes / Auteur de la Conférence Achdou, Yves.
• [Multi angle] Numerical methods for mean field games - Lecture 3: Variational MFG and related algorithms for solving the discrete system of nonlinear equations / Auteur de la Conférence Achdou, Yves.
• [Multi angle] Numerical methods for mean field games - Lecture 1: Introduction to the system of PDEs and its interpretation. Uniqueness of classical solutions / Auteur de la Conférence Achdou, Yves.
• [Multi angle] Metamodels for uncertainty quantification and reliability analysis / Auteur de la Conférence Marelli, Stefano.
• [Multi angle] Global sensitivity analysis in stochastic systems / Auteur de la Conférence Le Maître, Olivier.
• [Multi angle] Subsurface flow with uncertainty : applications and numerical analysis issues / Auteur de la Conférence Charrier, Julia.
• [Multi angle] Dynamic formulations of optimal transportation and variational MFGs / Auteur de la Conférence Benamou, Jean-David.
• [Multi angle] Least squares regression Monte Carlo for approximating BSDES and semilinear PDES / Auteur de la Conférence Turkedjiev, Plamen.
• [Multi angle] Bandits in auctions (& more) / Auteur de la Conférence Perchet, Vianney.
• [Multi angle] Multilevel and multi-index sampling methods with applications - Lecture 2: Multilevel and Multi-index Monte Carlo methods for the McKean-Vlasov equation / Auteur de la Conférence Tempone, Raul.
• [Multi angle] Multilevel and multi-index sampling methods with applications - Lecture 1: Adaptive strategies for Multilevel Monte Carlo / Auteur de la Conférence Tempone, Raul.
• [Multi angle] Model-free control and deep learning / Auteur de la Conférence Bellemare, Marc.
• [Multi angle] Optimal vector quantization: from signal processing to clustering and numerical probability / Auteur de la Conférence Pagès, Gilles.
• [Multi angle] The Metropolis Hastings algorithm: introduction and optimal scaling of the transient phase / Auteur de la Conférence Jourdain, Benjamin.
• [Multi angle] Branching for PDEs / Auteur de la Conférence Warin, Xavier.
• [Multi angle] On the interplay between kinetic theory and game theory / Auteur de la Conférence Degond, Pierre.
• [Multi angle] Particle algorithm for McKean SDE: a short review on numerical analysis / Auteur de la Conférence Bossy, Mireille.
• [Multi angle] Cubature methods and applications / Auteur de la Conférence Crisan, Dan.
• [Multi angle] Capacity expansion games with application to competition in power generation investments / Auteur de la Conférence Aïd, René.
• [Multi angle] An introduction to BSDE / Auteur de la Conférence Imkeller, Peter.
• [Multi angle] Mean field games with major and minor players / Auteur de la Conférence Carmona, René.

Aïd, R., Campi, L., Langrené, N., & Pham, H. (2014). A probabilistic numerical method for optimal multiple switching problem in high dimension. SIAM Journal on Financial Mathematics, 5(1), 191-231 - http://dx.doi.org/10.1137/120897298


Cohort, P., Gobet, E., & Mrad, M. (2016). Forward and backward Euler scheme and Random Number Generator inversion. Preprint -


El Karoui, N., & Mrad, M. (2013). An exact connection between two solvable SDEs and a nonlinear utility stochastic PDE. SIAM Journal on Financial Mathematics, 4(1), 697-736 - http://dx.doi.org/10.1137/10081143x


Gobet, E., & Mrad, M. (2015). Convergence rate of strong approximations of compound random maps. - https://hal.archives-ouvertes.fr/hal-01141320


Gobet, E., & Mrad, M. (2017). Strong approximation of stochastic processes at random times and application to their exact simulation. Stochastics, 1-13 - http://10.1080/17442508.2016.1267179


Kunita, H. (1997). Stochastic flows and stochastic differential equations. Cambridge: Cambridge University Press - http://www.cambridge.org/fr/academic/subjects/statistics-probability/probability-theory-and-stochastic-processes/stochastic-flows-and-stochastic-differential-equations?format=PB


L'Ecuyer, P. (1988). Efficient and portable combined random number generators. Communications of the ACM, 31(6), 742-774 - http://dx.doi.org/10.1145/62959.62969


Longstaff, F., & Schwartz, E.S. (2001). Valuing American options by simulation: A simple least squares approach. The Review of Financial Studies, 14(1), 113-147 - http://dx.doi.org/10.1093/rfs/14.1.113


Panneton, F., & L'Ecuyer, P. (2006). Improved long-period generators based on linear recurrences modulo 2. ACM Transactions on Mathematical Software, 32(1), 1-16 - http://dx.doi.org/10.1145/1132973.1132974