Voir Aussi

• [Multi angle] Forward and backward simulation of Euler scheme / Auteur de la conférence Gobet, Emmanuel.
• [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] 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.

Bouchard, B., Tan, X., Warin, X., & Zou, Y. (2017). Numerical approximation of BSDEs using local polynomial drivers and branching processes. - https://arxiv.org/abs/1612.06790


Debrabant, K., & Jakobsen, E.R. (2013). Semi-Lagrangian schemes for linear and fully non-linear diffusion equations. Mathematics of Computation, 82(283), 433-1462 - https://doi.org/10.1090/S0025-5718-2012-02632-9


Doumbia, M., Oudjane, N., & Warin, X. (2016). Unbiased Monte Carlo estimate of stochastic differential equations expectations. - https://arxiv.org/abs/1601.03139


Fahim, A., Touzi, N., & Warin, X. (2011). A probabilistic numerical method for fully nonlinear parabolic PDEs. The Annals of Applied Probability, 21(4), 1322-1364 - http://dx.doi.org/10.1214/10-AAP723


Gevret, H., Lelong, J., & Warin, X. (2016). STochastic OPTimization library in C++. - https://hal.archives-ouvertes.fr/hal-01361291


Henry-Labordere, P., Tan, X., & Touzi, N. (2015). Unbiased simulation of stochastic differential equations. - https://arxiv.org/abs/1504.06107


Henry-Labordere, P. (2012). Counterparty risk valuation: a marked branching diffusion approach. Preprint - http://dx.doi.org/10.2139/ssrn.1995503


McKean, H.P. (1975). Application of Brownian motion to the equation of Kolmogorov-Petrovskii- Piskunov. Communications on Pure and Applied Mathematics, 28, 323-331 - http://dx.doi.org/10.1002/cpa.3160280302


Warin, X. (2017). Variations on branching methods for non linear PDEs. - https://arxiv.org/abs/1701.07660


Warin, X. (2013). Some non monotone schemes for time dependent Hamilton-Jacobi-Bellman equations in stochastic control. - https://arxiv.org/abs/1310.6121