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Member of the ANR ReLISCoP


Published papers
  • Habilitation à diriger des recherches, June, 26 2024.
  • Donsker-Type Theorem for BSDEs: Rate of Convergence, with Philippe Briand, Christel Geiss and Stefan Geiss. Bernoulli 27(2), 2021.
  • Extreme Inundation Statistics on a Composite Beach, with Ahmed Abdalazeez, Ira Didenkulova and Denys Dutykh. Water, Vol 12, Issue 6, 2020.
  • Mean square rate of convergence for random walk approximation of forward-backward SDEs, with Christel Geiss and Antti Luoto. To appear in Advances in Applied Probability, 52.3.
  • Mean Reflected Stochastic Differential Equations with Jumps, with Philippe Briand and Abir Ghannoum. Advances in Applied Probability, Vol 52.2, pp. 523-562, 2020.
  • Particle systems and Numerical Schemes for Mean Reflected Stochastic Differential Equations, with Philippe Briand, Paul-Eric Chaudru de Raynal and Arnaud Guillin. Annals of Applied Probability, Vol 30(4), pp. 1884-1909, 2020.
  • Random walk approximation of BSDEs with Holder continuous terminal condition, with Christel Geiss and Antti Luoto. Bernoulli, Vol 26(1), pp. 159-190, 2020.
  • Simulation of BSDEs with jumps by Wiener Chaos Expansion, with Christel Geiss. Stochastic Processes and their Applications, Vol 126, pp. 2123-2162, 2016.
  • Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles , with Roxana Dumitrescu. Journal of Mathematical Analysis and Applications , Vol 442, Issue 1, pp. 206-243, 2016.
  • Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles, with Roxana Dumitrescu. Journal of computational and Applied Mathematics, Vol 296, pp. 827-839, 2016.
  • Simulation of BSDEs by Wiener Chaos Expansion, with Philippe Briand. Annals of Applied Probability, Vol 24, Issue 3, 1129-1171, 2014.
  • Stochastic Local Intensity Loss Models with Interacting Particle Systems, with Aurelien Alfonsi and Jerome Lelong. Mathematical Finance, Vol 26(2), 366-394, 2016.
  • A Parallel Algorithm for solving BSDEs, with Jerome Lelong. Monte Carlo Methods and Applications, Vol 9(1), 2013.
  • Long wave runup on random beaches, with Denys Dutykh and Dimitrios Mitsotakis. Physical Review Letters Vol.107(18), 2011.
  • Solving BSDE with adaptive control variate, with Emmanuel Gobet. SIAM Journal on Numerical Analysis, Vol 48(1), p. 257-277, 2010.
  • Parisian, Encyclopedia of Quantitative Finance, Wiley
  • Pricing double barrier Parisian Options using Laplace transforms, with Jerome Lelong. International Journal of Theoretical and Applied Finance, 12(1), p. 19-44, 2009.
  • Pricing Parisian Options using Laplace transforms, with Jerome Lelong. Banque & Marches, no 99, p 29-43, 2009.
  • Sharp estimates for the convergence of the density of the Euler scheme in small time, with Emmanuel Gobet. Elect. Comm. in Probab., 1,p 352-363, 2008. Correction of the proof of Theorem 5 here.
  • Error expansion for the discretization of Backward Stochastic Differential Equations, with Emmanuel Gobet. Stochastic Processes and their Applications, 117, p 803-829, 2007.
Preprints
  • Distance Rank Score: Unsupervised filter method for feature selection on imbalanced dataset, wtih Katarina Firdova and Arthur Martel. Submitted.
  • Simulation of McKean-Vlasov BSDEs by Wiener Chaos Expansion, with Celine Acary-Robert, Philippe Briand and Abir Ghannoum. Submitted.
  • An asymptotical method to estimate the parameters of a deteriorating system under condition-based maintenance , with Philippe Briand and Edwige Idee. 2013.
Proceedings
  • Lightweight Curvature Estimation on Point Clouds, with Jacques-Olivier Lachaud, David Coeurjolly, Pascal Romon and Boris Thibert. Eurographics Symposium on Geometry Processing, 2023
  • Run-up of narrow and wide-banded irregular waves on a beach, with Ahmed Abdalazeez, Ira Didenkulova and Denys Dutykh. European Geosciences Union General Assembly 2020, Vienna, Austria
  • A sequential Monte Carlo algorithm for solving BSDE, with Emmanuel Gobet. 6th International Congress on Industrial Applied Mathematics (ICIAM07), Zurich, Suisse.
Notes
  • Solving BSDE with adaptive control variate. A note on the rate of convergence of the operator P^k , with Emmanuel Gobet.
PhD students
  • Abir Ghannoum (2016-2019) Supervised with Philippe Briand. Mean reflected SDEs with jumps.
  • Katarina Firdova (2020-) Supervised with Laurent Vuillon, CIFRE contract with Optimistik. Time series anomaly detection using machine learning.
PhD in Applied Probability
  • EDSR: analyse de discretisation et resolution par methodes de Monte Carlo adaptatives; Perturbation de domaines pour les options americaines.
    October 2007.