Project-Team Tosca
Members
Overall Objectives
Research Program
Application Domains
Software and Platforms
New Results
Bilateral Contracts and Grants with Industry
Partnerships and Cooperations
Dissemination
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Bibliography

Major publications by the team in recent years
  • 1C. Blanchet-Scalliet, A. Diop, R. Gibson, D. Talay, E. Tanré.
    Technical analysis compared to mathematical models based methods under parameters mis-specification, in: Journal of Banking and Finance, 2007, vol. 31, no 5, pp. 1351–1373.
  • 2M. Bossy, E. Gobet, D. Talay.
    A symmetrized Euler scheme for an efficient approximation of reflected diffusions, in: J. Appl. Probab., 2004, vol. 41, no 3, pp. 877–889.
  • 3M. Bossy, B. Jourdain.
    Rate of convergence of a particle method for the solution of a 1D viscous scalar conservation law in a bounded interval, in: Ann. Probab., 2002, vol. 30, no 4, pp. 1797–1832.
  • 4N. Champagnat.
    A microscopic interpretation for adaptive dynamics trait substitution sequence models, in: Stochastic Process. Appl., 2006, vol. 116, no 8, pp. 1127–1160.
  • 5M. Deaconu, N. Fournier, E. Tanré.
    A pure jump Markov process associated with Smoluchowski's coagulation equation, in: Ann. Probab., 2002, vol. 30, no 4, pp. 1763–1796.
  • 6S. Herrmann, P. Imkeller, D. Peithmann.
    Transition times and stochastic resonance for multidimensional diffusions with time periodic drift: a large deviations approach, in: Ann. Appl. Probab., 2006, vol. 16, no 4, pp. 1851–1892.
  • 7A. Lejay.
    An introduction to rough paths, in: Séminaire de Probabilités XXXVII, Berlin, Lecture Notes in Math., Springer, 2003, vol. 1832, pp. 1–59.
  • 8A. Lejay, M. Martinez.
    A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients, in: Ann. Appl. Probab., 2006, vol. 16, no 1, pp. 107–139.
  • 9B. Roynette, P. Vallois, M. Yor.
    Pénalisations et quelques extensions du théorème de Pitman, relatives au mouvement Brownien et à son maximum unilatère, in: In memoriam Paul-André Meyer: Séminaire de Probabilités XXXIX, Berlin, Lecture Notes in Math., Springer, 2006, vol. 1874, pp. 305–336.
  • 10D. Talay, Z. Zheng.
    Approximation of quantiles of components of diffusion processes, in: Stochastic Process. Appl., 2004, vol. 109, no 1, pp. 23–46.
Publications of the year

Doctoral Dissertations and Habilitation Theses

Articles in International Peer-Reviewed Journals

  • 12M. Bossy, J. Fontbona, P.-E. Jabin, J. F. Jabir.
    Local existence of analytical solutions to an incompressible Lagrangian stochastic model in a periodic domain, in: Communications in Partial Differential Equations, June 2013, vol. 38, no 7, pp. 1141-1182. [ DOI : 10.1080/03605302.2013.786727 ]
    http://hal.inria.fr/hal-00691712
  • 13N. Champagnat, P.-E. Jabin, S. Méléard.
    Adaptation in a stochastic multi-resources chemostat model, in: Journal de Mathématiques Pures et Appliquées, October 2013. [ DOI : 10.1016/j.matpur.2013.10.003 ]
    http://hal.inria.fr/hal-00784166
  • 14N. Champagnat, A. Lambert.
    Splitting trees with neutral Poissonian mutations II: Largest and Oldest families, in: Stochastic Processes and their Applications, 2013, vol. 123, no 4, pp. 1368-1414. [ DOI : 10.1016/j.spa.2012.11.013 ]
    http://hal.inria.fr/inria-00616765
  • 15M. Deaconu, S. Herrmann.
    Hitting time for Bessel processes - walk on moving spheres algorithm (WoMS), in: Annals of Applied Probability, 2013, 26 p.
    http://hal.inria.fr/hal-00636056
  • 16A. Lejay, S. Maire.
    New Monte Carlo schemes for simulating diffusions in discontinuous media, in: Journal of Computational and Applied Mathematics, January 2013.
    http://hal.inria.fr/hal-00689581
  • 17S. Maire, E. Tanré.
    Monte Carlo approximations of the Neumann problem, in: Monte Carlo Methods and Applications, September 2013, vol. 19, no 3, pp. 201-236. [ DOI : 10.1515/mcma-2013-0010 ]
    http://hal.inria.fr/hal-00677529
  • 18D. Villemonais.
    General approximation method for the distribution of Markov processes conditioned not to be killed, in: ESAIM: Probability and Statistics, July 2013, 33 pages, revision of the paper formerly entitled "Interacting particle processes and approximation of Markov processes conditioned to not be killed". [ DOI : 10.1051/ps/2013045 ]
    http://hal.inria.fr/hal-00598085
  • 19D. Villemonais.
    Uniform tightness for time-inhomogeneous particle systems and for conditional distributions of time-inhomogeneous diffusion processes, in: Markov Processes and Related Fields, 2013, vol. 19, no 3, pp. 543 - 562, 20 pages.
    http://hal.inria.fr/hal-00681601

Invited Conferences

  • 20A. Lejay, S. Maire, G. Pichot.
    Monte Carlo simulations in media with interfaces, in: Interplay of Theory and Numerics for Deterministic and Stochastic Homogenization, Oberwolfach, Germany, G. Bail, B. Engquist, C. Le Bris, H. Owhadi (editors), Oberwolfach Report, Mathematisches Forschungsinstitut Oberwolfach, May 2013, vol. 14/2013, pp. 38-30. [ DOI : 10.4171/OWR/2013/14 ]
    http://hal.inria.fr/hal-00819900

National Conferences with Proceedings

  • 21P. Charton.
    Gestion optimale d'une ferme éolienne couplée à un dispositif de stockage, in: Congrès SMAI 2013, Seignosse, France, January 2014.
    http://hal.inria.fr/hal-00926831

Scientific Books (or Scientific Book chapters)

  • 22D. Talay, C. Graham.
    Stochastic Simulation and Monte Carlo Methods. Mathematical Foundations of Stochastic Simulation, Stochastic Modelling and Applied Probability, Springer, 2013, vol. 68, 268 p.
    http://hal.inria.fr/hal-00954842

Books or Proceedings Editing

  • 23C. Donati-Martin, A. Lejay, A. Rouault (editors)
    Séminaire de Probabilités XLV, Lecture Notes in Mathematics, Springer, June 2013, vol. 2078, 558 p. [ DOI : 10.1007/978-3-319-00321-4 ]
    http://hal.inria.fr/hal-00849019

Internal Reports

  • 24S. Boukherouaa, N. Champagnat, M. Deaconu, A. Lejay.
    Mesure de risques : calcul de la Value-at-Risk et application à la gestion de portefeuilles, January 2013, 77 p.
    http://hal.inria.fr/hal-00780460
  • 25N. Champagnat, M. Deaconu, A. Lejay, K. Salhi.
    Mesure de risque : detection du regime de crise et calcul de la Value-at-Risk, November 2013, 67 p.
    http://hal.inria.fr/hal-00942009
  • 26O. Faugeras, J. Inglis.
    Stochastic neural field equations: A rigorous footing, November 2013, 40 p.
    http://hal.inria.fr/hal-00907555

Other Publications

  • 27J. Alif.
    Une approximation de la queue de la densite du cours de l'actif dans le modèle de Heston, Université de Lorraine, Metz, September 2013, 49 p.
    http://hal.inria.fr/hal-00860620
  • 28L. Beznea, M. Deaconu, O. Lupascu.
    Branching processes and stochastic fragmentation equation, February 2014.
    http://hal.inria.fr/hal-00948876
  • 29M. Bossy, J.-F. Jabir.
    Lagrangian stochastic models with specular boundary condition, 2013.
    http://hal.inria.fr/hal-00875040
  • 30M. Bossy, N. Maizi, O. Pourtallier.
    Nash equilibrium for coupling of CO2 allowances and electricity markets, 2013.
    http://hal.inria.fr/hal-00913320
  • 31M. Bossy, O. Pourtallier, N. Maïzi.
    Design analysis mechanisms for carbon auction market through electricity market coupling, 2014.
    http://hal.inria.fr/hal-00954377
  • 32P. Cazeaux, P. Charton, N. Pham, L. Vinckenbosch, R. Zeineddine.
    Semaine d'Etude Mathématiques et Entreprises 5 : Propriétés asymptotiques de processus à volatilité stochastique, 2013.
    http://hal.inria.fr/hal-00833375
  • 33N. Champagnat, M. Deaconu, A. Lejay, N. Navet, S. Boukherouaa.
    An empirical analysis of heavy-tails behavior of financial data: The case for power laws, 2013.
    http://hal.inria.fr/hal-00851429
  • 34N. Champagnat, P.-E. Jabin.
    Strong solutions to stochastic differential equations with rough coefficients, March 2013.
    http://hal.inria.fr/hal-00799242
  • 35P. Charton.
    Optimal Operation of a Wind Farm equipped with a Storage Unit, June 2013.
    http://hal.inria.fr/hal-00834142
  • 36J. Claisse, D. Talay, X. Tan.
    A note on solutions to controlled martingale problems and their conditioning, 2013.
    http://hal.inria.fr/hal-00809304
  • 37L. Coutin, A. Lejay.
    Sensitivity of rough differential equations, October 2013.
    http://hal.inria.fr/hal-00875670
  • 38M. Deaconu, S. Herrmann.
    Simulation of hitting times for Bessel processes with non integer dimension, 2014.
    http://hal.inria.fr/hal-00933198
  • 39M. Deaconu, S. Herrmann, S. Maire.
    Exit problem for Brownian motion : An algorithm using Bessel processes, 2014.
    http://hal.inria.fr/hal-00931816
  • 40F. Delarue, J. Inglis, S. Rubenthaler, E. Tanré.
    First hitting times for general non-homogeneous 1d diffusion processes: density estimates in small time, October 2013.
    http://hal.inria.fr/hal-00870991
  • 41A. Kohatsu-Higa, A. Lejay, K. Yasuda.
    Weak approximation errors for stochastic differential equations with non-regular drift, 2013.
    http://hal.inria.fr/hal-00840211
  • 42S. Larnier, R. Almar, R. Cienfuegos, A. Lejay.
    Détection de courants marins côtiers à partir de séquences vidéo, 2013.
    http://hal.inria.fr/hal-00868401
  • 43S. Larnier, R. Almar, R. Cienfuegos, A. Lejay.
    On the use of the Radon transform to estimate longshore currents from video imagery, 2013.
    http://hal.inria.fr/hal-00917807
  • 44S. Maire, G. Nguyen.
    Stochastic finite differences for elliptic diffusion equations in stratified domains, September 2013.
    http://hal.inria.fr/hal-00809203
  • 45S. Martinez, J. S. Martin, D. Villemonais.
    Existence and uniqueness of a quasi-stationary distribution for Markov processes with fast return from infinity, 2013, 17 pages.
    http://hal.inria.fr/hal-00944275
  • 46K. Salhi.
    Mesure de risque : detection du regime de crise et calcul de la Value-at-Risk, Université de Lorraine, Nancy, September 2013, 61 p.
    http://hal.inria.fr/hal-00860614
  • 47S. H. Tan.
    Towards Efficient Risk Quantification - Using GPUs and Variance Reduction Technique, Universite de Nice Sophia-Antipolis (UNS), Sophia-Antipolis, September 2013, 51 p.
    http://hal.inria.fr/hal-00932233
References in notes
  • 48M. Bossy, J.-F. Jabir.
    On confined McKean Langevin processes satisfying the mean no-permeability boundary condition, in: Stochastic Processes and their Applications, 2011, vol. 121, no 12, pp. 2751 - 2775. [ DOI : 10.1016/j.spa.2011.07.006 ]
    http://www.sciencedirect.com/science/article/pii/S0304414911001773
  • 49L. Coutin, A. Lejay.
    Perturbed linear rough differential equations, August 2012, Centre IntraFacultaire Bernoulli (CIB).
    http://hal.inria.fr/hal-00722900
  • 50G. Crippa, C. De Lellis.
    Estimates and regularity results for the DiPerna-Lions flow, in: J. Reine Angew. Math., 2008, vol. 616, pp. 15–46.
    http://dx.doi.org/10.1515/CRELLE.2008.016
  • 51O. Faugeras, J. Maclaurin.
    A large deviation principle for networks of rate neurons with correlated synaptic weights, February 2013, 71 p.
    http://hal.archives-ouvertes.fr/hal-00785627
  • 52D. W. Ritchie, A. W. Ghoorah, L. Mavridis, V. Venkatraman.
    Fast Protein Structure Alignment using Gaussian Overlap Scoring of Backbone Peptide Fragment Similarity, in: Bioinformatics, 2012, vol. 28, no 24, pp. 3274–3281.
  • 53X. Zhang.
    Stochastic homeomorphism flows of SDEs with singular drifts and Sobolev diffusion coefficients, in: Electron. J. Probab., 2011, vol. 16, no 38, pp. 1096–1116.
    http://dx.doi.org/10.1214/EJP.v16-887

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