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, n^o 5, p. 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, n^o 3, p. 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, n^o 4, p. 1797–1832.
4N. Champagnat.

A microscopic interpretation for adaptive dynamics trait substitution sequence models, in: Stochastic Process. Appl., 2006, vol. 116, n^o 8, p. 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, n^o 4, p. 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, n^o 4, p. 1851–1892.
7A. Lejay.

An introduction to rough paths, in: Séminaire de Probabilités XXXVII, Berlin, Lecture Notes in Math., Springer, Berlin, 2003, vol. 1832, p. 1–59.
8A. Lejay, M. Martinez.

A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients, in: Ann. Appl. Probab., 2006, vol. 16, n^o 1, p. 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, Berlin, 2006, vol. 1874, p. 305–336.
10D. Talay, Z. Zheng.

Approximation of quantiles of components of diffusion processes, in: Stochastic Process. Appl., 2004, vol. 109, n^o 1, p. 23–46.

Publications of the year

Articles in International Peer-Reviewed Journals

11F. Campillo, N. Champagnat.

Simulation and analysis of an individual-based model for graph-structured plant dynamics, in: Ecological Modelling, 2012, vol. 234, p. 93-105. [ DOI : 10.1016/j.ecolmodel.2012.03.017 ]

http://hal.inria.fr/inria-00526379
12N. Champagnat, P. Diaconis, L. Miclo.

On Dirichlet eigenvectors for neutral two-dimensional Markov chains, in: Electronic Journal of Probability, 2012, vol. 17, n^o 63, p. 1-41. [ DOI : 10.1214/EJP.v17-1830 ]

http://hal.inria.fr/hal-00672938
13N. Champagnat, A. Lambert.

Splitting trees with neutral Poissonian mutations I: Small families, in: Stochastic Processes and their Applications, 2012, vol. 122, n^o 3, p. 1003-1033. [ DOI : 10.1016/j.spa.2011.11.002 ]

http://hal.inria.fr/inria-00515481
14N. Champagnat, A. Lambert.

Splitting trees with neutral Poissonian mutations II: Largest and Oldest families, in: Stochastic Processes and their Applications, 2013. [ DOI : 10.1016/j.spa.2012.11.013 ]

http://hal.inria.fr/inria-00616765
15N. Champagnat, A. Lambert, M. Richard.

Birth and death processes with neutral mutations, in: International Journal of Stochastic Analysis, 2012, vol. 2012, article ID 569081, 20 pages. [ DOI : 10.1155/2012/569081 ]

http://hal.inria.fr/hal-00736036
16M. Cissé, P. Patie, E. Tanré.

Optimal stopping problems for some Markov processes, in: Annals of Applied Probability, 2012, vol. 22, n^o 3, p. 1243-1265. [ DOI : 10.1214/11-AAP795 ]

http://hal.inria.fr/inria-00458901
17M. 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
18A. Lejay, S. Maire.

New Monte Carlo schemes for simulating diffusions in discontinuous media, in: Journal of Computational and Applied Mathematics, 2013.

http://hal.inria.fr/hal-00689581
19A. Lejay, G. Pichot.

Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps, in: Journal of Computational Physics, August 2012, vol. 231, n^o 21, p. 7299-7314. [ DOI : 10.1016/j.jcp.2012.07.011 ]

http://hal.inria.fr/hal-00649170
20A. Lejay, V. Reutenauer.

A variance reduction technique using a quantized Brownian motion as a control variate, in: The Journal of Computational Finance,, December 2012, vol. 16, n^o 2.

http://hal.inria.fr/inria-00393749
21S. Maire, C. Prissette.

A restarted estimation of distribution algorithm for solving sudoku puzzles, in: Monte Carlo Methods and Applications, 2012, vol. 18, n^o 2, p. 147-160.

http://hal.inria.fr/inria-00591852
22M. Martinez, D. Talay.

One-dimensional parabolic diffraction equations: Pointwise estimates and discretization of related stochastic differential equations with weighted local times, in: Electronic Journal of Probability, 2012, vol. 17, n^o 27, p. 1-30. [ DOI : 10.1214/EJP.v17-1905 ]

http://hal.inria.fr/inria-00607967/en
23S. Méléard, D. Villemonais.

Quasi-stationary distributions and population processes, in: Probability Surveys, 2012, vol. 9, p. 340-410, 65 pages. [ DOI : 10.1214/11-PS191 ]

http://hal.inria.fr/hal-00653834

Articles in Non Peer-Reviewed Journals

24A. Lejay.

Trajectoires rugueuses, in: Matapli, June 2012, vol. 98, p. 119-134.

http://hal.inria.fr/hal-00701211

International Conferences with Proceedings

25A. Kohatsu-Higa, A. Lejay, K. Yasuda.

On Weak Approximation of Stochastic Differential Equations with Discontinuous Drift Coefficient, in: Mathematical Economics, Kyoto, Japan, C. Hara (editor), RIMS Kôkyûroku, April 2012, vol. 1788, p. 94-106, This is an abridged version submitted in a conference proceedings..

http://hal.inria.fr/hal-00670123
26A. Lejay.

Perturbation of linear rough differential equations and applications, in: Rough Paths and PDEs, Oberwolfach, Germany, D. Crisan, P. Friz, M. Gubinelli (editors), Oberwolfach Report, Mathematisches Forschungsinstitut Oberwolfach, December 2012, vol. 41/2012, Est tiré d'un article (Perturbed linear rough differential equations) co-écrit avec Laure Coutin.. [ DOI : 10.4171/OWR/2012/41 ]

http://hal.inria.fr/hal-00760588

Scientific Books (or Scientific Book chapters)

27C. Graham, D. Talay.

Foundations Of Stochastic Simulations. Vol. 1: Stochastic Simulation And Monte Carlo Methods, Springer-Verlag, 2013, 239 p, to appear.
28A. Lejay.

Global solutions to rough differential equations with unbounded vector fields, in: Séminaire de Probabilités XLIV, C. Donati-Martin, A. Lejay, A. Rouault (editors), Lecture Notes in Mathemics, Springer, June 2012, vol. 2046, p. 215-246. [ DOI : 10.1007/978-3-642-27461-9_11 ]

http://hal.inria.fr/inria-00451193

Books or Proceedings Editing

29C. Donati-Martin, A. Lejay, A. Rouault (editors)

Séminaire de Probabilités XLIV, Lecture Notes in Mathematics, Springer-Verlag, 2012, vol. 2046, 465 p. [ DOI : 10.1007/978-3-642-27461-9 ]

http://hal.inria.fr/hal-00724872

Internal Reports

30M. Bossy, N. Maïzi, O. Pourtallier.

Modélisation de la valeur carbone, Inria, August 2012, 70 p.

http://hal.inria.fr/hal-00763433
31C. De Luigi, J. Lelong, S. Maire.

Adaptive numerical integration and control variates for pricing Basket Options, Laboratoire des Sciences de l'Information et des Systèmes - LSIS , Laboratoire Jean Kuntzmann - LJK, October 2012.

http://hal.archives-ouvertes.fr/hal-00746872
32V. Reutenauer, D. Talay, E. Tanré.

Liquidité pour les dérivés de taux, Inria / Calyon, 2012, rapport final de collaboration Calyon-Inria.

Other Publications

33M. Bossy, J. Fontbona, P.-E. Jabin, J. F. Jabir.

Local existence of analytical solutions to an incompressible Lagrangian stochastic model in a periodic domain, 2012.

http://hal.inria.fr/hal-00691712
34L. Coutin, A. Lejay.

Perturbed linear rough differential equations, 2012.

http://hal.inria.fr/hal-00722900
35F. Delarue, J. Inglis, S. Rubenthaler, E. Tanré.

Global solvability of a networked integrate-and-fire model of McKean-Vlasov type, October 2012, 68 pages.

http://hal.inria.fr/hal-00747565
36S. Maire, E. Tanré.

Monte Carlo approximations of the Neumann problem, March 2012, Soumis.

http://hal.inria.fr/hal-00677529
37N. Perrin.

Probabilistic Interpretation for the Nonlinear Poisson-Boltzmann Equation in Molecular Dynamics, 2012.

http://hal.inria.fr/hal-00648180
38D. Villemonais.

General approximation method for the distribution of Markov processes conditioned not to be killed, December 2012, 33 p, revision of the paper formerly entitled "Interacting particle processes and approximation of Markov processes conditioned to not be killed".

http://hal.archives-ouvertes.fr/hal-00598085
39D. Villemonais.

Uniform tightness for time-inhomogeneous particle systems and for conditional distributions of time-inhomogeneous diffusion processes, 2012, 20 pages.

http://hal.inria.fr/hal-00681601

References in notes

40A. Benchérif-Madani, É. Pardoux.

A probabilistic formula for a Poisson equation with Neumann boundary condition, in: Stoch. Anal. Appl., 2009, vol. 27, n^o 4, p. 739–746.

http://dx.doi.org/10.1080/07362990902976520
41A. Berkaoui, M. Bossy, A. Diop.

Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence, in: ESAIM Probab. Stat., 2008, vol. 12, p. 1–11 (electronic).

http://dx.doi.org/10.1051/ps:2007030
42S. Maire, E. Tanré.

Some new simulations schemes for the evaluation of Feynman-Kac representations, in: Monte Carlo Methods Appl., 2008, vol. 14, n^o 1, p. 29–51.

http://hal.inria.fr/inria-00182436/en
43S. Maire, E. Tanré.

Stochastic spectral formulations for elliptic problems, in: L' Ecuyer, Pierre (ed.) et al., Monte Carlo and quasi-Monte Carlo methods 2008. Proceedings of the 8th international conference Monte Carlo and quasi-Monte Carlo methods in scientific computing, Montréal, Canada, July 6–11, 2008, Berlin, Springer, Berlin, 2009, p. 513–528.

http://dx.doi.org/10.1007/978-3-642-04107-5_33, http://hal.inria.fr/inria-00340708/en/

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