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Bibliography

Major publications by the team in recent years Publications of the year

Doctoral Dissertations and Habilitation Theses

  • 10R. Chen.

    Dynamic optimal control for distress large financial networks and Mean field systems with jumps, Université Paris-Dauphine, July 2019.

    https://hal.inria.fr/tel-02434108

Articles in International Peer-Reviewed Journals

Scientific Books (or Scientific Book chapters)

Other Publications

References in notes
  • 37A. Ahdida, A. Alfonsi, E. Palidda.

    Smile with the Gaussian term structure model, in: Journal of Computational Finance, 2017, https://arxiv.org/abs/1412.7412.

    https://hal.archives-ouvertes.fr/hal-01098554
  • 38A. Al Gerbi, B. Jourdain, E. Clément.

    Asymptotics for the normalized error of the Ninomiya-Victoir scheme, in: Stochastic Processes and their Applications, 2018, vol. 128, no 6, pp. 1889-1928.

    https://hal-enpc.archives-ouvertes.fr/hal-01259915
  • 39A. Al Gerbi, B. Jourdain, E. Clément.

    Ninomiya-Victoir scheme : Multilevel Monte-Carlo estimators and discretization of the involved Ordinary Differential Equations, in: ESAIM: Proceedings and Surveys, November 2017, vol. 59, pp. 1-14, https://arxiv.org/abs/1612.07017.

    https://hal.archives-ouvertes.fr/hal-01421337
  • 40A. Alfonsi, P. Blanc.

    Extension and calibration of a Hawkes-based optimal execution model, in: Market microstructure and liquidity, August 2016, https://arxiv.org/abs/1506.08740. [ DOI : 10.1142/S2382626616500052 ]

    https://hal-enpc.archives-ouvertes.fr/hal-01169686
  • 41A. Alfonsi, J. Corbetta, B. Jourdain.

    Evolution of the Wasserstein distance between the marginals of two Markov processes, in: Bernoulli, 2018, vol. 24, no 4A, pp. 2461-2498.

    https://hal.archives-ouvertes.fr/hal-01390887
  • 42A. Alfonsi, M. Hayashi, A. Kohatsu-Higa.

    Parametrix Methods for One-Dimensional Reflected SDEs, in: Modern Problems of Stochastic Analysis and StatisticsSelected Contributions In Honor of Valentin Konakov, Springer, November 2017, vol. Springer Proceedings in Mathematics & Statistics, no 208.

    https://hal-enpc.archives-ouvertes.fr/hal-01670011
  • 43A. Alfonsi, A. Kebaier, C. Rey.

    Maximum Likelihood Estimation for Wishart processes, in: Stochastic Processes and their Applications, November 2016, https://arxiv.org/abs/1508.03323. [ DOI : 10.1016/j.spa.2016.04.026 ]

    https://hal-enpc.archives-ouvertes.fr/hal-01184310
  • 44A. Alfonsi, A. Schied, F. Klöck.

    Multivariate transient price impact and matrix-valued positive definite functions, in: Mathematics of Operations Research, March 2016, https://arxiv.org/abs/1310.4471. [ DOI : 10.1287/moor.2015.0761 ]

    https://hal-enpc.archives-ouvertes.fr/hal-00919895
  • 45H. Amini, R. Cont, A. Minca.

    Resilience to Contagion in Financial Networks, in: Mathematical Finance, 2013.
  • 46H. Amini, A. Minca, A. Sulem.

    Optimal equity infusions in interbank networks, in: Journal of Financial Stability, August 2017, vol. 31, pp. 1 - 17. [ DOI : 10.1016/j.jfs.2017.05.008 ]

    https://hal.inria.fr/hal-01614759
  • 47A. Arnold, E. Carlen, Q. Ju.

    Large-time behavior of non-symmetric Fokker-Planck type equations, in: Communications on Stochastic Analysis, 2008, vol. 2, no 1, pp. 153-175.
  • 48R. Assaraf, B. Jourdain, T. Lelièvre, R. Roux.

    Computation of sensitivities for the invariant measure of a parameter dependent diffusion, in: Stochastics and Partial Differential Equations: Analysis and Computations, October 2017, pp. 1-59, https://arxiv.org/abs/1509.01348. [ DOI : 10.1007/s40072-017-0105-6 ]

    https://hal.archives-ouvertes.fr/hal-01192862
  • 49V. Bally, L. Caramellino.

    Asymptotic development for the CLT in total variation distance, in: Bernoulli, 2016, vol. 22, pp. 2442-2485.

    https://hal-upec-upem.archives-ouvertes.fr/hal-01104866
  • 50V. Bally, L. Caramellino.

    Regularity of Wiener functionals under a Hörmander type condition of order one, in: Annals of Probability, 2017, vol. 45, no 3, pp. 1488-1511.

    https://hal-upec-upem.archives-ouvertes.fr/hal-01413556
  • 51V. Bally, L. Caramellino, P. Pigato.

    Diffusions under a local strong Hörmander condition. Part I: density estimates, December 2016, preprint.

    https://hal-upec-upem.archives-ouvertes.fr/hal-01413546
  • 52V. Bally, L. Caramellino, P. Pigato.

    Diffusions under a local strong Hörmander condition. Part II: tube estimates, July 2016, preprint.

    https://hal.archives-ouvertes.fr/hal-01407420
  • 53V. Bally, L. Caramellino, G. Poly.

    Convergence in distribution norms in the CLT for non identical distributed random variables, January 2017, preprint.

    https://hal-upec-upem.archives-ouvertes.fr/hal-01413548
  • 54V. Bally, A. Kohatsu-Higa.

    A probabilistic interpretation of the parametrix method, in: Annals of Applied Probability, 2015, vol. 25, pp. 3095-3138.

    https://hal.archives-ouvertes.fr/hal-00926479
  • 55V. Bally, V. Rabiet.

    Asymptotic behavior for multi-scale PDMP's, April 2015, preprint.

    https://hal.archives-ouvertes.fr/hal-01144107
  • 56V. Bally, C. Rey.

    Approximation of Markov semigroups in total variation distance, in: Electronic Journal of Probability, 2016, vol. 21, no 12.

    https://hal-upec-upem.archives-ouvertes.fr/hal-01110015
  • 57M. Beiglböck, P.-H. Labordère, F. Penkner.

    Model-independent bounds for option prices - a mass transport approach, in: Finance Stoch., 2013, vol. 17, no 3, pp. 477-501.
  • 58R. Chen, A. Minca, A. Sulem.

    Optimal connectivity for a large financial network, in: ESAIM: Proceedings and Surveys, 2017, vol. 59, pp. 43 - 55, Editors : B. Bouchard, E. Gobet and B. Jourdain.

    https://hal.inria.fr/hal-01618701
  • 59Q. Dai, K. J. Singleton.

    Specification Analysis of Affine Term Structure Models, in: The Journal of Finance, 2000, vol. 55, no 5, pp. 1943–1978.

    http://dx.doi.org/10.1111/0022-1082.00278
  • 60D. Duffie, D. Filipović, W. Schachermayer.

    Affine processes and applications in finance, in: Ann. Appl. Probab., 2003, vol. 13, no 3, pp. 984–1053.

    http://dx.doi.org/10.1214/aoap/1060202833
  • 61R. Dumitrescu, M. Grigorova, M.-C. Quenez, A. Sulem.

    BSDEs with default jump, in: Computation and Combinatorics in Dynamics, Stochastics and Control - The Abel Symposium, Rosendal, Norway August 2016, E. Celledoni, G. D. Nunno, K. Ebrahimi-Fard, H. Munthe-Kaas (editors), The Abel Symposia book series, Springer, 2018, vol. 13. [ DOI : 10.1007/978-3-030-01593-0 ]

    https://hal.inria.fr/hal-01799335
  • 62R. Dumitrescu, C. Labart.

    Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles, in: Journal of Mathematical Analysis and applications, October 2016, vol. 442, no 1, pp. 206-243, https://arxiv.org/abs/1406.3612.

    https://hal.archives-ouvertes.fr/hal-01006131
  • 63R. Dumitrescu, C. Labart.

    Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles, in: Journal of Computational and Applied Mathematics, April 2016, vol. 296, pp. 827-839, https://arxiv.org/abs/1502.02888.

    https://hal.archives-ouvertes.fr/hal-01114996
  • 64R. Dumitrescu, M.-C. Quenez, A. Sulem.

    Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle Problems, in: Journal of Optimization Theory and Applications, 2015, vol. 167, no 1, 23 p. [ DOI : 10.1007/s10957-014-0635-2 ]

    https://hal.inria.fr/hal-01096501
  • 65R. Dumitrescu, M.-C. Quenez, A. Sulem.

    Generalized Dynkin games and doubly reflected BSDEs with jumps, in: Electronic Journal of Probability, 2016. [ DOI : 10.1214/16-EJP4568 ]

    https://hal.inria.fr/hal-01388022
  • 66R. Dumitrescu, M.-C. Quenez, A. Sulem.

    Mixed generalized Dynkin game and stochastic control in a Markovian framework, in: Stochastics, 2016, vol. 89, no 1, 30 p.

    https://hal.inria.fr/hal-01417203
  • 67R. Dumitrescu, M.-C. Quenez, A. Sulem.

    American Options in an Imperfect Complete Market with Default, in: ESAIM: Proceedings and Surveys, 2018, pp. 93–110. [ DOI : 10.1051/proc/201864093 ]

    https://hal.inria.fr/hal-01614741
  • 68N. El Karoui, V. Lacoste.

    Multifactor models of the term structure of interest rates, 1992, Preprint University of Paris 6.
  • 69A. Figalli.

    Existence and uniqueness for martingale solutions of SDEs with rough or degenerate coefficients, in: Journal of Functional Analysis, 2008, vol. 254, pp. 109–153.
  • 70C. Fontana, B. Øksendal, A. Sulem.

    Market viability and martingale measures under partial information, in: Methodology and Computing in Applied Probability, 2015, vol. 17, 24 p. [ DOI : 10.1007/s11009-014-9397-4 ]

    https://hal.inria.fr/hal-00789517
  • 71J. Fontbona, B. Jourdain.

    A trajectorial interpretation of the dissipations of entropy and Fisher information for stochastic differential equations, in: Annals of Probability, February 2016, vol. 44, no 1, pp. 131-170, https://arxiv.org/abs/1107.3300.

    https://hal.archives-ouvertes.fr/hal-00608977
  • 72N. Fournier, B. Jourdain.

    Stochastic particle approximation of the Keller-Segel equation and two-dimensional generalization of Bessel processes, in: The Annals of Applied Probability : an official journal of the institute of mathematical statistics, November 2017, vol. 27, no 5, pp. 2807-2861, https://arxiv.org/abs/1507.01087.

    https://hal-enpc.archives-ouvertes.fr/hal-01171481
  • 73J. Garnier, G. Papanicolaou, T. Yang.

    Large deviations for a mean field model of systemic risk, in: SIAM Journal on Financial Mathematics, 2013, vol. 41, no 1, pp. 151–184.
  • 74J. Guyon, P. Henry-Labordère.

    Being particular about calibration, in: Risk, January 2012.
  • 75Y. Hu, B. Øksendal, A. Sulem.

    Singular mean-field control games, in: Stochastic Analysis and Applications, June 2017, vol. 35, no 5, pp. 823 - 851. [ DOI : 10.1080/07362994.2017.1325745 ]

    https://hal.inria.fr/hal-01614747
  • 76B. Jourdain, J. Reygner.

    The small noise limit of order-based diffusion processes, in: Electronic Journal of Probability, March 2014, vol. 19, no 29, pp. 1-36, https://arxiv.org/abs/1307.0490. [ DOI : 10.1214/EJP.v19-2906 ]

    https://hal-enpc.archives-ouvertes.fr/hal-00840185
  • 77B. Jourdain, J. Reygner.

    Capital distribution and portfolio performance in the mean-field Atlas model, in: Annals of Finance, May 2015, vol. 11, no 2, pp. 151-198, https://arxiv.org/abs/1312.5660. [ DOI : 10.1007/s10436-014-0258-5 ]

    https://hal-enpc.archives-ouvertes.fr/hal-00921151
  • 78B. Jourdain, J. Reygner.

    Optimal convergence rate of the multitype sticky particle approximation of one-dimensional diagonal hyperbolic systems with monotonic initial data, in: Discrete and Continuous Dynamical Systems - Series A, September 2016, vol. 36, no 9, pp. 4963-4996, https://arxiv.org/abs/1507.01085. [ DOI : 10.3934/dcds.2016015 ]

    https://hal-enpc.archives-ouvertes.fr/hal-01171261
  • 79D. Lépingle.

    Euler scheme for reflected stochastic differential equations, in: Math. Comput. Simulation, 1995, vol. 38, no 1-3, pp. 119–126, Probabilités numériques (Paris, 1992).

    http://dx.doi.org/10.1016/0378-4754(93)E0074-F
  • 80A. Minca.

    Modélisation mathématique de la contagion de défaut; Mathematical modeling of financial contagion, Université Pierre et Marie Curie, Paris 6, September 5 2011.
  • 81A. Minca, A. Sulem.

    Optimal Control of Interbank Contagion Under Complete Information, in: Statistics and Risk Modeling, 2014, vol. 31, no 1, pp. 1001-1026. [ DOI : 10.1524/Strm.2014.5005 ]

    https://hal.inria.fr/hal-00916695
  • 82S. Ninomiya, N. Victoir.

    Weak approximation of stochastic differential equations and application to derivative pricing, in: Applied Mathematical Finance, 2008, vol. 15, pp. 107-121.
  • 83M.-C. Quenez, A. Sulem.

    Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps, in: Stochastic Processes and their Applications, September 2014, vol. 124, no 9, 23 p, https://arxiv.org/abs/1212.6744.

    https://hal.inria.fr/hal-00773708
  • 84B. Øksendal, A. Sulem.

    Forward–Backward Stochastic Differential Games and Stochastic Control under Model Uncertainty, in: Journal of Optimization Theory and Applications, April 2014, vol. 161, no 1, pp. 22 - 55. [ DOI : 10.1007/s10957-012-0166-7 ]

    https://hal.inria.fr/hal-01681150
  • 85B. Øksendal, A. Sulem.

    Dynamic Robust Duality in Utility Maximization, in: Applied Mathematics and Optimization, 2016, pp. 1-31.

    https://hal.inria.fr/hal-01406663
  • 86B. Øksendal, A. Sulem.

    Optimal control of predictive mean-field equations and applications to finance, in: Springer Proceedings in Mathematics & Statistics, Stochastic of Environmental and Financial Economics, Springer Verlag, 2016, vol. 138, pp. 301–320. [ DOI : 10.1007/978-3-319-23425-0 ]

    https://hal.inria.fr/hal-01406649


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