The generalized quadrature method of moments |
Frederique Laurent |
01/01/2023
|
Journal of Aerosol Science |
Moving average options: Machine learning and Gauss-Hermite quadrature for a double non-Markovian problem |
Ludovic Goudenège |
01/12/2022
|
European Journal of Operational Research |
Consistency and accuracy in the simulation of two-phase flows with phase change using sharp interface capturing methods |
Victor Boniou, Thomas Schmitt, Aymeric Vié |
01/12/2022
|
Journal of Computational Physics |
Regularity of an abstract Wiener integral |
Brice Hannebicque, Érick Herbin |
01/12/2022
|
Stochastic Processes and their Applications |
Comparison of interface capturing methods for the simulation of two-phase flow in a unified low-Mach framework |
Aymeric Vié |
01/04/2022
|
International Journal of Multiphase Flow |
Likelihood-based non-Markovian models from molecular dynamics |
Ludovic Goudenège |
29/03/2022
|
Proceedings of the National Academy of Sciences of the United States of America |
HYPERBOLIC QUADRATURE METHOD OF MOMENTS FOR THE ONE-DIMENSIONAL KINETIC EQUATION |
Frederique Laurent |
01/01/2022
|
SIAM Journal on Applied Mathematics |
Discrete-time simulation of Stochastic Volterra equations |
Alexandre Richard |
01/11/2021
|
Stochastic Processes and their Applications |
Stochastic phase field α-Navier-Stokes vesicle-fluid interaction model |
Ludovic Goudenège |
01/04/2021
|
Journal of Mathematical Analysis and Applications |
Penalisation techniques for one-dimensional reflected rough differential equations |
Alexandre Richard |
02/11/2020
|
Bernoulli |
Ergodicity of stochastic Cahn-Hilliard equations with logarithmic potentials driven by degenerate or nondegenerate noises |
Ludovic Goudenège |
15/10/2020
|
Journal of Differential Equations |
Weak convergence rates of splitting schemes for the stochastic Allen–Cahn equation |
Ludovic Goudenège |
01/09/2020
|
BIT Numerical Mathematics |
Computing credit valuation adjustment solving coupled PIDEs in the Bates model |
Ludovic Goudenège |
01/06/2020
|
Computational Management Science |
Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models |
Ludovic Goudenège |
02/04/2020
|
Quantitative Finance |
Modulation of homogeneous and isotropic turbulence by sub-Kolmogorov particles: Impact of particle field heterogeneity |
Roxane Letournel, Frederique Laurent, Aymeric Vié |
01/04/2020
|
International Journal of Multiphase Flow |
Coercivity, hypocoercivity, exponential time decay and simulations for discrete Fokker–Planck equations |
P. Lafitte |
01/03/2020
|
Numerische Mathematik |
A second-order realizable scheme for moment advection on unstructured grids |
Frederique Laurent |
01/03/2020
|
Computer Physics Communications |
Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate |
Ludovic Goudenège |
01/01/2020
|
Decisions in Economics and Finance |
A hyperbolic two-fluid model for compressible flows with arbitrary material-density ratios |
Rodney O. Fox, Frederique Laurent, Aymeric Vié |
01/01/2020
|
Journal of Fluid Mechanics |
On the root solution to the skorokhod embedding problem given full marginals |
Alexandre Richard |
01/01/2020
|
SIAM Journal on Control and Optimization |