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Frikha, Noufel

Co-Author Distance
Author ID: frikha.noufel Recent zbMATH articles by "Frikha, Noufel"
Published as: Frikha, Noufel; Frikha, N.
External Links: MGP
Documents Indexed: 27 Publications since 2009, including 5 Additional arXiv Preprints
1 Further Contribution
Co-Authors: 17 Co-Authors with 24 Joint Publications
333 Co-Co-Authors
all top 5

Co-Authors

3 single-authored
6 Li, Libo
4 Pagès, Gilles
3 Bardou, Olivier
3 Chen, Junchao
3 Crepey, Stephane
3 Kohatsu-Higa, Arturo
3 Louzi, Azar
3 Menozzi, Stéphane
2 Chassagneux, Jean-François
2 Chaudru De Raynal, Paul-Eric
1 Anger, René
1 Belgrade, Nabyl
1 Benhamou, Eric
1 Ciucă, Marian G.
1 Croissant, Olivier
1 Ezzine, Mostafa
1 Fathi, Max
1 Guillemot, Richard
1 Huang, Lorick
1 Kabbaj, Othman
1 Khlif, Tosr
1 Koehler, Etienne
1 Konakov, Valentin
1 Korbosli, Leila
1 Lemaire, Vincent
1 Li, Houzhi
1 Miri, Mohammed
1 Prié, Jean
1 Sagna, Abass
1 Schauly, Arnaud
1 Spence, Jonathan
1 Triki, Amine
all top 5

Serials

2 Journal de Mathématiques Pures et Appliquées. Neuvième Série
2 Stochastic Processes and their Applications
2 Monte Carlo Methods and Applications
2 Electronic Journal of Probability
2 Electronic Communications in Probability
1 IMA Journal of Numerical Analysis
1 The Annals of Applied Probability
1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
1 Applied Mathematical Finance
1 Bernoulli
1 Discrete and Continuous Dynamical Systems
1 Mathematical Finance
1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
1 Stochastics
1 SIAM Journal on Financial Mathematics
all top 5

Fields

18 Probability theory and stochastic processes (60-XX)
13 Numerical analysis (65-XX)
9 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
6 Partial differential equations (35-XX)
5 Statistics (62-XX)
4 Systems theory; control (93-XX)
3 Calculus of variations and optimal control; optimization (49-XX)
2 Operations research, mathematical programming (90-XX)
1 Computer science (68-XX)

Publications by Year

all cited Publications top 5 cited Publications

Citations contained in zbMATH Open

20 Publications have been cited 122 times in 94 Documents Cited by ▼ Year ▼
Well-posedness for some non-linear SDEs and related PDE on the Wasserstein space. Zbl 1494.60063
Chaudru De Raynal, Paul-Eric; Frikha, Noufel
22
2022
Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling. Zbl 1185.91091
Bardou, O.; Frikha, N.; Pagès, G.
22
2009
On the weak approximation of a skew diffusion by an Euler-type scheme. Zbl 1429.60052
Frikha, Noufel
11
2018
Multi-level stochastic approximation algorithms. Zbl 1344.93111
Frikha, Noufel
11
2016
Concentration bounds for stochastic approximations. Zbl 1252.60065
Frikha, Noufel; Menozzi, Stéphane
10
2012
From the backward Kolmogorov PDE on the Wasserstein space to propagation of chaos for McKean-Vlasov SDEs. Zbl 1481.60105
Chaudru de Raynal, Paul-Eric; Frikha, Noufel
8
2021
Weak uniqueness and density estimates for SDEs with coefficients depending on some path-functionals. Zbl 1451.35073
Frikha, Noufel; Li, Libo
6
2020
CVaR hedging using quantization-based stochastic approximation algorithm. Zbl 1331.91199
Bardou, O.; Frikha, N.; Pagès, G.
6
2016
Transport-entropy inequalities and deviation estimates for stochastic approximation schemes. Zbl 1284.60137
Fathi, Max; Frikha, Noufel
4
2013
Integration by parts formula for killed processes: a point of view from approximation theory. Zbl 1466.60133
Frikha, Noufel; Kohatsu-Higa, Arturo; Li, Libo
4
2019
Well-posedness of some non-linear stable driven SDEs. Zbl 1477.60086
Frikha, Noufel; Konakov, Valentin; Menozzi, Stéphane
4
2021
Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs. Zbl 1475.60101
Frikha, Noufel; Li, Libo
3
2021
Quantization based recursive importance sampling. Zbl 1272.65004
Frikha, Noufel; Sagna, Abass
2
2012
Recursive computation of value-at-risk and conditional value-at-risk using MC and QMC. Zbl 1182.91089
Bardou, Olivier; Frikha, Noufel; Pagès, Gilles
2
2009
Shortfall risk minimization in discrete time financial market models. Zbl 1308.91081
Frikha, N.
2
2014
Probabilistic representation of integration by parts formulae for some stochastic volatility models with unbounded drift. Zbl 1492.60200
Chen, Junchao; Frikha, Noufel; Li, Houzhi
1
2022
Parametrix method for the first hitting time of an elliptic diffusion with irregular coefficients. Zbl 1490.60155
Frikha, Noufel; Li, Libo
1
2021
Joint modelling of gas and electricity spot prices. Zbl 1457.91278
Frikha, Noufel; Lemaire, Vincent
1
2013
A learning scheme by sparse grids and Picard approximations for semilinear parabolic PDEs. Zbl 1534.65081
Chassagneux, Jean-François; Chen, Junchao; Frikha, Noufel; Zhou, Chao
1
2023
A multi-step Richardson-Romberg extrapolation method for stochastic approximation. Zbl 1336.60137
Frikha, N.; Huang, Lorick
1
2015
A learning scheme by sparse grids and Picard approximations for semilinear parabolic PDEs. Zbl 1534.65081
Chassagneux, Jean-François; Chen, Junchao; Frikha, Noufel; Zhou, Chao
1
2023
Well-posedness for some non-linear SDEs and related PDE on the Wasserstein space. Zbl 1494.60063
Chaudru De Raynal, Paul-Eric; Frikha, Noufel
22
2022
Probabilistic representation of integration by parts formulae for some stochastic volatility models with unbounded drift. Zbl 1492.60200
Chen, Junchao; Frikha, Noufel; Li, Houzhi
1
2022
From the backward Kolmogorov PDE on the Wasserstein space to propagation of chaos for McKean-Vlasov SDEs. Zbl 1481.60105
Chaudru de Raynal, Paul-Eric; Frikha, Noufel
8
2021
Well-posedness of some non-linear stable driven SDEs. Zbl 1477.60086
Frikha, Noufel; Konakov, Valentin; Menozzi, Stéphane
4
2021
Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs. Zbl 1475.60101
Frikha, Noufel; Li, Libo
3
2021
Parametrix method for the first hitting time of an elliptic diffusion with irregular coefficients. Zbl 1490.60155
Frikha, Noufel; Li, Libo
1
2021
Weak uniqueness and density estimates for SDEs with coefficients depending on some path-functionals. Zbl 1451.35073
Frikha, Noufel; Li, Libo
6
2020
Integration by parts formula for killed processes: a point of view from approximation theory. Zbl 1466.60133
Frikha, Noufel; Kohatsu-Higa, Arturo; Li, Libo
4
2019
On the weak approximation of a skew diffusion by an Euler-type scheme. Zbl 1429.60052
Frikha, Noufel
11
2018
Multi-level stochastic approximation algorithms. Zbl 1344.93111
Frikha, Noufel
11
2016
CVaR hedging using quantization-based stochastic approximation algorithm. Zbl 1331.91199
Bardou, O.; Frikha, N.; Pagès, G.
6
2016
A multi-step Richardson-Romberg extrapolation method for stochastic approximation. Zbl 1336.60137
Frikha, N.; Huang, Lorick
1
2015
Shortfall risk minimization in discrete time financial market models. Zbl 1308.91081
Frikha, N.
2
2014
Transport-entropy inequalities and deviation estimates for stochastic approximation schemes. Zbl 1284.60137
Fathi, Max; Frikha, Noufel
4
2013
Joint modelling of gas and electricity spot prices. Zbl 1457.91278
Frikha, Noufel; Lemaire, Vincent
1
2013
Concentration bounds for stochastic approximations. Zbl 1252.60065
Frikha, Noufel; Menozzi, Stéphane
10
2012
Quantization based recursive importance sampling. Zbl 1272.65004
Frikha, Noufel; Sagna, Abass
2
2012
Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling. Zbl 1185.91091
Bardou, O.; Frikha, N.; Pagès, G.
22
2009
Recursive computation of value-at-risk and conditional value-at-risk using MC and QMC. Zbl 1182.91089
Bardou, Olivier; Frikha, Noufel; Pagès, Gilles
2
2009
all cited Publications top 5 cited Publications
all top 5

Cited by 178 Authors

8 Frikha, Noufel
6 Huang, Xing
5 Jourdain, Benjamin
3 Fort, Gersende
3 Honoré, Igor
3 Li, Libo
3 Menozzi, Stéphane
3 Pagès, Gilles
3 Prashanth, L. A.
3 Szpruch, Lukasz
2 Bencheikh, Oumaima
2 Bezemek, Zachary William
2 Costa, Manon
2 Crepey, Stephane
2 Dereich, Steffen
2 Gadat, Sébastien
2 Gobet, Emmanuel
2 Goda, Takashi
2 Harang, Fabian Andsem
2 Kitade, Wataru
2 Kohatsu-Higa, Arturo
2 Krumscheid, Sebastian
2 Li, Yun
2 Mayorcas, Avi
2 Nobile, Fabio
2 Saraev, Aleksandr Leonidovich
2 Saraev, Leonid Aleksandrovich
2 Stazhynski, Uladzislau
2 Taguchi, Dai
2 Wang, Feng-Yu
2 Xie, Longjie
1 Alfonsi, Aurélien
1 Anagnostakis, Alexis
1 Ankirchner, Stefan
1 Bahlali, Khaled
1 Bai, Yifan
1 Bardou, Olivier
1 Barrera, David
1 Beck, Nicholas
1 Becker, Sebastian
1 Bercu, Bernard
1 Bhat, Sanjay P.
1 Borkar, Vivek Shripad
1 Botev, Zdravko I.
1 Byon, Eunshin
1 Carmona, René A.
1 Cavallazzi, Thomas
1 Chaintron, Louis-Pierre
1 Chaudru De Raynal, Paul-Eric
1 Chen, Junchao
1 Chow, Yinlam
1 Coulon, Michael
1 Cui, Zhenyu
1 Diallo, Babacar
1 Diez, Antoine
1 Ding, Kailin
1 Egéa, Maxime
1 Étoré, Pierre
1 Foster, Adam S.
1 Fraysse, Philippe
1 Fu, Michael C.
1 Galeati, Lucio
1 Gamboa, Fabrice
1 Garivier, Aurélien
1 Ghavamzadeh, Mohammad
1 Giles, Michael B.
1 Gloter, Arnaud
1 Guéant, Olivier
1 Haji-Ali, Abdul-Lateef
1 Heldman, Max
1 Hironaka, Tomohiko
1 Hong, Liu Jeff
1 Hu, Yaozhong
1 Hu, Zhaolin
1 Huang, Lorick
1 Huang, Ziyu
1 Ichiba, Tomoyuki
1 Jagannathan, Krishna
1 Janson, Lucas
1 Jentzen, Arnulf
1 Jiang, Daniel R.
1 Jiang, Fan
1 Jiao, Ying
1 Jie, Lijuan
1 Kaakaï, Sarah
1 Kebaier, Ahmed
1 Kesseböhmer, Marc
1 Kim, Sojung
1 Ko, Young Myoung
1 Kolla, Ravi Kumar
1 Kolliopoulos, Nikolaos
1 Korda, Nathaniel
1 Kouritzin, Michael A.
1 Kruse, Thomas
1 Labopin-Richard, Tatiana
1 Lacker, Daniel
1 Lam, Henry
1 Laruelle, Sophie
1 Lejay, Antoine
1 Lejeune, Miguel A.
...and 78 more Authors
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Cited in 58 Serials

7 Electronic Journal of Probability
6 The Annals of Applied Probability
6 Stochastic Processes and their Applications
4 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
3 Journal of Mathematical Analysis and Applications
3 Stochastics and Dynamics
3 SIAM/ASA Journal on Uncertainty Quantification
2 SIAM Journal on Control and Optimization
2 SIAM Journal on Numerical Analysis
2 Transactions of the American Mathematical Society
2 Journal of Theoretical Probability
2 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
2 Mathematical Finance
2 Quantitative Finance
2 Electronic Journal of Statistics
2 Discrete and Continuous Dynamical Systems. Series S
2 Vestnik Samarskogo Gosudarstvennogo Tekhnicheskogo Universiteta. Seriya Fiziko-Matematicheskie Nauki
1 Bulletin of the Australian Mathematical Society
1 Ukrainian Mathematical Journal
1 Applied Mathematics and Optimization
1 BIT
1 Journal of Computational and Applied Mathematics
1 Journal of Statistical Planning and Inference
1 Mathematics and Computers in Simulation
1 Mathematics of Operations Research
1 Naval Research Logistics
1 Numerische Mathematik
1 Insurance Mathematics & Economics
1 Statistics & Probability Letters
1 Operations Research Letters
1 Acta Applicandae Mathematicae
1 Journal of Complexity
1 Machine Learning
1 European Journal of Operational Research
1 Journal de Mathématiques Pures et Appliquées. Neuvième Série
1 SIAM Journal on Mathematical Analysis
1 Potential Analysis
1 SIAM Journal on Scientific Computing
1 Applied Mathematical Finance
1 Discrete and Continuous Dynamical Systems
1 ACM Transactions on Modeling and Computer Simulation
1 INFORMS Journal on Computing
1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings
1 Journal of the European Mathematical Society (JEMS)
1 Journal of Machine Learning Research (JMLR)
1 Comptes Rendus. Mathématique. Académie des Sciences, Paris
1 Annali della Scuola Normale Superiore di Pisa. Classe di Scienze. Serie V
1 Stochastics
1 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis
1 Mathematics and Financial Economics
1 Journal of Statistical Theory and Practice
1 Kinetic and Related Models
1 SIAM Journal on Financial Mathematics
1 Foundations and Trends in Machine Learning
1 Statistics and Computing
1 Stochastic Systems
1 Modern Stochastics. Theory and Applications
1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys
all top 5

Cited in 20 Fields

66 Probability theory and stochastic processes (60-XX)
34 Numerical analysis (65-XX)
20 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
19 Statistics (62-XX)
16 Partial differential equations (35-XX)
10 Operations research, mathematical programming (90-XX)
8 Systems theory; control (93-XX)
6 Ordinary differential equations (34-XX)
4 Calculus of variations and optimal control; optimization (49-XX)
3 Dynamical systems and ergodic theory (37-XX)
3 Computer science (68-XX)
2 Approximations and expansions (41-XX)
2 Statistical mechanics, structure of matter (82-XX)
2 Biology and other natural sciences (92-XX)
1 Topological groups, Lie groups (22-XX)
1 Measure and integration (28-XX)
1 Harmonic analysis on Euclidean spaces (42-XX)
1 Integral equations (45-XX)
1 Mechanics of particles and systems (70-XX)
1 Information and communication theory, circuits (94-XX)

Citations by Year