Well-posedness for some non-linear SDEs and related PDE on the Wasserstein space. Zbl 1494.60063
Chaudru De Raynal, Paul-Eric; Frikha, Noufel |
|
2022
|
Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling. Zbl 1185.91091
Bardou, O.; Frikha, N.; Pagès, G. |
|
2009
|
On the weak approximation of a skew diffusion by an Euler-type scheme. Zbl 1429.60052
Frikha, Noufel |
|
2018
|
Multi-level stochastic approximation algorithms. Zbl 1344.93111
Frikha, Noufel |
|
2016
|
Concentration bounds for stochastic approximations. Zbl 1252.60065
Frikha, Noufel; Menozzi, Stéphane |
|
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 |
|
2021
|
Weak uniqueness and density estimates for SDEs with coefficients depending on some path-functionals. Zbl 1451.35073
Frikha, Noufel; Li, Libo |
|
2020
|
CVaR hedging using quantization-based stochastic approximation algorithm. Zbl 1331.91199
Bardou, O.; Frikha, N.; Pagès, G. |
|
2016
|
Transport-entropy inequalities and deviation estimates for stochastic approximation schemes. Zbl 1284.60137
Fathi, Max; Frikha, Noufel |
|
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 |
|
2019
|
Well-posedness of some non-linear stable driven SDEs. Zbl 1477.60086
Frikha, Noufel; Konakov, Valentin; Menozzi, Stéphane |
|
2021
|
Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs. Zbl 1475.60101
Frikha, Noufel; Li, Libo |
|
2021
|
Quantization based recursive importance sampling. Zbl 1272.65004
Frikha, Noufel; Sagna, Abass |
|
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 |
|
2009
|
Shortfall risk minimization in discrete time financial market models. Zbl 1308.91081
Frikha, N. |
|
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 |
|
2022
|
Parametrix method for the first hitting time of an elliptic diffusion with irregular coefficients. Zbl 1490.60155
Frikha, Noufel; Li, Libo |
|
2021
|
Joint modelling of gas and electricity spot prices. Zbl 1457.91278
Frikha, Noufel; Lemaire, Vincent |
|
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 |
|
2023
|
A multi-step Richardson-Romberg extrapolation method for stochastic approximation. Zbl 1336.60137
Frikha, N.; Huang, Lorick |
|
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 |
|
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 |
|
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 |
|
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 |
|
2021
|
Well-posedness of some non-linear stable driven SDEs. Zbl 1477.60086
Frikha, Noufel; Konakov, Valentin; Menozzi, Stéphane |
|
2021
|
Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs. Zbl 1475.60101
Frikha, Noufel; Li, Libo |
|
2021
|
Parametrix method for the first hitting time of an elliptic diffusion with irregular coefficients. Zbl 1490.60155
Frikha, Noufel; Li, Libo |
|
2021
|
Weak uniqueness and density estimates for SDEs with coefficients depending on some path-functionals. Zbl 1451.35073
Frikha, Noufel; Li, Libo |
|
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 |
|
2019
|
On the weak approximation of a skew diffusion by an Euler-type scheme. Zbl 1429.60052
Frikha, Noufel |
|
2018
|
Multi-level stochastic approximation algorithms. Zbl 1344.93111
Frikha, Noufel |
|
2016
|
CVaR hedging using quantization-based stochastic approximation algorithm. Zbl 1331.91199
Bardou, O.; Frikha, N.; Pagès, G. |
|
2016
|
A multi-step Richardson-Romberg extrapolation method for stochastic approximation. Zbl 1336.60137
Frikha, N.; Huang, Lorick |
|
2015
|
Shortfall risk minimization in discrete time financial market models. Zbl 1308.91081
Frikha, N. |
|
2014
|
Transport-entropy inequalities and deviation estimates for stochastic approximation schemes. Zbl 1284.60137
Fathi, Max; Frikha, Noufel |
|
2013
|
Joint modelling of gas and electricity spot prices. Zbl 1457.91278
Frikha, Noufel; Lemaire, Vincent |
|
2013
|
Concentration bounds for stochastic approximations. Zbl 1252.60065
Frikha, Noufel; Menozzi, Stéphane |
|
2012
|
Quantization based recursive importance sampling. Zbl 1272.65004
Frikha, Noufel; Sagna, Abass |
|
2012
|
Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling. Zbl 1185.91091
Bardou, O.; Frikha, N.; Pagès, G. |
|
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 |
|
2009
|