## About

57

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Introduction

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October 2010 - August 2013

## Publications

Publications (57)

In this paper we consider an entirely new - previously unstudied to the best of our knowledge - type of density fluctuations stochastic partial differential equation with a singular coefficient involving the inverse of a probability density. The equation was recently introduced by Schieber \cite{jay3} while working on a new polymer molecular dynami...

In this article, we introduce an algorithm called Backward Hedging, designed for hedging European and American options while considering transaction costs. The optimal strategy is determined by minimizing an appropriate loss function, which is based on either a risk measure or the mean squared error of the hedging strategy at maturity. By appropria...

The atomization process in the aeronautic's combustion chambers is a fundamental physical phenomenon to address in order to predict the pollutant production in combustion analysis. An unified model able to tackle the multi-scale nature of the atomization and to simulate the multiphase flow from the outlet of the injector up to the disperse spray is...

We study the well-posedness and numerical approximation of multidimensional stochastic differential equations (SDEs) with distributional drift, driven by a fractional Brownian motion. First, we prove weak existence for such SDEs. This holds under a condition that relates the Hurst parameter $H$ of the noise to the Besov regularity of the drift. The...

Loosely speaking, the Navier-Stokes-$\alpha$ model and the Navier-Stokes equations differ by a spatial filtration parametrized by a scale denoted $\alpha$. Starting from a strong two-dimensional solution to the Navier-Stokes-$\alpha$ model driven by a multiplicative noise, we demonstrate that it generates a strong solution to the stochastic Navier-...

Total value adjustment (XVA) is the change in value to be added to the price of a derivative to account for the bilateral default risk and the funding costs. In this paper, we compute such a premium for American basket derivatives whose payoff depends on multiple underlyings. In particular, in our model, those underlying are supposed to follow the...

The primary emphasis of this work is the development of a finite element based space–time discretization for solving the stochastic Lagrangian averaged Navier–Stokes (LANS-α) equations of incompressible fluid turbulence with multiplicative random forcing, under nonperiodic boundary conditions within a bounded polygonal (or polyhedral) domain of Rd,...

Significance
The analysis of complex systems with many degrees of freedom generally involves the definition of low-dimensional collective variables more amenable to physical understanding. Their dynamics can be modeled by generalized Langevin equations, whose coefficients have to be estimated from simulations of the initial high-dimensional system....

Evaluating moving average options is a tough computational challenge for the energy and commodity market as the payoff of the option depends on the prices of a certain underlying observed on a moving window so, when a long window is considered, the pricing problem becomes high dimensional. We present an efficient method for pricing Bermudan style m...

The primary emphasis of this work is the development of a finite element based space-time discretization for solving the stochastic Lagrangian averaged Navier-Stokes (LANS-$\alpha$) equations of incompressible fluid turbulence with multiplicative random forcing, under nonperiodic boundary conditions within a bounded polygonal (or polyhedral) domain...

We introduce a new method to accurately and efficiently estimate the effective dynamics of collective variables in molecular simulations. Such reduced dynamics play an essential role in the study of a broad class of processes, ranging from chemical reactions in solution to conformational changes in biomolecules or phase transitions in condensed mat...

Evaluating moving average options is a tough computational challenge for the energy and commodity market as the payoff of the option depends on the prices of a certain underlying observed on a moving window so, when a long window is considered, the pricing problem becomes high dimensional. We present an efficient method for pricing Bermudan style m...

The characterization of intermittency in turbulence has its roots in the refined similarity hypotheses of Kolmogorov, and if no proper definition is to be found in the literature, statistical properties of intermittency were studied and models were developed in an attempt to reproduce it. The first contribution of this work is to propose a requirem...

We consider a stochastic perturbation of the phase field alpha-Navier-Stokes model with vesicle-fluid interaction. It consists in a system of nonlinear evolution partial differential equations modeling the fluid-structure interaction associated to the dynamics of an elastic vesicle immersed in a moving incompressible viscous fluid. This system of e...

The characterization of intermittency in turbulence has its roots in the K62 theory, and if no proper definition is to be found in the literature, statistical properties of intermittency were studied and models were developed in attempt to reproduce it. The first contribution of this work is to propose a requirement list to be satisfied by models d...

We study the asymptotic properties of the stochastic Cahn-Hilliard equation with the logarithmic free energy by establishing different dimension-free Harnack inequalities according to various kinds of noises. The main characteristics of this equation are the singularities of the logarithmic free energy at 1 and --1 and the conservation of the mass...

We study the asymptotic properties of the stochastic Cahn-Hilliard equation with the logarithmic free energy by establishing different dimension-free Harnack inequalities according to various kinds of noises. The main characteristics of this equation are the singularities of the logarithmic free energy at 1 and −1 and the conservation of the mass o...

In this paper, we investigate value and Greeks computation of a guaranteed minimum withdrawal benefit (GMWB) variable annuity, when both stochastic volatility and stochastic interest rate are considered together in the Heston–Hull–White model. In addition, as an insurance product, a guaranteed minimum death benefit is embedded in the contract. We c...

Credit Value Adjustment is the charge applied by financial institutions to the counter-party to cover the risk of losses on a counterpart default event. In this paper we estimate such a premium under the Bates stochastic model (Bates in The Review of Financial Studies 9(1): 69–107, 1996), which considers an underlying affected by both stochastic vo...

We consider a stochastic perturbation of the $\alpha$-Navier-Stokes model. The stochastic perturbation is an additive space-time noise of trace class. Under a natural condition about the trace of operator $Q$ in front of the noise, we prove the existence and uniqueness of strong solution, continuous in time in classical spaces of $L^{2}$ functions...

We consider a stochastic perturbation of the $\alpha$-Navier-Stokes model. The stochastic perturbation is an additive space-time noise of trace class.
Under a natural condition about the trace of operator $Q$ in front of the noise, we prove the existence and uniqueness of strong solution, continuous in time in classical spaces of $L^{2}$ functions...

In this paper we propose two efficient techniques which allow one to compute the price of American basket options. In particular, we consider a basket of assets that follow a multi-dimensional Black–Scholes dynamics. The proposed techniques, called GPR Tree (GRP-Tree) and GPR Exact Integration (GPR-EI), are both based on Machine Learning, exploited...

In this paper we modify the Gaussian Process Regression Monte Carlo (GPR-MC) method introduced by Gouden\`ege et al. proposing two efficient techniques which allow one to compute the price of American basket options. In particular, we consider basket of assets that follow a Black-Scholes dynamics. The proposed techniques, called GPR Tree (GRP-Tree)...

In this paper we propose an efficient method to compute the price of American basket options, based on Machine Learning and Monte Carlo simulations. Specifically, the options we consider are written on a basket of assets, each of them following a Black-Scholes dynamics. The method we propose is a backward dynamic programming algorithm which conside...

In this paper we develop an efficient approach based on a Machine Learning technique which allows one to quickly evaluate insurance products considering stochastic volatility and interest rate. Specifically, following De Spiegeleer et al., we apply Gaussian Process Regression to compute the price and the Greeks of a GMWB Variable Annuity. Starting...

Valuing Guaranteed Minimum Withdrawal Benefit (GMWB) has attracted significant attention from both the academic field and real world financial markets. As remarked by Yang and Dai, the Black and Scholes framework seems to be inappropriate for such a long maturity products. Also Chen Vetzal and Forsyth in showed that the price of these products is v...

Modeling taxation in GMWB Variable Annuities has been frequently neglected but accounting for it can significantly improve the explanation of the withdrawal dynamics and lead to a better modeling of the financial cost of these insurance products. The importance of including a model of taxation has first been observed by Moenig and Bauer while consi...

We consider a stochastic perturbation of the phase field alpha-Navier-Stokes model with vesicle-fluid interaction. It consists in a system of nonlinear evolution partial differential equations modeling the fluid-structure interaction associated to the dynamics of an elastic vesicle immersed in a moving incompressible viscous fluid. This system of e...

We consider a stochastic perturbation of the phase field alpha-Navier-Stokes model with vesicle-fluid interaction. It consists in a system of nonlinear evolution partial differential equations modeling the fluid-structure interaction associated to the dynamics of an elastic vesicle immersed in a moving incompressible viscous fluid. This system of e...

This paper exposes a novel exploratory formalism, the end goal of which is the numerical simulation of the dynamics of a cloud of particles weakly or strongly coupled with a turbulent fluid. Given the large panel of expertise of the list of authors, the content of this paper scans a wide range of connex notions, from the physics of turbulence to th...

In this paper is described the general aspect of a numerical method for piecewise determin-istic Markov processes with boundary. Under very natural hypotheses, a crucial result about uniqueness of solution of a generalized Kolmogorov equation with respect to a test function space is proved. Next we prove the existence and uniqueness of a positive s...

This paper exposes a novel exploratory formalism, which end goal is the numerical simulation of the dynamics of a cloud of particles weakly or strongly coupled with a turbulent fluid. Giventhe large panel of expertise of the list of authors, the content of this paper scans a wide range of connexnotions, from the physics of turbulence to the rigorou...

Credit value adjustment (CVA) is the charge applied by financial institutions to the counterparty to cover the risk of losses on a counterpart default event. In this paper we estimate such a premium under the Bates stochastic model (Bates [4]), which considers an underlying affected by both stochastic volatility and random jumps. We propose an effi...

This article is devoted to the analysis fo the weak rates of convergence of schemes introduced by the authors in a recent work, for the temporal discretization of the stochastic Allen-Cahn equation driven by space-time white noise. The schemes are based on splitting strategies and are explicit. We prove that they have a weak rate of convergence equ...

We introduce and analyze an explicit time discretization scheme for the one-dimensional stochastic Allen-Cahn, driven by space-time white noise. The scheme is based on a splitting strategy, and uses the exact solution for the nonlinear term contribution. We first prove boundedness of moments of the numerical solution. We then prove strong convergen...

The Adaptive
Multilevel Splitting
(AMS) algorithm
is a powerful and versatile iterative method to estimate the probabilities of rare events. We prove a new central limit theorem for the associated AMS estimators introduced in [5], and which have been recently revisited in [3]—the main result there being (non-asymptotic) unbiasedness of the estimato...

Valuing Guaranteed Lifelong Withdrawal Benefit (GLWB) has attracted
significant attention from both the academic field and real world financial
markets. As remarked by Forsyth and Vetzal the Black and Scholes framework
seems to be inappropriate for such long maturity products. They propose to use
a regime switching model. Alternatively, we propose...

We introduce a generalization of the Adaptive Multilevel Splitting algorithm
in the discrete time dynamic setting, namely when it is applied to sample rare
events associated with paths of Markov chains. By interpreting the algorithm as
a sequential sampler in path space, we are able to build an estimator of the
rare event probability (and of any no...

We consider a stochastic partial differential equation with a logarithmic
nonlinearity with singularities at $1$ and $-1$ and a constraint of
conservation of the space average. The equation, driven by a trace-class
space-time noise, contains a bi-Laplacian in the drift. We obtain existence of
solution for equation with polynomial approximation of t...

In this paper is described the general aspect of a numerical method for piecewise
deterministic Markov processes with boundary. Under very natural hypotheses, a crucial
result about uniqueness of solution of a generalized Kolmogorov equation with respect to a
test function space is proved. Next we prove the existence and uniqueness of a positive
so...

The Adaptive Multilevel Splitting algorithm is a very powerful and versatile
iterative method to estimate the probability of rare events, based on an
interacting particle systems. In an other article, in a so-called idealized
setting, the authors prove that some associated estimators are unbiased, for
each value of the size n of the systems of repl...

We define and study two mathematical models of a surprising biological
strategy where some individuals adopt a behaviour that is harmful to others
without any direct advantage for themselves. The first model covers a single
reproductive season, and is mathematically a mix between samplings with and
without replacement; its analysis is done by a sor...

In this work, we consider the numerical estimation of the probability for a
stochastic process to hit a set B before reaching another set A. This event is
assumed to be rare. We consider reactive trajectories of the stochastic
Allen-Cahn partial differential evolution equation (with double well potential)
in dimension 1. Reactive trajectories are d...

In this work, we propose a numerical method based on high degree continuous
nodal elements for the Cahn-Hilliard evolution. The use of the p-version of the
finite element method proves to be very efficient and favorably compares with
other existing strategies (C^1 elements, adaptive mesh refinement, multigrid
resolution, etc). Beyond the classical...

In a first part, we are concerned with the stochastic Cahn-Hilliard partial differential equation in dimension 1 with one singularity. This is an equation of order 4 driven by the derivative of a space-time white noise. There is a logarithmic nonlinearity or a negative power $x^{-\alpha}$ nonlinearity. Thanks to Lipschitz approximated equations, we...

We consider a stochastic partial differential equation with logarithmic (or negative power) nonlinearity, with one reflection at 0 and with a constraint of conservation of the space average. The equation, driven by the derivative in space of a space–time white noise, contains a bi-Laplacian in the drift. The lack of the maximum principle for the bi...

We consider a stochastic partial differential equation with two logarithmic nonlinearities, with two reflections at 1 and -1 and with a constraint of conservation of the space average. The equation, driven by the derivative in space of a space-time white noise, contains a bi-Laplacian in the drift. The lack of the maximum principle for the bi-Lapla...

Nous nous intéressons d'abord à l'équation aux dérivées partielles stochastique de Cahn-Hilliard en dimension 1 avec une seule singularité. C'est une équation d'ordre 4 dont la non linéarité est de type logarithmique ou en puissance négative $x^{-\alpha}$, à laquelle on ajoute la dérivée d'un bruit blanc en espace et en temps. On montre l'existence...