Recherche
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HJB equations in infinite dimension with locally Lipschitz Hamiltonian and unbounded terminal condition
(Journal of Differential Equations. vol. 257, n° 6, pp. 1989-2034, 2014-09-15)Article de revue -
Sequential Monte Carlo Methods for Option Pricing
(Stochastic Analysis and Applications. vol. 29, n° 2, pp. 292-316, 2011)Article de revue -
Random coefficients bifurcating autoregressive processes
(ESAIM: Probability and Statistics. vol. 18, pp. 365-399, 2014)Article de revue -
A nonasymptotic theorem for unnormalized Feynman-Kac particle models
(Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques. vol. 47, n° 3, pp. 629-649, 2011)Article de revue -
Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition
(Stochastic Processes and their Applications. vol. 122, n° 9, pp. 3173--3208, 2012-09)Article de revue -
Moderate deviations for the Durbin-Watson statistic related to the first-order autoregressive process
(2012-01-17)Document de travail - Pré-publication -
Numerical method for the distribution of an exit time for piecewise-deterministic Markov processes
Communication dans un congrès -
Modèle de Markov caché pour la détection d'un mode de fonctionnement dégradé d'un équipement optronique
Communication dans un congrès -
Non-linear Bayesian Filtering by Convolution Method Using Fast Fourier Transform
Communication dans un congrès