Bibliography

Major publications by the team in recent years

• 1L. Beznea, M. Deaconu, O. Lupascu.
  
  Branching processes for the fragmentation equation, in: Stochastic Processes and their Applications, 2015, vol. 125, pp. 1861-1885. [ DOI : 10.1016/j.spa.2014.11.016 ]
  
  https://hal.inria.fr/hal-00948876
• 2M. Bossy, J.-F. Jabir.
  
  Lagrangian stochastic models with specular boundary condition, in: Journal of Functional Analysis, March 2015, vol. 268, n^o 6, pp. 1309–1381.
  
  https://hal.inria.fr/hal-00875040
• 3M. Bossy, N. Maïzi, O. Pourtallier.
  
  Game theory analysis for carbon auction market through electricity market coupling, in: Commodities, Energy and Environmental Finance, M. Ludkovski, R. Sircar, R. Aid (editors), Fields Institute Communications, Springer, 2015, vol. 74, pp. 335-370. [ DOI : 10.1007/978-1-4939-2733-3_13 ]
  
  https://hal-mines-paristech.archives-ouvertes.fr/hal-01162832
• 4N. Champagnat, S. Méléard.
  
  Polymorphic evolution sequence and evolutionary branching, in: Probab. Theory Related Fields, 2011, vol. 151, n^o 1-2, pp. 45–94.
  
  http://dx.doi.org/10.1007/s00440-010-0292-9
• 5N. Champagnat, D. Villemonais.
  
  Exponential convergence to quasi-stationary distribution and Q-process, in: Probability Theory and Related Fields, 2016, 46 pages. [ DOI : 10.1007/s00440-014-0611-7 ]
  
  https://hal.archives-ouvertes.fr/hal-00973509
• 6L. Coutin, A. Lejay.
  
  Perturbed linear rough differential equations, in: Annales mathématiques Blaise Pascal, April 2014, vol. 21, n^o 1, pp. 103-150.
  
  https://hal.inria.fr/hal-00722900
• 7M. Deaconu, S. Herrmann.
  
  Hitting time for Bessel processes—walk on moving spheres algorithm (WoMS), in: Ann. Appl. Probab., 2013, vol. 23, n^o 6, pp. 2259–2289.
  
  http://dx.doi.org/10.1214/12-AAP900
• 8F. Delarue, J. Inglis, S. Rubenthaler, E. Tanré.
  
  Global solvability of a networked integrate-and-fire model of McKean-Vlasov type, in: Annals of Applied Probability, January 2015, vol. 25, n^o 4, pp. 2096–2133, Version 4: shortened version.
  
  https://hal.inria.fr/hal-00747565
• 9J. Inglis, D. Talay.
  
  Mean-field limit of a stochastic particle system smoothly interacting through threshold hitting-times and applications to neural networks with dendritic component, in: SIAM Journal on Mathematical Analysis, 2015, vol. 47, n^o 15, pp. 3884–3916. [ DOI : 10.1137/140989042 ]
  
  https://hal.inria.fr/hal-01069398
• 10A. Lejay.
  
  The snapping out Brownian motion, in: Annals of Applied Probability, September 2015.
  
  https://hal.inria.fr/hal-00781447

Publications of the year

Doctoral Dissertations and Habilitation Theses

• 11N. Champagnat.
  
  Stochastic and deterministic approaches in Biology: adaptive dynamics, ecological modeling, population genetics and molecular dynamics; Well-posedness for ordinary and stochastic differential equations, Université de Lorraine, February 2015, Habilitation à diriger des recherches.
  
  https://hal.inria.fr/tel-01188203

Articles in International Peer-Reviewed Journals

• 12L. Beznea, M. Deaconu, O. Lupascu.
  
  Branching processes for the fragmentation equation, in: Stochastic Processes and their Applications, 2015, vol. 125, pp. 1861-1885. [ DOI : 10.1016/j.spa.2014.11.016 ]
  
  https://hal.inria.fr/hal-00948876
• 13L. Beznea, M. Deaconu, O. Lupascu.
  
  Stochastic equation of fragmentation and branching processes related to avalanches, in: Journal of Statistical Physics, November 2015, Accepté pour publication.
  
  https://hal.inria.fr/hal-01216137
• 14M. Bossy, N. Champagnat, H. Leman, S. Maire, L. Violeau, M. Yvinec.
  
  Monte Carlo methods for linear and non-linear Poisson-Boltzmann equation, in: ESAIM: Proceedings, January 2015, 27 p.
  
  https://hal.inria.fr/hal-01088930
• 15M. Bossy, O. Faugeras, D. Talay.
  
  Clarification and Complement to " Mean-Field Description and Propagation of Chaos in Networks of Hodgkin–Huxley and FitzHugh–Nagumo Neurons ", in: Journal of Mathematical Neuroscience, 2015, vol. 5, n^o 1, 19 p. [ DOI : 10.1186/s13408-015-0031-8 ]
  
  https://hal.inria.fr/hal-01098582
• 16M. Bossy, J.-F. Jabir.
  
  Lagrangian stochastic models with specular boundary condition, in: Journal of Functional Analysis, March 2015, vol. 268, n^o 6, pp. 1309–1381.
  
  https://hal.inria.fr/hal-00875040
• 17N. Champagnat, D. Villemonais.
  
  Exponential convergence to quasi-stationary distribution and Q-process, in: Probability Theory and Related Fields, 2016, 46 pages. [ DOI : 10.1007/s00440-014-0611-7 ]
  
  https://hal.archives-ouvertes.fr/hal-00973509
• 18C. De Luigi, J. Lelong, S. Maire.
  
  Adaptive numerical integration and control variates for pricing Basket Options, in: Applied Numerical Mathematics, 2016, vol. 100, 17 p.
  
  https://hal.archives-ouvertes.fr/hal-00746872
• 19M. Deaconu, S. Herrmann, S. Maire.
  
  The walk on moving spheres: a new tool for simulating Brownian motion's exit time from a domain, in: Mathematics and Computers in Simulation, 2015.
  
  https://hal.archives-ouvertes.fr/hal-00931816
• 20F. Delarue, J. Inglis, S. Rubenthaler, E. Tanré.
  
  Global solvability of a networked integrate-and-fire model of McKean-Vlasov type, in: Annals of Applied Probability, January 2015, vol. 25, n^o 4, pp. 2096–2133, Version 4: shortened version.
  
  https://hal.inria.fr/hal-00747565
• 21F. Delarue, J. Inglis, S. Rubenthaler, E. Tanré.
  
  Particle systems with a singular mean-field self-excitation. Application to neuronal networks, in: Stochastic Processes and Applications, 2015, vol. 125, pp. 2451–2492. [ DOI : 10.1016/j.spa.2015.01.007 ]
  
  https://hal.inria.fr/hal-01001716
• 22I. T. Dimov, S. Maire, J.-M. Sellier.
  
  A New Walk on Equations Monte Carlo Method for Linear Algebraic Problems, in: Applied Mathematical Modelling, August 2015, vol. 39, n^o 15. [ DOI : 10.1016/j.apm.2014.12.018 ]
  
  https://hal.inria.fr/hal-00979044
• 23S. Herrmann, E. Tanré.
  
  The first-passage time of the Brownian motion to a curved boundary: an algorithmic approach, in: SIAM Journal on Scientific Computing, January 2016, vol. 38, n^o 1, 20 p. [ DOI : 10.1137/151006172 ]
  
  https://hal.inria.fr/hal-01110387
• 24A. Lejay.
  
  The snapping out Brownian motion, in: Annals of Applied Probability, September 2015.
  
  https://hal.inria.fr/hal-00781447
• 25S. Maire, G. Nguyen.
  
  Stochastic finite differences for elliptic diffusion equations in stratified domains, in: Mathematics and Computers in Simulation, March 2016, vol. 121. [ DOI : 10.1016/j.matcom.2015.09.008 ]
  
  https://hal.inria.fr/hal-00809203
• 26S. Maire, M. Simon.
  
  A partially reflecting random walk on spheres algorithm for electrical impedance tomography, in: Journal of Computational Physics, December 2015, vol. 303. [ DOI : 10.1016/j.jcp.2015.10.005 ]
  
  https://hal.inria.fr/hal-01253538
• 27A. Richard.
  
  A fractional Brownian field indexed by $L^2$ and a varying Hurst parameter, in: Stochastic Processes and their Applications, April 2015, vol. 125.
  
  https://hal.inria.fr/hal-00922028
• 28X. Thanh Vu †, S. Maire, C. Chaux, N. Thirion-Moreau.
  
  A new stochastic optimization algorithm to decompose large nonnegative tensors, in: IEEE Signal Processing Letters, 2015, 12 p.
  
  https://hal.archives-ouvertes.fr/hal-01146443
• 29D. Villemonais.
  
  Minimal quasi-stationary distribution approximation for a birth and death process, in: Electronic Journal of Probability, March 2015, vol. 20, n^o 30, pp. 1-18, The new version provides an original Lyapunov-type criterion for the ${\xi }_1$-positive recurrence of a birth and death process. An original result on the domain of attraction of the minimal quasi-stationary distribution of a birth and death processes is also included. (26 pages). [ DOI : 10.1214/EJP.v20-3482 ]
  
  https://hal.archives-ouvertes.fr/hal-00983773

International Conferences with Proceedings

• 30B. Dumortier, E. Vincent, M. Deaconu.
  
  Acoustic Control of Wind Farms, in: EWEA 2015 - European Wind Energy Association, Paris, France, November 2015.
  
  https://hal.inria.fr/hal-01233730

Scientific Books (or Scientific Book chapters)

• 31M. Bossy, N. Maïzi, O. Pourtallier.
  
  Game theory analysis for carbon auction market through electricity market coupling, in: Commodities, Energy and Environmental Finance, M. Ludkovski, R. Sircar, R. Aid (editors), Fields Institute Communications, Springer, 2015, vol. 74, pp. 335-370. [ DOI : 10.1007/978-1-4939-2733-3_13 ]
  
  https://hal-mines-paristech.archives-ouvertes.fr/hal-01162832

Internal Reports

• 32N. Champagnat, M. Deaconu, A. Lejay, A. Bedoui.
  
  Analyse de dépendance d'actifs financiers par la méthode des copules, Inria, February 2015, 61 p.
  
  https://hal.inria.fr/hal-01114790
• 33A. Lejay.
  
  Estimation of the mean residence time in cells surrounded by semi-permeable membranes by a Monte Carlo method, Inria Nancy - Grand Est (Villers-lès-Nancy, France) ; Inria, April 2015, n^o RR-8709.
  
  https://hal.inria.fr/hal-01140960

Other Publications

• 34M. Baar, A. Bovier, N. Champagnat.
  
  From stochastic, individual-based models to the canonical equation of adaptive dynamics - In one step, 2015, working paper or preprint.
  
  https://hal.inria.fr/hal-01188189
• 35M. Bossy, J.-F. Jabir.
  
  Particle approximation for Lagrangian Stochastic Models with specular boundary condition, April 2015, working paper or preprint.
  
  https://hal.inria.fr/hal-01147441
• 36M. Bossy, H. O. Quinteros.
  
  Strong convergence of the symmetrized Milstein scheme for some CEV-like SDEs, August 2015, working paper or preprint.
  
  https://hal.archives-ouvertes.fr/hal-01185353
• 37F. Campillo, N. Champagnat, C. Fritsch.
  
  Links between deterministic and stochastic approaches for invasion in growth-fragmentation-death models, September 2015, working paper or preprint.
  
  https://hal.archives-ouvertes.fr/hal-01205467
• 38F. Campillo, N. Champagnat, C. Fritsch.
  
  On the variations of the principal eigenvalue and the probability of survival with respect to a parameter in growth-fragmentation-death models, January 2016, working paper or preprint.
  
  https://hal.inria.fr/hal-01254053
• 39N. Champagnat.
  
  Processus de Galton-Watson et applications en dynamique des populations, October 2015, 46 p, Lecture.
  
  https://hal.inria.fr/cel-01216832
• 40N. Champagnat, B. Henry.
  
  Moments of the frequency spectrum of a splitting tree with neutral Poissonian mutations, September 2015, working paper or preprint.
  
  https://hal.archives-ouvertes.fr/hal-01202732
• 41N. Champagnat, P.-E. Jabin.
  
  Strong solutions to stochastic differential equations with rough coefficients, September 2015, working paper or preprint.
  
  https://hal.inria.fr/hal-00799242
• 42N. Champagnat, D. Villemonais.
  
  Exponential convergence to quasi-stationary distribution for absorbed one-dimensional diffusions with killing, October 2015, working paper or preprint.
  
  https://hal.inria.fr/hal-01217843
• 43N. Champagnat, D. Villemonais.
  
  Exponential convergence to quasi-stationary distribution for one-dimensional diffusions, June 2015, working paper or preprint.
  
  https://hal.inria.fr/hal-01166960
• 44N. Champagnat, D. Villemonais.
  
  Quasi-stationary distribution for multi-dimensional birth and death processes conditioned to survival of all coordinates, August 2015, working paper or preprint.
  
  https://hal.inria.fr/hal-01188172
• 45M. Chikhaoui.
  
  Gestion de risque de portefeuille : estimation de la VaR et CVaR, Ecole Supérieure Privée d'Ingénierie et de Technologie, September 2015.
  
  https://hal.inria.fr/hal-01246153
• 46J. Claisse, D. Talay, X. Tan.
  
  A pseudo-Markov property for controlled diffusion processes, January 2015, working paper or preprint.
  
  https://hal.inria.fr/hal-01108657
• 47L. Coutin, A. Lejay.
  
  Sensitivity of rough differential equations, March 2015, working paper or preprint.
  
  https://hal.inria.fr/hal-00875670
• 48P. Del Moral, D. Villemonais.
  
  Exponential mixing properties for time inhomogeneous diffusion processes with killing, January 2016, 23 pages. The introduction has been developped and the results are now compared with existing ones. Several examples have been added. Several misprints and weakly formulated arguments have been rewritten.
  
  https://hal.archives-ouvertes.fr/hal-01083297
• 49B. Henry.
  
  CLTs for general branching processes related to splitting trees, September 2015, working paper or preprint.
  
  https://hal.archives-ouvertes.fr/hal-01202095
• 50J. Inglis, J. Maclaurin.
  
  A general framework for stochastic traveling waves and patterns, with application to neural field equations, June 2015, 43 pages, 3 figures.
  
  https://hal.archives-ouvertes.fr/hal-01169697
• 51J. Inglis, D. Talay.
  
  Mean-field limit of a stochastic particle system smoothly interacting through threshold hitting-times and applications to neural networks with dendritic component, September 2015, working paper or preprint.
  
  https://hal.inria.fr/hal-01069398
• 52A. Kohatsu-Higa, A. Lejay, K. Yasuda.
  
  Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift, May 2015, working paper or preprint.
  
  https://hal.inria.fr/hal-00840211
• 53A. Lejay.
  
  A Monte Carlo estimation of the mean residence time in cells surrounded by thin layers, December 2015, working paper or preprint.
  
  https://hal.inria.fr/hal-01216471
• 54A. Lejay, L. Lenôtre, G. Pichot.
  
  One-dimensional skew diffusions: explicit expressions of densities and resolvent kernels, December 2015, working paper or preprint.
  
  https://hal.inria.fr/hal-01194187
• 55C. Michel, V. Reutenauer, D. Talay, E. Tanré.
  
  Liquidity costs: a new numerical methodology and an empirical study, December 2015, working paper or preprint.
  
  https://hal.inria.fr/hal-01098096
• 56A. Richard.
  
  Increment stationarity of $L^2$-indexed stochastic processes: spectral representation and characterization, December 2015, working paper or preprint.
  
  https://hal.inria.fr/hal-01236156
• 57K. Salhi, M. Deaconu, A. Lejay, N. Champagnat, N. Navet.
  
  Regime switching model for financial data: empirical risk analysis, February 2015, working paper or preprint.
  
  https://hal.inria.fr/hal-01095299

References in notes

• 58J. Baladron, D. Fasoli, O. Faugeras, J. Touboul.
  
  Mean Field description of and propagation of chaos in networks of Hodgkin-Huxley and Fitzhugh-Nagumo neurons, in: Journal of Mathematical Neuroscience, 2012, vol. 2, n^o 10.
• 59N. Champagnat, S. Méléard.
  
  Polymorphic evolution sequence and evolutionary branching, in: Probab. Theory Related Fields, 2011, vol. 151, n^o 1-2, pp. 45–94.
  
  http://dx.doi.org/10.1007/s00440-010-0292-9
• 60P. Del Moral, A. Guionnet.
  
  On the stability of interacting processes with applications to filtering and genetic algorithms, in: Ann. Inst. H. Poincaré Probab. Statist., 2001, vol. 37, n^o 2, pp. 155–194.
  
  http://dx.doi.org/10.1016/S0246-0203(00)01064-5
• 61P. Del Moral, L. Miclo.
  
  On the stability of nonlinear Feynman-Kac semigroups, in: Ann. Fac. Sci. Toulouse Math. (6), 2002, vol. 11, n^o 2, pp. 135–175.
  
  http://www.numdam.org/item?id=AFST_2002_6_11_2_135_0