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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, no 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, no 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, no 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, no 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, no 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, no 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

Articles in International Peer-Reviewed Journals

  • 11M. Baar, A. Bovier, N. Champagnat.

    From stochastic, individual-based models to the canonical equation of adaptive dynamics - In one step, in: The Annals of Applied Probability : an official journal of the institute of mathematical statistics, 2016, vol. Online first.

    https://hal.inria.fr/hal-01188189
  • 12L. Beznea, M. Deaconu, O. Lupascu.

    Stochastic equation of fragmentation and branching processes related to avalanches, in: Journal of Statistical Physics, February 2016, vol. 162, no 4, pp. 824-841, Accepté pour publication.

    https://hal.inria.fr/hal-01216137
  • 13M. Bossy, J. Espina, J. Morice, C. Paris, A. Rousseau.

    Modeling the wind circulation around mills with a Lagrangian stochastic approach , in: SMAI Journal of Computational Mathematics, September 2016, vol. 2, pp. 177-214. [ DOI : 10.5802/smai-jcm.13 ]

    https://hal.inria.fr/hal-01401140
  • 14M. Bossy, H. O. Quinteros.

    Strong convergence of the symmetrized Milstein scheme for some CEV-like SDEs, in: Bernoulli, December 2016, forthcoming.

    https://hal.archives-ouvertes.fr/hal-01185353
  • 15F. Campillo, N. Champagnat, C. Fritsch.

    Links between deterministic and stochastic approaches for invasion in growth-fragmentation-death models, in: Journal of Mathematical Biology, 2016. [ DOI : 10.1007/s00285-016-1012-6 ]

    https://hal.archives-ouvertes.fr/hal-01205467
  • 16N. Champagnat, B. Henry.

    Moments of the frequency spectrum of a splitting tree with neutral Poissonian mutations, in: Electronic Journal of Probability, 2016, vol. 21, no 53, pp. 1-34. [ DOI : 10.1214/16-EJP4577 ]

    https://hal.archives-ouvertes.fr/hal-01202732
  • 17N. Champagnat, D. Villemonais.

    Exponential convergence to quasi-stationary distribution and Q-process, in: Probability Theory and Related Fields, 2016, vol. 164, no 1, pp. 243-283, 46 pages. [ DOI : 10.1007/s00440-014-0611-7 ]

    https://hal.archives-ouvertes.fr/hal-00973509
  • 18J. Claisse, D. Talay, X. Tan.

    A pseudo-Markov property for controlled diffusion processes, in: SIAM Journal on Control and Optimization, 2016, vol. 54, no 2, pp. 1017-1029. [ DOI : 10.1137/151004252 ]

    https://hal.inria.fr/hal-01108657
  • 19C. 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
  • 20M. Deaconu, S. Herrmann.

    Simulation of hitting times for Bessel processes with non integer dimension, in: Bernoulli journal, May 2016.

    https://hal.archives-ouvertes.fr/hal-00933198
  • 21S. 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, no 1, 20 p. [ DOI : 10.1137/151006172 ]

    https://hal.inria.fr/hal-01110387
  • 22J. Inglis, J. Maclaurin.

    A general framework for stochastic traveling waves and patterns, with application to neural field equations, in: SIAM Journal on Applied Dynamical Systems, 2016, vol. 15, no 1, pp. 195-234, 43 pages, 3 figures. [ DOI : 10.1137/15M102856X ]

    https://hal.archives-ouvertes.fr/hal-01169697
  • 23A. Lejay.

    The snapping out Brownian motion, in: Annals of Applied Probability, 2016, vol. 26, no 3, pp. 1727-1742. [ DOI : 10.1214/15-AAP1131 ]

    https://hal.inria.fr/hal-00781447
  • 24A. Lejay, G. Pichot.

    Simulating Diffusion Processes in Discontinuous Media: Benchmark Tests, in: Journal of Computational Physics, June 2016, vol. 314, pp. 348-413. [ DOI : 10.1016/j.jcp.2016.03.003 ]

    https://hal.inria.fr/hal-01003853
  • 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
  • 26C. Michel, V. Reutenauer, D. Talay, E. Tanré.

    Liquidity costs: a new numerical methodology and an empirical study, in: Applied Mathematical Finance, 2016. [ DOI : 10.1080/1350486X.2016.1164608 ]

    https://hal.inria.fr/hal-01098096
  • 27A. Richard.

    Increment stationarity of L2-indexed stochastic processes: spectral representation and characterization, in: Electronic Communications in Probability, February 2016, vol. 21, 15 p. [ DOI : 10.1214/16-ECP4727 ]

    https://hal.inria.fr/hal-01236156
  • 28K. Salhi, M. Deaconu, A. Lejay, N. Champagnat, N. Navet.

    Regime switching model for financial data: empirical risk analysis, in: Physica A, May 2016, vol. 461, pp. 148–157. [ DOI : 10.1016/j.physa.2016.05.002 ]

    https://hal.inria.fr/hal-01095299

International Conferences with Proceedings

  • 29M. Bossy, R. Maftei, C. Profeta, J.-P. Minier.

    A stochastic approach to colloidal particle collision/agglomeration, in: ICMF, Firenze, Italy, May 2016.

    https://hal.inria.fr/hal-01400678

Internal Reports

  • 30N. Champagnat, M. Deaconu, A. Lejay.

    Méthodes de calcul de la Value-at-Risk et de la Conditional Value-at-Risk, Inria Nancy - Grand Est (Villers-lès-Nancy, France), January 2016.

    https://hal.archives-ouvertes.fr/hal-01305032

Other Publications

  • 31R. Azaïs, A. Genadot, B. Henry.

    Inference for conditioned Galton-Watson trees from their Harris path, September 2016, working paper or preprint.

    https://hal.archives-ouvertes.fr/hal-01360650
  • 32V. Bally, L. Caramellino, P. Pigato.

    Diffusions under a local strong Hörmander condition. Part I: density estimates, July 2016, working paper or preprint.

    https://hal.archives-ouvertes.fr/hal-01407409
  • 33V. Bally, L. Caramellino, P. Pigato.

    Diffusions under a local strong Hörmander condition. Part II: tube estimates, July 2016, working paper or preprint.

    https://hal.archives-ouvertes.fr/hal-01407420
  • 34M. Bonino, M. Camelia, P. Pigato.

    A multivariate model for financial indices and an algorithm for detection of jumps in the volatility, December 2016, 20 pages, 22 figures.

    https://hal.archives-ouvertes.fr/hal-01408495
  • 35F. 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, February 2016, working paper or preprint.

    https://hal.inria.fr/hal-01254053
  • 36N. Champagnat, J. Claisse.

    On the link between infinite horizon control and quasi-stationary distributions, 2016, working paper or preprint.

    https://hal.inria.fr/hal-01349663
  • 37N. Champagnat, A. Coulibaly-Pasquier, D. Villemonais.

    Exponential convergence to quasi-stationary distribution for multi-dimensional diffusion processes, March 2016, working paper or preprint.

    https://hal.archives-ouvertes.fr/hal-01293622
  • 38N. Champagnat, D. Villemonais.

    Population processes with unbounded extinction rate conditioned to non-extinction, November 2016, working paper or preprint.

    https://hal.inria.fr/hal-01395731
  • 39N. Champagnat, D. Villemonais.

    Uniform convergence of conditional distributions for absorbed one-dimensional diffusions, May 2016, working paper or preprint.

    https://hal.inria.fr/hal-01166960
  • 40N. Champagnat, D. Villemonais.

    Uniform convergence of penalized time-inhomogeneous Markov processes, March 2016, working paper or preprint.

    https://hal.inria.fr/hal-01290222
  • 41N. Champagnat, D. Villemonais.

    Uniform convergence to the Q-process, November 2016, working paper or preprint.

    https://hal.inria.fr/hal-01395727
  • 42B. Cloez, C. Fritsch.

    Gaussian approximations for chemostat models in finite and infinite dimensions, September 2016, working paper or preprint.

    https://hal.archives-ouvertes.fr/hal-01371591
  • 43L. Coutin, A. Lejay.

    Sensitivity of rough differential equations: an approach through the Omega lemma, October 2016, working paper or preprint.

    https://hal.inria.fr/hal-00875670
  • 44M. Deaconu, S. Herrmann.

    Initial-boundary value problem for the heat equation - A stochastic algorithm, October 2016, working paper or preprint.

    https://hal.archives-ouvertes.fr/hal-01380365
  • 45P. Del Moral, D. Villemonais.

    Exponential mixing properties for time inhomogeneous diffusion processes with killing, March 2016, To appear in Bernoulli Journal.

    https://hal.archives-ouvertes.fr/hal-01083297
  • 46B. Dumortier, E. Vincent, M. Deaconu, P. Cornu.

    Efficient optimisation of wind power under acoustic constraints, November 2016, working paper or preprint.

    https://hal.inria.fr/hal-01393125
  • 47C. Fritsch, F. Campillo, O. Ovaskainen.

    A numerical approach to determine mutant invasion fitness and evolutionary singular strategies, December 2016, working paper or preprint.

    https://hal.archives-ouvertes.fr/hal-01413638
  • 48P. Guiraud, E. Tanré.

    Stability of synchronization under stochastic perturbations in leaky integrate and fire neural networks of finite size, 2016, working paper or preprint.

    https://hal.inria.fr/hal-01370609
  • 49B. Henry.

    Central limit theorem for supercritical binary homogeneous Crump-Mode-Jagers processes, November 2016, working paper or preprint.

    https://hal.archives-ouvertes.fr/hal-01202095
  • 50A. Lejay.

    Estimation of the biais parameter of the Skew Random Walk and application to the Skew Brownian motion, May 2016, working paper or preprint.

    https://hal.inria.fr/hal-01319319
  • 51W. Oçafrain, D. Villemonais.

    Non-failable approximation method for conditioned distributions, June 2016, working paper or preprint.

    https://hal.archives-ouvertes.fr/hal-01338421
  • 52A. Papic.

    States Reduction on Markov Processes, Inria Sophia Antipolis ; Université Pierre et Marie Curie, August 2016.

    https://hal.inria.fr/hal-01369707
  • 53V. Reutenauer, E. Tanré.

    An unbiased Monte Carlo estimator for derivatives. Application to CIR, September 2016, working paper or preprint.

    https://hal.inria.fr/hal-01371448
  • 54A. Richard, D. Talay.

    Hölder continuity in the Hurst parameter of functionals of Stochastic Differential Equations driven by fractional Brownian motion, May 2016, working paper or preprint.

    https://hal.inria.fr/hal-01323288
  • 55K. Salhi.

    European options pricing and risk measurement under Exponential Lévy models - a practical guide, November 2016, working paper or preprint.

    https://hal.inria.fr/hal-01322698
References in notes
  • 56A. Beskos, O. Papaspiliopoulos, G. O. Roberts.

    Retrospective exact simulation of diffusion sample paths with applications, in: Bernoulli, 2006, vol. 12, no 6, pp. 1077–1098.
  • 57N. Champagnat, S. Méléard.

    Polymorphic evolution sequence and evolutionary branching, in: Probab. Theory Related Fields, 2011, vol. 151, no 1-2, pp. 45–94.

    http://dx.doi.org/10.1007/s00440-010-0292-9
  • 58P. 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, no 2, pp. 155–194.

    http://dx.doi.org/10.1016/S0246-0203(00)01064-5
  • 59P. Del Moral, L. Miclo.

    On the stability of nonlinear Feynman-Kac semigroups, in: Ann. Fac. Sci. Toulouse Math. (6), 2002, vol. 11, no 2, pp. 135–175.

    http://www.numdam.org/item?id=AFST_2002_6_11_2_135_0
  • 60F. Delbaen, J. Qiu, S. Tang.

    Forward-backward stochastic differential systems associated to Navier-Stokes equations in the whole space, in: Stochastic Process. Appl., 2015, vol. 125, no 7, pp. 2516–2561.

    http://dx.doi.org/10.1016/j.spa.2015.02.014


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