Team Tosca

Members
Overall Objectives
Scientific Foundations
Application Domains
New Results
Contracts and Grants with Industry
Other Grants and Activities
Dissemination
Bibliography

Bibliography

Major publications by the team in recent years

[1]
C. Blanchet-Scalliet, A. Diop, R. Gibson, D. Talay, E. Tanré.
Technical Analysis Compared to Mathematical Models Based Methods Under Parameters Mis-specification, in: Journal of Banking and Finance, 2007, vol. 31, no 5, p. 1351–1373.
[2]
M. Bossy, E. Gobet, D. Talay.
A symmetrized Euler scheme for an efficient approximation of reflected diffusions, in: J. Appl. Probab., 2004, vol. 41, no 3, p. 877–889.
[3]
M. Bossy, B. Jourdain.
Rate of convergence of a particle method for the solution of a 1D viscous scalar conservation law in a bounded interval, in: Ann. Probab., 2002, vol. 30, no 4, p. 1797–1832.
[4]
N. Champagnat.
A microscopic interpretation for adaptive dynamics trait substitution sequence models, in: Stochastic Process. Appl., 2006, vol. 116, no 8, p. 1127–1160.
[5]
M. Deaconu, N. Fournier, E. Tanré.
A pure jump Markov process associated with Smoluchowski's coagulation equation, in: Ann. Probab., 2002, vol. 30, no 4, p. 1763–1796.
[6]
S. Herrmann, P. Imkeller, D. Peithmann.
Transition times and stochastic resonance for multidimensional diffusions with time periodic drift: a large deviations approach, in: Ann. Appl. Probab., 2006, vol. 16, no 4, p. 1851–1892.
[7]
A. Lejay.
An introduction to rough paths, in: Séminaire de Probabilités XXXVII, Berlin, Lecture Notes in Math., Springer, 2003, vol. 1832, p. 1–59.
[8]
A. Lejay, M. Martinez.
A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients, in: Ann. Appl. Probab., 2006, vol. 16, no 1, p. 107–139.
[9]
B. Roynette, P. Vallois, M. Yor.
Pénalisations et quelques extensions du théorème de Pitman, relatives au mouvement Brownien et à son maximum unilatère, in: In memoriam Paul-André Meyer: Séminaire de Probabilités XXXIX, Berlin, Lecture Notes in Math., Springer, 2006, vol. 1874, p. 305–336.
[10]
D. Talay, Z. Zheng.
Approximation of quantiles of components of diffusion processes, in: Stochastic Process. Appl., 2004, vol. 109, no 1, p. 23–46.

Publications of the year

Books and Monographs

[11]
J.-M. Monnez, P. Vallois.
Actes du groupe de travail en biostatistiques NANCY septembre 2005-juin 2006, Preprint 06 of Institut Élie Cartan de Nancy, 2007.
[12]
P. Vallois.
Modélisations stochastiques et simulations, Ellipses, 2007.

Articles in refereed journals and book chapters

[13]
B. Bérard Bergery, P. Vallois.
Quelques approximations du temps local brownien, in: C. R. Math. Acad. Sci. Paris, 2007, vol. 345, no 1, p. 45–48
http://hal.archives-ouvertes.fr/hal-00098326/en/.
[14]
C. Blanchet-Scalliet, A. Diop, R. Gibson, D. Talay, E. Tanré.
Technical Analysis Compared to Mathematical Models Based Methods Under Parameters Mis-specification, in: Journal of Banking and Finance, 2007, vol. 31, no 5, p. 1351–1373.
[15]
M. Brulliard, D. Lorphelin, O. Collignon, W. Lorphelin, B. Thouvenot, E. Gothié, S. Jacquenet, V. Ogier, O. Roitel, J.-M. Monnez, P. Vallois, F. Yen, O. Poch, M. Guenneugues, G. Karcher, P. Oudet, B. Bihain.
Nonrandom variations in human cancer ESTs indicate that mRNA heterogeneity increases during carcinogenesis, in: Proc. Natl. Acad. Sci. USA, 2007, vol. 104, p. 7522–7527 (electronic).
[16]
N. Champagnat, A. Lambert.
Evolution of discrete populations and the canonical diffusion of adaptive dynamics, in: Ann. Appl. Probab., 2007, vol. 17, no 1, p. 102–155.
[17]
N. Champagnat, S. Méléard.
Invasion and adaptive evolution for individual-based spatially structured populations, in: J. Math. Biol., 2007, vol. 55, no 2, p. 147–188.
[18]
P. Étoré, A. Lejay.
A Donsker theorem to simulate one-dimensional processes with measurable coefficients, in: ESAIM Probab. Stat., 2007, vol. 11, p. 301–326 (electronic)
http://hal.inria.fr/inria-00077851/en/.
[19]
A. Lejay, S. Maire.
Computing the principal eigenvalue of the Laplace operator by a stochastic method, in: Math. Comput. Simulation, 2007, vol. 73, no 6, p. 351–363
http://hal.inria.fr/inria-00092408/en/.
[20]
L. Quer-Sardanyons, S. Tindel.
The 1-d stochastic wave equation driven by a fractional Brownian sheet, in: Stochastic Process. Appl., 2007, vol. 117, no 10, p. 1448–1472.
[21]
A. Rousseau, R. Temam, J. Tribbia.
Numerical simulations of the inviscid primitive equations in a limited domain, in: Analysis and simulation of fluid dynamics, Basel, Adv. Math. Fluid Mech., Birkhäuser, 2007, p. 163–181.
[22]
B. Roynette, P. Vallois, M. Yor.
Some extensions of Pitman and Ray-Knight theorems for penalized Brownian motions and their local times. IV, in: Studia Sci. Math. Hungar., 2007, vol. 44, no 4, p. 469–516.
[23]
F. Russo, P. Vallois.
Elements of stochastic calculus via regularization, in: Séminaire de Probabilités XL, Berlin, Lecture Notes in Math., Springer, 2007, vol. 1899, p. 147–185.
[24]
P. Salminen, P. Vallois.
On maximum increase and decrease of Brownian motion, in: Ann. Inst. H. Poincaré Probab. Statist., 2007, vol. 43, no 6, p. 655-676.
[25]
P. Salminen, P. Vallois, M. Yor.
On the excursion theory for linear diffusions, in: Jpn. J. Math., 2007, vol. 2, no 1, p. 97–127.
[26]
P. Vallois, C. Tapiero.
Memory-based persistence in a counting random walk process, in: Physica A, Published online, 2007.

Publications in Conferences and Workshops

[27]
T. Bastogne, S. Mézières-Wantz, N. Ramdani, P. Vallois, M. Barberi-Heyob.
Parameter estimation of pharmacokinetics models in the presence of timing noise, in: European Control Conference, ECC'07, Kos Grèce, 07 2007, CDROM p
http://hal.archives-ouvertes.fr/hal-00141540/en/.
[28]
F. Bernardin, M. Bossy, A. Rousseau, T. Salameh, P. Drobinski.
Local wind simulation using a stochastic particle method, in: SciCADE 2007, International Conference on SCientific Computation and Differenttial Equations, Saint-Malo, France, 2007.
[29]
V. Dung Doan, M. Bossy, F. Baude, I. Stokes-Rees.
Comparison of parallel distributed American option pricing: Through continuation values classification versus optimal exercise coundary computation, in: Sixth IMACS Seminar on Monte Carlo Methods (MCM 2007), Extended abstarct, Reading, UK, 2007.
[30]
C. Durville, D. Varone, M. Bossy, N. Maïzi, O. Pourtallier.
Optimal dynamic cross pricing of CO2 market, in: EURO XXII, 22nd European Conference on operational Research, Prague,Ceská Republika, 2007.
[31]
A. Lejay.
Rough paths: an introduction using classical analysis, in: Numerical Analysis and Applied Mathematics: International Conference on Numerical Analysis and Applied Mathematics (ICNAAM 2007), T. Simos, G. Psihoyios, C. Tsitouras (editors), American Institute of Physics Proceedings, American Institute of Physics, 2007, vol. 937, p. 339–342.
[32]
A. Rousseau, F. Bernardin, M. Bossy, P. Drobinski, T. Salameh.
Stochastic Particle Method Applied to Local Wind Simulation, in: IEEE International Conference for Clean Electrical Power, Capri Italie, IEEE (editor), 2007
http://hal.inria.fr/inria-00172503/en/.
[33]
I. Stokes-Rees, F. Baude, V. Dung Doan, M. Bossy.
Multi-cluster parallel job submission: Experiences with Monte Carlo simulations for computational finance on Grid5000, in: 7th ISGC2007 International Symposium on Grid Computing. Taipei, Taiwan, Taipei, Taiwan, IEEE (editor), 2007
http://hal.inria.fr/inria-00173360/en/.

Internal Reports

[34]
M. Bossy, A. Diop.
An efficient discretisation scheme for one dimensional SDEs with a diffusion coefficient function of the form |x| a , a in [1/2,1), Version 2, INRIA, 2007, no RT-5396
http://hal.inria.fr/inria-00000177/en/.
[35]
N. Ksouri.
Méthodes d'approximation numérique pour le pricing des options vanilles et asiatiques dans le modèle de Heston de volatilité stochastique, Technical Report, INRIA, 2007, no RT-0339
http://hal.inria.fr/inria-00157141/en/.

References in notes

[36]
L. Ambrosio.
Transport equation and Cauchy problem for BV vector fields, in: Invent. Math., 2004, vol. 158, no 2, p. 227–260.
[37]
B. Arouna.
Algorithmes stochastiques et méthodes de Monte Carlo, Ph. D. Thesis, École des Ponts et Chaussées, 2004
http://pastel.paristech.org/bib/archive/00001269/.
[38]
O. Bardou.
Contrôle dynamique des erreurs de simulation et d'estimation de processus de diffusion, Ph. D. Thesis, Université de Nice / INRIA Sophia-Antipolis, 2005
http://www-sop.inria.fr/dias/Theses/phd-156.pdf.
[39]
G. Barles, B. Perthame.
Concentrations and constrained Hamilton-Jacobi equations arising in adaptive dynamics, Preprint, 2006.
[40]
M. Beibel, H. R. Lerche.
A note on optimal stopping of regular diffusions under random discounting, in: Teor. Veroyatnost. i Primenen., 2000, vol. 45, no 4, p. 657–669.
[41]
M. Beibel, H. R. Lerche.
A new look at optimal stopping problems related to mathematical finance, in: Statist. Sinica, Empirical Bayes, sequential analysis and related topics in statistics and probability (New Brunswick, NJ, 1995), 1997, vol. 7, no 1, p. 93–108.
[42]
D. Bertsekas.
Auction Algorithms, in: Encyclopedia of Optimization (C.A. Floudas and P.M. Pardalos, Eds), Kluwer Academic Publishers, Vol. 1, pp. 73-77, 2001.
[43]
A. Beskos, O. Papaspiliopoulos, G. O. Roberts.
Retrospective exact simulation of diffusion sample paths with applications, in: Bernoulli, 2006, vol. 12, no 6, p. 1077–1098.
[44]
A. Beskos, G. O. Roberts.
Exact simulation of diffusions, in: Ann. Appl. Probab., 2005, vol. 15, no 4, p. 2422–2444.
[45]
S. Bezzine, V. Galtier, S. Vialle, F. Baude, M. Bossy, V. D. Doan, L. Henrio.
A Fault Tolerant and Multi-Paradigm Grid Architecture for Time Constrained Problems. Application to Option Pricing in Finance, in: Second IEEE International Conference on e-Science and Grid Computing, Dec. 4- 6, 2006, Amsterdam, Netherlands, 2006.
[46]
C. Blanchet-Scalliet, A. Diop, R. Gibson, D. Talay, E. Tanré.
Technical Analysis Techniques versus Mathematical Models: Boundaries of their Validity Domains, in: Monte Carlo and Quasi-Monte Carlo Methods 2004, Berlin, Springer-Verlag, 2005, p. 15–30.
[47]
C. Blanchet-Scalliet, A. Diop, R. Gibson, D. Talay, E. Tanré, K. Kaminski.
Technical Analysis Compared to Mathematical Models Based Methods Under Misspecification., Working Paper Series, NCCR-FINRISK, 2005, no 253.
[48]
M. Bossy.
Optimal rate of convergence of a stochastic particle method to solutions of 1D viscous scalar conservation laws, in: Math. Comp., 2004, vol. 73, no 246, p. 777–812 (electronic).
[49]
N. Bouleau, F. Hirsch.
Propriétés d'absolue continuité dans les espaces de Dirichlet et application aux équations différentielles stochastiques, in: Séminaire de Probabilités, XX, 1984/85, Berlin, Lecture Notes in Math., Springer, 1986, vol. 1204, p. 131–161.
[50]
C. Cercignani.
The Boltzmann equation and its applications, Applied Mathematical Sciences, Springer-Verlag , New York, 1988, vol. 67.
[51]
N. Champagnat.
A microscopic interpretation for adaptive dynamics trait substitution sequence models, in: Stoch. Process. Appl., 2006, vol. 116, no 8, p. 1127–1160.
[52]
G. Crippa, C. De Lellis.
Oscillatory solutions to transport equations, in: Indiana Univ. Math. J., 2006, vol. 55, no 1, p. 1–13.
[53]
L. Desvillettes, R. Ferrière, C. Prévost.
Infinite dimensional reaction-diffusion for population dynamics, Preprint CMLA, Cachan, 2004.
[54]
U. Dieckmann, R. Law.
The dynamical theory of coevolution: a derivation from stochastic ecological processes, in: J. Math. Biol., 1996, vol. 34, no 5-6, p. 579–612.
[55]
E. Gobet, S. Maire.
Sequential control variates for functionals of Markov processes, in: SIAM J. Numer. Anal., 2005, vol. 43, no 3, p. 1256–1275 (electronic).
[56]
I. Karatzas.
Lectures on the mathematics of finance, CRM Monograph Series, American Mathematical Society , Providence, RI, 1997, vol. 8.
[57]
A. Lachal.
Les temps de passage successifs de l'intégrale du mouvement brownien, in: Ann. Inst. H. Poincaré Probab. Statist., 1997, vol. 33, no 1.
[58]
A. Lejay, S. Maire.
Computing the principal eigenvalue of the Laplace operator by a stochastic method, in: Math. Comput. Simulation, 2006, vol. 73, no 3, p. 351–363.
[59]
J. Ma, J. Zhang.
Representations and regularities for solutions to BSDEs with reflections, in: Stoch. Proc. Appl., 2005, vol. 115, p. 539–569.
[60]
S. Maire.
Réduction de variance pour l'intégration numérique et pour le calcul critique en transport neutronique, Ph. D. Thesis, Université de Toulon et de Var, 2001.
[61]
J. A. J. Metz, S. A. H. Geritz, G. Meszéna, F. A. J. Jacobs, J. S. van Heerwaarden.
Adaptive dynamics, a geometrical study of the consequences of nearly faithful reproduction, in: Stochastic and Spatial Structures of Dynamical Systems, Amsterdam, S. J. van Strien, S. M. Verduyn Lunel (editors), 1996, p. 183–231.
[62]
P. Patie.
Two-sided exit problem for a spectrally negative $ \alpha$ -stable Ornstein-Uhlenbeck process and the Wright's generalized hypergeometric functions, in: Electron. Comm. Probab., 2007, vol. 12, p. 146–160 (electronic).
[63]
S. Pope.
P.D.F. methods for turbulent reactive flows, in: Prog. in Energy and Comb. Science, 1985, vol. 11, p. 119–192.
[64]
S. Pope.
Stochastic Lagrangian models for Turbulence, in: Phyics of Fluids, 1994, vol. 26, p. 23–63.
[65]
M. L. Zeeman.
Hopf bifurcations in competitive three-dimensional Lotka-Volterra systems, in: Dynam. Stability Systems, 1993, vol. 8, no 3, p. 189–217.

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