Team Tosca

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


Major publications by the team in recent years

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.
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.
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.
N. Champagnat.
A microscopic interpretation for adaptive dynamics trait substitution sequence models, in: Stochastic Process. Appl., 2006, vol. 116, no 8, p. 1127–1160.
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.
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.
A. Lejay.
An introduction to rough paths, in: Séminaire de Probabilités XXXVII, Berlin, Lecture Notes in Math., Springer, 2003, vol. 1832, p. 1–59.
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.
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.
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

Doctoral Dissertations and Habilitation Theses

S. Herrmann.
Calcul asymptotique lié à l'étude de certains processus stochastiques, Université Henri Poincaré, Nancy I, November 2009, Habilitation à Diriger les Recherches.
J. Huang.
Théorème de Berry-Esseen pour martingales normalisées et algorithmes stochastiques. Application en contrôle stochastique, Université Pierre et Marie Curie, Paris 6, July 2009, Ph. D. Thesis.

Articles in International Peer-Reviewed Journal

X. Bardina, I. Nourdin, C. Rovira, S. Tindel.
Weak approximation of a fractional SDE, in: Stochastic Proces. Appl., 2010, vol. 120, no 1, p. 39–65
F. Bernardin, M. Bossy, C. Chauvin, P. Drobinski, A. Rousseau, T. Salameh.
Stochastic Downscaling Methods : Application to Wind Refinement, in: Stoch. Environ. Res Risk. Assess, 2009, vol. 23, no 6.
F. Bernardin, M. Bossy, M. Martinez, D. Talay.
On mean numbers of passage times in small balls of discretized Itô processes, in: Electron. Commun. Probab., 2009, vol. 14, p. 302–316.
O. Bokanowski, B. Bruder, S. Maroso, H. Zidani.
Numerical approximation for a superreplication problem under gamma constraints, in: SIAM J. Numer. Anal., 2009, vol. 47, no 3, p. 2289–2320
M. Bossy, N. Champagnat, S. Maire, D. Talay.
Probabilistic interpretation and random walk on spheres algorithms for the Poisson-Boltzmann equation in molecular dynamics, in: M2AN Math. Model. Numer. Anal., 2009, to appear.
I. Brazzoli, E. De Angelis, P.-E. Jabin.
A Mathematical Model of Immune Competition Related to Cancer Dynamics, in: M2AN Math. Model. Numer. Anal., 2009, to appear.
N. Champagnat.
Large deviations for singular and degenerate diffusion models in adaptive evolution, in: Markov Process. Related Fields, 2009, vol. 15, no 3, p. 289–342, Inhomogeneous random systems (IHP, 2008).
N. Champagnat, P.-E. Jabin.
The dynamic of one particle in any dimension with non BV force tems, in: Comm. Partial Diff. Eq., 2009, to appear.
N. Champagnat, S. Méléard.
Polymorphic evolution sequence and evolutionary branching, in: Probab. Theory and Relat. Fields, 2009, to appear.
M. Deaconu, A. Lejay.
Simulation of a diffusion process using the importance sampling paradigm, in: Ann. Appl. Probab., 2009, to appear.
P. Del Moral, F. Patras, S. Rubenthaler.
Tree based functional expansions for Feynman-Kac particle models, in: Ann. Appl. Probab., 2009, vol. 19, no 2, p. 778–825.
M. Gubinelli, S. Tindel.
Rough evolution equations, in: Ann. Probab., 2009, to appear.
P.-E. Jabin.
Averaging Lemmas and Dispersion Estimates for kinetic equations, in: Riv. Mat. Univ. Parma, 2009, to appear.
P.-E. Jabin, G. Raoul.
On Selection dynamics for competitive interactions, in: J. Math. Biol., 2009, to appear.
A. Lejay.
On rough differential equations, in: Electronic Journal of Probability, 2009, vol. 14, p. 341-364
M. Martinez, S. Rubenthaler, E. Tanré.
Approximations of a continuous time filter. Application to optimal allocation problems in finance, in: Stoch. Anal. Appl., 2009, vol. 27, no 2, p. 270–296
A. Neuenkirch, I. Nourdin, A. Rößler, S. Tindel.
Trees and asymptotic expansions for fractional stochastic differential equations, in: Ann. Inst. Henri Poincaré Probab. Stat., 2009, vol. 45, no 1, p. 157–174.
B. Roynette, P. Vallois, M. Yor.
Penalisations of multidimensional Brownian motion. VI, in: ESAIM Probab. Stat., 2009, vol. 13, p. 152–180.
B. Roynette, P. Vallois, M. Yor.
Brownian penalisations related to excursion lengths, in: Ann. Inst. Henri Poincaré Probab. Stat., 2009, vol. 45, no 2, p. 421–452.
B. Roynette, M. Yor.
Local limit theorems for Brownian additive functionals and penalisation of Brownian paths, IX, in: ESAIM PS, 2009
P. Vallois, C. S. Tapiero.
A claims persistence process and insurance, in: Insurance Math. Econom., 2009, vol. 44, no 3, p. 367–373.

Articles in Non Peer-Reviewed Journal

M. Bossy, O. Davidau, N. Maïzi, O. Pourtallier.
Valuing CO2 emission allowances with stochastic control, in: ERCIM News, 2009, vol. 78, no 4, p. 24 – 25.

International Peer-Reviewed Conference/Proceedings

A. Lejay.
Monte Carlo methods for discontinuous media, in: 3rd International Conference on Approximation Methods and numerical Modeling in Environment and Natural Resources MAMERN 2009, France Pau, B. Amaziane, D. Barrera, M. Fortes, M. Ibánez, M. Odunlami, A. Palomares, M. Pasadas, M. Rodríguez, D. Sbibih (editors), Universidad de Granada, 2009, vol. 2, p. 591-596

National Peer-Reviewed Conference/Proceedings

P.-E. Jabin.
Some regularizing methods for transport equations and the regularity of solutions to scalar conservation laws, in: Séminaire X-EDP, 2009, to appear.

Workshops without Proceedings

A. Gaikwad, V. D. Doan, M. Bossy, F. Abergel, F. Baude.
Superquant financial-benchmark suite for performance analysis of grid middlewares, in: 4th Int. Conference on High Performance Scientific Computing, Modeling, Simulation and Optimization of Complex Processes, Institute of Mathematics, Vietnamese Academy of Science and Technology, March 2009, 70 p, Full version submitted for post-proceeding publication by Springer.

Scientific Books (or Scientific Book chapters)

C. Blanchet-Scalliet, R. Gibson Brandon, B. de Saporta, D. Talay, E. Tanré.
Viscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs, in: Advance Financial Modelling, H. Albrecher, W. Runggaldier, W. Schachermayer (editors), Radon Series on Computational and Applied Mathematics, Walter de Gruyter GmbH & Co. KG, Berlin, 2009, vol. 8, p. 53–90.
A. Lejay.
Yet another introduction to rough paths, in: Séminaire de Probabilités XLII, Lecture Notes in Mathematics, Springer-Verlag, 2009, vol. 1979, p. 1–101.
S. Maire, E. Tanré.
Stochastic spectral formulations for elliptic problems, in: Monte Carlo and quasi-Monte Carlo methods 2008, Berlin, Springer, 2009, to appear.
J. Najnudel, B. Roynette, M. Yor.
A global view of Brownian penalisations, MSJ Memoirs, Mathematical Society of Japan, Tokyo, 2009, vol. 19.
D. Talay.
Around model risk in finance, in: Modèles Alétaoires en Finance Mathématique, Courses of the 2007 Cimpa-Unesco-Marocco School on Stochastic Models in Mathematical Finance, M. Eddahbi, S. Hamadène, Y. Ouknine (editors), Travaux en Cours, Hermann, 2009, vol. 77, p. 161–229.

Internal Reports

B. Bérard-Bergery, C. Profeta, E. Tanré.
Mathematical Model for Resistance and Optimal Strategy, NCCR-FINRISK, 2009, no 524, Working Paper Series.
A. Bergaoui, M. Deaconu, M. Ghazai, I. Henchiri, S. Herrmann, A. Lejay, V. Reutenauer, D. Talay, E. Tanré, Y. Wang.
Méthodes de réduction de variance originales et de simulation exacte de prix et de grecques en finance, INRIA / Calyon, 2009, rapport final de collaboration Calyon-Inria.
C. Blanchet-Scalliet, R. Gibson Brandon, B. de Saporta, D. Talay, E. Tanré.
Mathematical Model for Resistance and Optimal Strategy, NCCR-FINRISK, 2009, no 552, Working Paper Series.
M. Bossy, M. Cissé, D. Talay.
Stochastic representations of derivatives of solutions of one dimensional parabolic variational inequalities with Neumann boundary conditions, INRIA, 2009, RR-6921.
V. D. Doan, A. Gaikwad, M. Bossy, F. Baude, F. Abergel.
A financial engineering benchmark for performance analysis of grid middlewares, INRIA, 2009, RT-365.

Other Publications

F. Bernardin, M. Bossy, C. Chauvin, J.-F. Jabir, A. Rousseau.
Stochastic Lagrangian Method for Downscaling Problems in Meteorology, 2009, preprint.
S. Herrmann, J. Tugault.
Non uniqueness of stationary measures for self-stabilizing diffusions, 2009, preprint.
S. Herrmann, J. Tugault.
Self-stabilizing processes: uniqueness problem for stationary measures and convergence rate in the small noise limit, 2009, preprint.
S. Herrmann, J. Tugault.
Stationary measures for self-stabilizing processes: asymptotic analysis in the small noise limit, 2009, preprint.
A. Lejay.
Controlled differential equations as Young integrals: a simple approach, 2009, preprint.
A. Lejay, S. Maire.
Simulating diffusions with piecewise constant coefficients using a kinetic approximation, 2009, preprint.
A. Lejay, V. Reutenauer.
A variance reduction technique using a quantized Brownian motion as a control variate, 2009, preprint.

References in notes

P. Cheridito, H. M. Soner, N. Touzi.
The multi-dimensional super-replication problem under gamma constraints, in: Ann. Inst. H. Poincaré Anal. Non Linéaire, 2005, vol. 22, no 5, p. 633–666
O. Diekmann, P.-E. Jabin, S. Mischler, B. Perthame.
The dynamics of adaptation: An illuminating example and a Hamilton-Jacobi approach, in: Theor. Pop. Biol., 2005, vol. 67, p. 257–271.
S. Herrmann, P. Imkeller, D. Peithmann.
Large deviations and a Kramers' type law for self-stabilizing diffusions, in: Ann. Appl. Probab., 2008, vol. 18, no 4, p. 1379–1423.
N. V. Krylov.
Controlled diffusion processes, Springer-Verlag, New-Yor,Heidelberg, Berlin, 1980.
J.-M. Lasry, P.-L. Lions.
Jeux à champ moyen. I : Le cas stationnaire, in: C. R. Acad. Sci. Paris, 2006.
J.-M. Lasry, P.-L. Lions.
Mean field games. II : Finite horizon and optimal control, in: C. R. Acad. Sci. Paris, 2006.
S. Maire, C. De Luigi.
Quasi-Monte Carlo quadratures for multivariate smooth functions, in: Appl. Numer. Math., 2006, vol. 56, no 2, p. 146–162
M. Mascagni, N. A. Simonov.
Monte Carlo methods for calculating some physical properties of large molecules, in: SIAM J. Sci. Comput., 2004, vol. 26, no 1, p. 339–357.
S. Pope.
Turbulent flows, Cambridge Univ. Press, 2003.