Members
Overall Objectives
Research Program
Application Domains
New Software and Platforms
New Results
Bilateral Contracts and Grants with Industry
Partnerships and Cooperations
Dissemination
Bibliography
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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, pp. 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, pp. 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, pp. 1797–1832.
[4]
N. Champagnat.
A microscopic interpretation for adaptive dynamics trait substitution sequence models, in: Stochastic Process. Appl., 2006, vol. 116, no 8, pp. 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, pp. 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, pp. 1851–1892.
[7]
A. Lejay.
An introduction to rough paths, in: Séminaire de Probabilités XXXVII, Berlin, Lecture Notes in Math., Springer, 2003, vol. 1832, pp. 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, pp. 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, pp. 305–336.
[10]
D. Talay, Z. Zheng.
Approximation of quantiles of components of diffusion processes, in: Stochastic Process. Appl., 2004, vol. 109, no 1, pp. 23–46.
Publications of the year

Doctoral Dissertations and Habilitation Theses

[11]
J. Claisse.
Population dynamics : stochastic control and hybrid modelling of cancer, Université Nice Sophia Antipolis, July 2014.
https://tel.archives-ouvertes.fr/tel-01066020

Articles in International Peer-Reviewed Journals

[12]
M. 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, December 2014, 27 p.
https://hal.inria.fr/hal-01088930
[13]
M. Bossy, J.-F. Jabir.
Lagrangian stochastic models with specular boundary condition, in: Journal of Functional Analysis, December 2014, 73 p.
https://hal.inria.fr/hal-00875040
[14]
M. Bossy, N. Maizi, O. Pourtallier.
Nash equilibrium for coupling of CO2 allowances and electricity markets, in: ESAIM: Proceedings, November 2014, vol. 45, September 2014, pp. 98 - 107.
https://hal.archives-ouvertes.fr/hal-00913320
[15]
L. 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
[16]
F. 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, 33 p, Version 4: shortened version.
https://hal.inria.fr/hal-00747565
[17]
F. 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, 40 p.
https://hal.inria.fr/hal-01001716
[18]
O. Faugeras, J. Inglis.
Stochastic neural field equations: A rigorous footing, in: Journal of Mathematical Biology, July 2014, 40 p.
https://hal.inria.fr/hal-00907555
[19]
A. Lejay, E. Mordecki, S. Torres.
Is a Brownian motion skew?, in: Scandinavian Journal of Statistics, June 2014, vol. 5, no 2, pp. 346-364. [ DOI : 10.1111/sjos.12033 ]
https://hal.inria.fr/inria-00544442

International Conferences with Proceedings

[20]
S. Larnier, R. Almar, R. Cienfuegos, A. Lejay.
On the use of the Radon transform to estimate longshore currents from video imagery, in: Proceedings of the 13th International Coastal Symposium - ICS, Durban, South Africa, A. Green, J. Cooper (editors), Coastal Education and Research Foundation (CERF) and the Journal of Coastal Research (JCR), April 2014, vol. 70, pp. 023-028. [ DOI : 10.2112/SI70-005.1 ]
https://hal.inria.fr/hal-00917807

Scientific Books (or Scientific Book chapters)

[21]
D. Talay.
On Probabilistic Analytical and Numerical Approaches for Divergence Form Operators With Discontinuous Coefficients, in: Advances in Numerical Simulation in Physics and Engineering, C. Parés, C. V. Cendon, F. Coquel (editors), SEMA SIMAI Springer Series, Springer, 2014, vol. 3.
https://hal.inria.fr/hal-01074664
[22]
D. Talay.
Singular stochastic computational models, stochastic analysis, PDE analysis, and numerics, in: Proceedings of ICM 2014, ICM, 2014.
https://hal.inria.fr/hal-01074676

Internal Reports

[23]
A. Lejay, E. Mordecki, S. Torres.
Numerical approximation of Backward Stochastic Differential Equations with Jumps, September 2014, no RR-8595, 32 p.
https://hal.inria.fr/inria-00357992
[24]
A. Lejay, G. Pichot.
Simulating Diffusion Processes in Discontinuous Media: Benchmark Tests, Inria, June 2014.
https://hal.inria.fr/hal-01003853

Scientific Popularization

[25]
M. Bossy, N. Maïzi, O. Pourtallier.
Combien pour ma tonne de CO2 ?, in: Breves de maths, M. Andler, L. Bel, S. Benzoni, T. Goudon, C. Imbert, A. Rousseau (editors), Nouveau Monde Éditions, October 2014.
https://hal.inria.fr/hal-01097600

Other Publications

[26]
A. Bedoui.
Gestion du risque de portefeuille par la méthode des copules, Inria, June 2014.
https://hal.inria.fr/hal-01017716
[27]
L. Beznea, M. Deaconu, O. Lupascu.
Branching processes for the fragmentation equation, February 2014.
https://hal.inria.fr/hal-00948876
[28]
M. Bossy, J. Espina, J. Morice, C. Paris, A. Rousseau.
Modeling the wind circulation around mills with a Lagrangian stochastic approach, November 2014.
https://hal.inria.fr/hal-01088927
[29]
M. 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", December 2014.
https://hal.inria.fr/hal-01098582
[30]
M. Bossy, O. Pourtallier, N. Maïzi.
Game theory analysis for carbon auction market through electricity market coupling , March 2014, to appear in Commodities, Energy and Environmental Finance, eds. M. Ludkovksi, R. Sircar and R. Aïd, Fields Institute Communication Series, Springer, 2015.
https://hal.inria.fr/hal-00954377
[31]
N. Champagnat, D. Villemonais.
Exponential convergence to quasi-stationary distribution and Q-process, November 2014, 46 pages.
https://hal.archives-ouvertes.fr/hal-00973509
[32]
J. Claisse, D. Talay, X. Tan.
A pseudo-Markov property for controlled diffusion processes, January 2015.
https://hal.inria.fr/hal-01108657
[33]
M. Deaconu, S. Herrmann.
Simulation of hitting times for Bessel processes with non integer dimension, January 2014.
https://hal.archives-ouvertes.fr/hal-00933198
[34]
M. Deaconu, S. Herrmann, S. Maire.
Exit problem for Brownian motion : An algorithm using Bessel processes, January 2014.
https://hal.archives-ouvertes.fr/hal-00931816
[35]
P. Del Moral, D. Villemonais.
Exponential mixing properties for time inhomogeneous diffusion processes with killing, November 2014, 20 pages.
https://hal.archives-ouvertes.fr/hal-01083297
[36]
I. T. Dimov, S. Maire, R. Georgieva.
A Study of Biased and Unbiased Stochastic Algorithms for Solving Integral Equations, December 2014.
https://hal.inria.fr/hal-01089515
[37]
T. Dimov, S. Maire, J.-M. Sellier.
A New Walk on Equations Monte Carlo Method for Linear Algebraic Problems, April 2014.
https://hal.inria.fr/hal-00979044
[38]
J. 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, January 2015.
https://hal.inria.fr/hal-01069398
[39]
C. Michel, V. Reutenauer, D. Talay, E. Tanré.
Liquidity costs: a new numerical methodology and an empirical study, December 2014.
https://hal.inria.fr/hal-01098096
[40]
K. Salhi, M. Deaconu, A. Lejay, N. Champagnat, N. Navet.
Regime switching model for financial data: empirical risk analysis, October 2014.
https://hal.inria.fr/hal-01095299
[41]
D. Villemonais.
Minimal quasi-stationary distribution approximation for a birth and death process, April 2014, 19 pages.
https://hal.archives-ouvertes.fr/hal-00983773
References in notes
[42]
J. 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, no 10.
[43]
M. Bossy, J.-F. Jabir.
On confined McKean Langevin processes satisfying the mean no-permeability boundary condition, in: Stochastic Processes and their Applications, 2011, vol. 121, no 12, pp. 2751 - 2775. [ DOI : 10.1016/j.spa.2011.07.006 ]
http://www.sciencedirect.com/science/article/pii/S0304414911001773
[44]
O. Faugeras, J. Maclaurin.
A large deviation principle for networks of rate neurons with correlated synaptic weights, February 2013, 71 p.
http://hal.archives-ouvertes.fr/hal-00785627
[45]
A. Lejay, G. Pichot.
Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps, in: Journal of Computational Physics, August 2012, vol. 231, no 21, pp. 7299-7314. [ DOI : 10.1016/j.jcp.2012.07.011 ]
https://hal.inria.fr/hal-00649170