Antoine Lejay: search on Z-Library

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1

A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA

LEJAY, ANTOINE, PIGATO, PAOLO

Journal:

International Journal of Theoretical and Applied Finance

Year:

2019

Language:

english

File:

PDF, 834 KB

english, 2019

2

Young Integrals and SPDEs

Massimiliano Gubinelli, Antoine Lejay, Samy Tindel

Journal:

Potential Analysis

Year:

2006

Language:

english

File:

PDF, 336 KB

english, 2006

3

Controlled differential equations as Young integrals: A simple approach

Journal:

Journal of Differential Equations

Year:

2010

Language:

english

File:

PDF, 260 KB

english, 2010

4

Simulation of exit times and positions for Brownian motions and Diffusions

Madalina Deaconu, Antoine Lejay

Journal:

Year:

2007

Language:

english

File:

PDF, 73 KB

english, 2007

5

[Lecture Notes in Mathematics] Séminaire de Probabilités XLIV Volume 2046 || Martingale Property of Generalized Stochastic Exponentials

Donati-Martin, Catherine, Lejay, Antoine, Rouault, Alain

Year:

2012

Language:

english

File:

PDF, 320 KB

english, 2012

6

Simulating a diffusion on a graph. Application to reservoir engineering

Journal:

Monte Carlo Methods and Applications

Year:

2003

Language:

english

File:

PDF, 364 KB

english, 2003

7

A Monte Carlo method to compute the exchange coefficient in the double porosity model

Campillo, Fabien, Lejay, Antoine

Journal:

Monte Carlo Methods and Applications

Year:

2001

Language:

english

File:

PDF, 953 KB

english, 2001

8

Monte Carlo methods for fissured porous media: a gridless approach *

Journal:

Monte Carlo Methods and Applications

Year:

2004

File:

PDF, 208 KB

2004

9

Regime switching model for financial data: Empirical risk analysis

Salhi, Khaled, Deaconu, Madalina, Lejay, Antoine, Champagnat, Nicolas, Navet, Nicolas

Journal:

Physica A: Statistical Mechanics and its Applications

Year:

2016

Language:

english

File:

PDF, 583 KB

english, 2016

10

Weak rate of convergence of the Euler–Maruyama scheme for stochastic differential equations with non-regular drift

Kohatsu-Higa, Arturo, Lejay, Antoine, Yasuda, Kazuhiro

Journal:

Journal of Computational and Applied Mathematics

Year:

2017

Language:

english

File:

PDF, 374 KB

english, 2017

11

Analytic Expressions of the Solutions of Advection-Diffusion Problems in One Dimension with Discontinuous Coefficients

Lejay, Antoine, Lenôtre, Lionel, Pichot, Géraldine

Journal:

SIAM Journal on Applied Mathematics

Year:

2019

Language:

english

File:

PDF, 583 KB

english, 2019

12

[Lecture Notes in Mathematics] Séminaire de Probabilités L Volume 2252 ||

Donati-Martin, Catherine, Lejay, Antoine, Rouault, Alain

Year:

2019

Language:

english

File:

PDF, 6.17 MB

english, 2019

13

A recommendation system for car insurance

Lesage, Laurent, Deaconu, Madalina, Lejay, Antoine, Meira, Jorge Augusto, Nichil, Geoffrey, State, Radu

Journal:

European Actuarial Journal

Year:

2020

File:

PDF, 1.81 MB

2020

14

A forward-backward probabilistic algorithm for the incompressible Navier-Stokes equations

Lejay, Antoine, Mardones GonzÃ¡lez, HernÃ¡n

Journal:

Journal of Computational Physics

Year:

2020

File:

PDF, 1.04 MB

2020

15

Simulating diffusions with piecewise constant coefficients using a kinetic approximation

Antoine Lejay, Sylvain Maire

Journal:

Computer Methods in Applied Mechanics and Engineering

Year:

2010

Language:

english

File:

PDF, 321 KB

english, 2010

16

On -rough paths

Antoine Lejay, Nicolas Victoir

Journal:

Journal of Differential Equations

Year:

2006

Language:

english

File:

PDF, 276 KB

english, 2006

17

Computing the principal eigenvalue of the Laplace operator by a stochastic method

Antoine Lejay, Sylvain Maire

Journal:

Mathematics and Computers in Simulation

Year:

2007

Language:

english

File:

PDF, 473 KB

english, 2007

18

A probabilistic representation of the solution of some quasi-linear PDE with a divergence form operator. Application to existence of weak solutions of FBSDE

Journal:

Stochastic Processes and their Applications

Year:

2004

Language:

english

File:

PDF, 465 KB

english, 2004

19

BSDE driven by Dirichlet process and semi-linear parabolic PDE. Application to homogenization

Journal:

Stochastic Processes and their Applications

Year:

2002

Language:

english

File:

PDF, 307 KB

english, 2002

20

Homogenization of divergence-form operators with lower-order terms in random media

Journal:

Probability Theory and Related Fields

Year:

2001

Language:

english

File:

PDF, 163 KB

english, 2001

21

A Random Walk on Rectangles Algorithm

Madalina Deaconu, Antoine Lejay

Journal:

Methodology and Computing in Applied Probability

Year:

2006

Language:

english

File:

PDF, 426 KB

english, 2006

22

Computing the principal eigenelements of some linear operators using a branching Monte Carlo method

Antoine Lejay, Sylvain Maire

Journal:

Journal of Computational Physics

Year:

2008

Language:

english

File:

PDF, 271 KB

english, 2008

23

[Lecture Notes in Mathematics] Séminaire de Probabilités XLIV Volume 2046 || Quadratic Semimartingale BSDEs Under an Exponential Moments Condition

Donati-Martin, Catherine, Lejay, Antoine, Rouault, Alain

Year:

2012

Language:

english

File:

PDF, 401 KB

english, 2012

24

Simulating diffusion processes in discontinuous media: A numerical scheme with constant time steps

Antoine Lejay, Géraldine Pichot

Journal:

Journal of Computational Physics

Year:

2012

Language:

english

File:

PDF, 527 KB

english, 2012

25

[Lecture Notes in Mathematics] Séminaire de Probabilités XLIII Volume 2006 || Discrete Approximation of the Free Fock Space

Donati-Martin, Catherine, Lejay, Antoine, Rouault, Alain

Year:

2011

Language:

english

File:

PDF, 245 KB

english, 2011

26

[Lecture Notes in Mathematics] Séminaire de Probabilités XLV Volume 2078 ||

Donati-Martin, Catherine, Lejay, Antoine, Rouault, Alain

Year:

2013

Language:

english

File:

PDF, 4.63 MB

english, 2013

27

[Lecture Notes in Mathematics] Séminaire de Probabilités XLIV Volume 2046 ||

Donati-Martin, Catherine, Lejay, Antoine, Rouault, Alain

Year:

2012

Language:

english

File:

PDF, 3.86 MB

english, 2012

28

Is a Brownian Motion Skew?

Lejay, Antoine, Mordecki, Ernesto, Torres, Soledad

Journal:

Scandinavian Journal of Statistics

Year:

2014

Language:

english

File:

PDF, 562 KB

english, 2014

29

New Monte Carlo schemes for simulating diffusions in discontinuous media

Lejay, Antoine, Maire, Sylvain

Journal:

Journal of Computational and Applied Mathematics

Year:

2013

Language:

english

File:

PDF, 357 KB

english, 2013

30

A Scheme for Simulating One-Dimensional Diffusion Processes with Discontinuous Coefficients

Antoine Lejay and Miguel Martinez

Journal:

The Annals of Applied Probability

Year:

2006

Language:

english

File:

PDF, 2.73 MB

english, 2006

31

A Donsker theorem to simulate one-dimensional processes with measurable coefficients

Étoré, Pierre, Lejay, Antoine

Journal:

ESAIM Probability and Statistics

Year:

2007

Language:

english

File:

PDF, 377 KB

english, 2007

32

[Lecture Notes in Mathematics] Séminaire de Probabilités XLVI Volume 2123 ||

Donati-Martin, Catherine, Lejay, Antoine, Rouault, Alain

Year:

2014

Language:

english

File:

PDF, 4.34 MB

english, 2014

33

A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients

Lejay, Antoine, Martinez, Miguel

Journal:

The Annals of Applied Probability

Year:

2006

Language:

english

File:

PDF, 352 KB

english, 2006

34

Simulating a diffusion on a graph. Application to reservoir engineering

Journal:

Monte Carlo Methods and Applications

Year:

2003

Language:

english

File:

PDF, 448 KB

english, 2003

35

A Monte Carlo method without grid for a fractured porous domain model

Campillo, Fabien, Lejay, Antoine

Journal:

Monte Carlo Methods and Applications

Year:

2002

Language:

english

File:

PDF, 1.97 MB

english, 2002

36

[Lecture Notes in Mathematics] Séminaire de Probabilités XLV Volume 2078 || Path Properties and Regularity of Affine Processes on General State Spaces

Donati-Martin, Catherine, Lejay, Antoine, Rouault, Alain

Year:

2013

Language:

english

File:

PDF, 423 KB

english, 2013

37

Weak solution of semi-linear PDE, BSDE and homogenization

Journal:

Monte Carlo Methods and Applications

Year:

2001

Language:

english

File:

PDF, 859 KB

english, 2001

38

[AIP Numerical Analysis and Applied Mathematics - Corfu, Greece (16-20 September 2007)] AIP Conference Proceedings - Rough Paths: An Introduction Using Classical Analysis

Lejay, Antoine, Simos, Theodore E., Psihoyios, George, Tsitouras, Ch.

Year:

2007

Language:

english

File:

PDF, 307 KB

english, 2007

39

[Lecture Notes in Mathematics] In Memoriam Marc Yor - Séminaire de Probabilités XLVII Volume 2137 || Martingale Inequalities for the Maximum via Pathwise Arguments

Donati-Martin, Catherine, Lejay, Antoine, Rouault, Alain

Year:

2015

Language:

english

File:

PDF, 312 KB

english, 2015

40

Estimation of the Brownian dimension of a continuous Itô process

JEAN JACOD, ANTOINE LEJAY and DENIS TALAY

Journal:

Year:

2008

Language:

english

File:

PDF, 2.03 MB

english, 2008

41

SIMULATION OF DIFFUSIONS BY MEANS OF IMPORTANCE SAMPLING PARADIGM

Madalina Deaconu and Antoine Lejay

Journal:

The Annals of Applied Probability

Year:

2010

Language:

english

File:

PDF, 2.28 MB

english, 2010

42

Simulating diffusion processes in discontinuous media: Benchmark tests

Lejay, Antoine, Pichot, Géraldine

Journal:

Journal of Computational Physics

Year:

2016

Language:

english

File:

PDF, 2.94 MB

english, 2016

43

On the use of the Radon transform to estimate longshore currents from video imagery

Larnier, Stanislas, Almar, Rafael, Cienfuegos, Rodrigo, Lejay, Antoine

Journal:

Journal of Coastal Research

Year:

2014

Language:

english

File:

PDF, 1.75 MB

english, 2014

44

[Lecture Notes in Mathematics] Séminaire de Probabilités XLVIII Volume 2168 ||

Donati-Martin, Catherine, Lejay, Antoine, Rouault, Alain

Year:

2016

Language:

english

File:

PDF, 7.01 MB

english, 2016

45

Simulation of diffusions by means of importance sampling paradigm

Deaconu, Madalina, Lejay, Antoine

Journal:

The Annals of Applied Probability

Year:

2010

Language:

english

File:

PDF, 357 KB

english, 2010

46

Estimation of the bias parameter of the skew random walk and application to the skew Brownian motion

Journal:

Statistical Inference for Stochastic Processes

Year:

2017

Language:

english

File:

PDF, 537 KB

english, 2017

47

Simulation of a stochastic process in a discontinuous layered medium

Journal:

Electronic Communications in Probability

Year:

2011

Language:

english

File:

PDF, 186 KB

english, 2011

48

A Monte Carlo estimation of the mean residence time in cells surrounded by thin layers

Journal:

Mathematics and Computers in Simulation

Year:

2017

Language:

english

File:

PDF, 514 KB

english, 2017

49

Sensitivity of rough differential equations: An approach through the Omega lemma

Coutin, Laure, Lejay, Antoine

Journal:

Journal of Differential Equations

Year:

2017

Language:

english

File:

PDF, 881 KB

english, 2017

50

Pathology of graft and stent-graft infections: Lessons learned from examination of explant materials

Lejay, Anne, Monnot, Antoine, Georg, Yannick, Colvard, Benjamin, Thaveau, Fabien, Geny, Bernard, Chakfé, Nabil

Journal:

Seminars in Vascular Surgery

Year:

2017

Language:

english

File:

PDF, 355 KB

english, 2017