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Sylvain Rubenthaler
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Maître de conférences (≈ associate professor)
Contact
| Address : Laboratoire J. A. Dieudonné UMR CNRS-UNS N°7351 Université de Nice Sophia-Antipolis Parc Valrose 06108 NICE Cedex 2 FRANCE (How to come to the lab ?) |
Phone :
(+33)04 92 07 62 38 Fax : (+33)04 93 51 79 74 E-mail : rubentha@unice.fr |
Informations
Domaines de recherche
- Nonlinear filtering.
- Bayesian statistics.
- Particle algorithms.
- Coupling.
- Financial mathematics.
- Turbulence.
- Stochastic calculus for neurobiology.
Teaching
Teaching
page
(L2 MPIE, M1 IMEA, L3 BIO, MATHSMOD).
Publications
- Preprints
- Derivative-Free Estimation of the Score Vector and Observed Information Matrix with Application to State-Space Models (with Arnaud Doucet, Pierre Jacob). On ArXiv.
- Perfect simulation for the Feynman-Kac law on the path space (With Christophe Andrieu, Nicolas Chopin, Arnaud Doucet). On0 HAL.
- Global solvability of a networked integrate-and-fire model of
McKean-Vlasov type. (avec F.
Delarue, J.
Inglis, E.
Tanré). On HAL.
- Expansion of the propagation of chaos for
Bird and Nanbu systems. Sur HAL .
- Published papers
- A Numerical Scheme for Invariant Distributions of Constrained Diffusions (with Amarjit Budhiraja et Jiang Chen). On HAL . To be published in Mathematics of Operations Research.
- Optimal
hedging in
discrete and continuous time , Cahiers du
Gerad (
lien SRRN ), (with Bruno
Rémillard ). To appear in Quantitative Finance.
On
HAL.
- Discrete Time Markovian Agents Interacting Through a Potential (with Amarjit Budhiraja et Pierre Del Moral). ( Sur HAL .) To appear in ESAIM : P&S.
- Convergence
of U-statistics for interacting particle systems
(with Pierre Del
Moral,
Frédéric Patras ). HAL. Journal of
Theoretical Probability Volume 24, Number 4, 1002-1027 (2011).
- Stability of Feynman-Kac formulae with path-dependent potentials (with Nicolas Chopin, Pierre Del Moral ). HAL. Stochastic Processes and their Applications, Vol. 121, Issue 1, Jan. 2011, pp. 38-60.
- Dispersion and collapse in stochastic velocity fields on a cylinder (with Antonio Celani, Dario Vincenzi). Journal of Statistical Physics Volume 138, Numbers 4-5 / Mars 2010. HAL.
- The convergence to equilibrium of neutral genetic models (with Pierre Del Moral, Laurent Miclo, Frédéric Patras), Stochastic Analysis and Applications, 2010, Volume 28 Issue 1, 123. HAL.
- Fast simulated annealing in $\R^d$ and an application to maximum likelihood estimation (with Tobias Rydén and Magnus Wiktorsson). Stochastic Processes and their Applications Volume 119, Issue 6, June 2009, Pages 1912-1931. HAL.
- Tree based functional expansions for Feynman–Kac particle models (with Pierre Del Moral and Frédéric Patras). HAL. Annals of Applied Probability, Volume 19, Number 2 (2009), 778-825.
- Approximations of a Continuous Time Filter. Application to Optimal Allocation Problems in Finance (with Miguel Martinez and Etienne Tanré), Stochastic Analysis and Applications, Volume 27, Issue 2 March 2009 , pages 270 - 296. Prépublication Finrisk. HAL.
- Stability and Uniform Particle Approximation of Nonlinear Filters in Case of Non Ergodic Signals (with Nadia Oudjane ), Stochastic Analysis and Applications, Vol. 23, Number 3, 421-448, 2005. Prépublication . Error pointed by Kari Heine in the proof of Lemma 3.6 : correction. Notice HAL.
- Numerical
simulation of the solution of a stochastic differential
equation driven by a Lévy process, Stochastic Processes and
their Applications, Volume 103,Issue 2, February 2003, Pages 311-349.
Prépublication. Notice HAL.
- Improved
convergence rate for the simulation of
stochastic differential equations driven by subordinated Lévy
processes (with Magnus Wiktorsson),
Stochastic processes and their
applications, Volume 108, Issue 1, Pages 1-26, 2003. Prépublication. Notice HAL.
- Books/chapters of books
- Monte Carlo approximations of american options (SRRN) (with Pierre Del Moral and Bruno Rémillard). Numerical Methods in Finance, Springer Proceedings in Mathematics, 2011 (new title : Monte Carlo approximations of american option that preserve monotonicity and convexity). Sur HAL.
- A Mean Field Theory of Nonlinear Filtering (review paper with Pierre Del Moral , Frédéric Patras ), in Handbook on Nonlinear Filtering, Dan Crisan and Boris Rozovskii, editors, Oxford University Press, Oxford, 2011. HAL.
- Une
introduction aux probabilités, Ellipses 2007 (textbook with
Pierre Del Moral and Bruno Rémillard).
Missing figure p. 186 : .ps, .eps, right size.
Notice HAL.