Laboratoire J. A. Dieudonné (How to come to the lab ?) Probability and Statistics Team	CNRS U.M.R. 7351

Sylvain RUBENTHALER

Research interests:
Non-linear filtering. Particle algorithms. Coupling. Financial mathematics. Turbulence. Stochastic calculus for neurobiology.

• Curriculum vitae

• Preprints
  • A Numerical Scheme for Invariant Distributions of Constrained Diffusions (with Amarjit Budhiraja et Jian Cheng). Sur HAL .
  • Discrete Time Markovian Agents Interacting Through a Potential (with Amarjit Budhiraja et Pierre Del Moral . ( On HAL .)
  • Optimal hedging in discrete and continuous time , Cahiers du Gerad ( alternate link: SRRN ), (with Bruno Rémillard ).
  • Expansion of the propagation of chaos for Bird and Nanbu systems. (On HAL .)
• Publications
  • Monte Carlo approximations of american options (SRRN) (with Pierre Del Moral and Bruno Rémillard ). To be published in Numerical Methods in Finance, Springer Proceedings in Mathematics, 2011 (new title: Monte Carlo approximations of american option that preserve monotonicity and convexity).
  • 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.
  • 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 / March, 2010. HAL preprint.
  • 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, to appear in April 2011. 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. On HAL .
  • Une introduction aux probabilités, Ellipses 2007. (textbook, with Pierre Del Moral et Bruno Rémillard ). Missing figure on page 186 : .ps, .eps, of the right size. Found a misprint? Please report it to corrections.drr@gmail.com.
  • Fast simulated annealing in $\R^d$ and an application to maximum likelihood estimation (avec Tobias Rydén et Magnus Wiktorsson ). Stochastic Processes and their Applications Volume 119, Issue 6, June 2009, Pages 1912-1931. Preprint version
  • Tree based functional expansions for Feynman–Kac particle models (with Pierre Del Moral et 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. Finrisk preprint.
  • 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. Preprint version . Error pointed by Kari Heine in the proof of Lemma 3.6 : correction .
  • 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. Preprint version
  • Improved convergence rate for the simulation of stochastic differential equations driven by subordinated Lévy processes (avec Magnus Wiktorsson), Stochastic processes and their applications, Volume 108, Issue 1, Pages 1-26, 2003. Preprint version

• Teaching
• A.N.R. Mathematical Analysis of Neuronal Dynamics (MANDy)
• Colloquium ASYMPTOTIC PROPERTIES OF STOCHASTIC SYSTEMS, 29-30/5/07. (NOT on the 28-29 as announced on the "chaire d'excellence" webpage).
• Probability and statistics seminar (2007-2010)
• "Habilitation à diriger les recherches"