Maître de conférences (≈ associate professor)
| Address :
Laboratoire J. A. Dieudonné
UMR CNRS-UNS N°7351
Université Nice Sophia Antipolis
06108 NICE Cedex 2
(How to come to the lab ?)
| Phone :
(+33)04 92 07 62 38
Fax : (+33)04 93 51 79 74
E-mail : email@example.com
Domaines de recherche
- Nonlinear filtering.
- Bayesian statistics.
- Particle algorithms.
- Financial mathematics.
- Stochastic calculus for neurobiology.
TeachingTeaching page (M1 IM). Head of first year of master IM.
- Stability of the optimal filter in continuous time: beyond the
Beneš filter (avec Van Bien Bui).
- Option Pricing and Hedging for Regime-Switching Geometric
Brownian Motion Models (avec Bruno Rémillard).
- 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
- Published papers
- Expansion of the propagation of chaos for Bird and Nanbu systems. Sur HAL . To appear in Annales de la Faculté des Sciences de Toulouse.
- Particle systems with a singular mean-field self-excitation. Application to neuronal networks. With F. Delarue, J. Inglis, E. Tanré. Sur HAL. Stochastic Processes and their Applications, Volume 125, Issue 6, June 2015, pages 2451–2492.
- Global solvability of a networked integrate-and-fire model of McKean-Vlasov type. (with F. Delarue, J. Inglis, E. Tanré). Sur HAL. Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2015, 25 (4), pp.2096--2133.
- Path storage in the particle filter (with Pierre Jacob, Lawrence Murray). On arxiv. Statistics and Computing, Volume 25, Number 2, pp. 487-496, 2015.
- A Numerical Scheme for Invariant Distributions of Constrained Diffusions (with Amarjit Budhiraja et Jiang Chen). On HAL. Mathematics of Operations Research,
discrete and continuous time , Cahiers du
lien SRRN ), (with Bruno
Rémillard ). Quantitative
13, Issue 6, June 2013, pages 819-825.
- Discrete Time
Markovian Agents Interacting
Through a Potential (with
et Pierre Del
Moral). On HAL . ESAIM: P&S, August
of U-statistics for interacting particle systems
(with Pierre Del
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.
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
Prépublication. Notice HAL.
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.
introduction aux probabilités, Ellipses
2007 (textbook with
Pierre Del Moral and Bruno Rémillard).
Missing figure p. 186 : .ps, .eps, right size.