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Sylvain Rubenthaler
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Maître de conférences (≈ associate professor)
Contact
| Address : office 3.718 Laboratoire J. A. Dieudonné UMR CNRS-UNS N°7351 Université Nice Sophia Antipolis Parc Valrose 06108 NICE Cedex 2 FRANCE (How to come to the lab ?) Campus map |
Phone : (+33) 04 89 15 06 58 Fax : (+33)04 93 51 79 74 E-mail : rubentha@unice.fr |
Informations
Research area
- Nonlinear filtering.
- Bayesian statistics.
- Particle algorithms.
- Coupling.
- Financial mathematics.
- Turbulence.
- Stochastic calculus for neurobiology.
Teaching
Teaching page.
Publications
- Preprints
- Option pricing and hedging for regime-switching geometric Brownian motion models. On ArXiv. (This is actually an old work we are re-submitting.)
- Counterexample to a transition probability formula for the ancestral process. On ArXiv.
- Ensemble Rejection Sampling (with Georges
Deligiannidis, Arnaud
Doucet). On
ArXiv
- Published papers
- Central-Limit Theorem for conservative fragmentation chains (avec Camille Noûs). Journal of Applied Probability. On Research Gate. On ArXiv.
- Stability of the optimal filter in continuous time: beyond the Beneš filter (avec Van Bien Bui). Sur HAL. Stochastic analysis and applications, 0 (2020) no. 0, 1-59.
- Expansion of the propagation of chaos for Bird and Nanbu systems. On HAL . Annales de la Faculté des Sciences de Toulouse, Sér. 6, 25 no. 4 (2016), p. 829-873.
- 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). On 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,
- Optimal
hedging in discrete and continuous time , Cahiers du Gerad (
lien SRRN ),
(with
Bruno Rémillard ). Quantitative
Finance, Volume 13, Issue 6, June
2013, pages 819-825.
On
HAL.
- Discrete Time
Markovian Agents Interacting Through a Potential (with
Amarjit Budhiraja et
Pierre Del Moral).
On HAL . ESAIM:
P&S, August 2012.
- 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.
- Reports (not submitted)
- Perfect simulation for the Feynman-Kac law on the path space (with Christophe Andrieu, Nicolas Chopin, Arnaud Doucet). On HAL.
- Derivative-Free Estimation of the Score Vector and Observed Information Matrix with Application to State-Space Models (with Arnaud Doucet, Pierre Jacob). On ArXiv.
- Option Pricing and Hedging for Regime-Switching Geometric
Brownian Motion Models (with Bruno
Rémillard). On SSRN.