Publications (39)
Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators
Anis Al Gerbi, Benjamin Jourdain, Emmanuelle Clément
Computation of sensitivities for the invariant measure of a parameter dependent diffusion
Roland Assaraf, Benjamin Jourdain, Tony Lelièvre +1
Optimal scaling for the transient phase of Metropolis Hastings algorithms: The longtime behavior
Benjamin Jourdain, Tony Lelièvre, BÅażej Miasojedow
High order discretization schemes for stochastic volatility models
Benjamin Jourdain, Mohamed Sbai
On adaptive stratification
Pierre Etoré, Gersende Fort, Benjamin Jourdain +1
A Call-Put Duality for Perpetual American Options
Aurélien Alfonsi, Benjamin Jourdain
On the long time behavior of stochastic vortices systems
Joaquin Fontbona, Benjamin Jourdain
Adaptive optimal allocation in stratified sampling methods
Pierre Etore, Benjamin Jourdain
Stochastic flows approach to Dupire's formula
Benjamin Jourdain
Does waste-recycling really improve Metropolis-Hastings Monte Carlo algorithm?
Jean-François Delmas, Benjamin Jourdain
Ninomiya-Victoir scheme : strong convergence properties and discretization of the involved Ordinary Differential Equations
Anis Al Gerbi, Benjamin Jourdain, Emmanuelle Clément
Convergence of the Wang-Landau algorithm
Gersende Fort, Benjamin Jourdain, Estelle Kuhn +2
Optimal scaling for the transient phase of the random walk Metropolis algorithm: The mean-field limit
Benjamin Jourdain, Tony Lelièvre, BÅażej Miasojedow
Propagation of chaos for rank-based interacting diffusions and long time behaviour of a scalar quasilinear parabolic equation
Benjamin Jourdain, Julien Reygner
Robust adaptive importance sampling for normal random vectors
Benjamin Jourdain, Jérôme Lelong
Convergence of a stochastic particle approximation for fractional scalar conservation laws
Benjamin Jourdain, Raphaël Roux
Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme
Aurélien Alfonsi, Benjamin Jourdain, Arturo Kohatsu-Higa
Asymptotic error distribution for the Ninomiya-Victoir scheme in the commutative case
Anis Al Gerbi, Benjamin Jourdain, Emmanuelle Clément
Evolution of the Wasserstein distance between the marginals of two Markov processes
Aurélien Alfonsi, Jacopo Corbetta, Benjamin Jourdain
Reducing the debt : is it optimal to outsource an investment?
Gilles Edouard Espinosa, Caroline Hillairet, Benjamin Jourdain +1
A trajectorial interpretation of the dissipations of entropy and Fisher information for stochastic differential equations
Joaquin Fontbona, Benjamin Jourdain
Propagation of chaos and Poincaré inequalities for a system of particles interacting through their cdf
Benjamin Jourdain, Florent Malrieu
Existence of a calibrated regime switching local volatility model and new fake Brownian motions
Benjamin Jourdain, Alexandre Zhou
General Duality for Perpetual American Options
Aurélien Alfonsi, Benjamin Jourdain
Existence, uniqueness and convergence of a particle approximation for the Adaptive Biasing Force process
Benjamin Jourdain, Tony Lelievre, Raphaël Roux
Coupling Index and Stocks
Benjamin Jourdain, Mohamed Sbai
Lévy flights in ecology
Benjamin Jourdain, Sylvie Méléard, Wojbor Woyczynski
The small noise limit of order-based diffusion processes
Benjamin Jourdain, Julien Reygner
Asymptotics for the normalized error of the Ninomiya-Victoir scheme
Anis Al Gerbi, Benjamin Jourdain, Emmanuelle Clément
Stochastic particle approximation of the Keller-Segel equation and two-dimensional generalization of Bessel processes
Nicolas Fournier, Benjamin Jourdain
Exact retrospective Monte Carlo computation of arithmetic average Asian options
Benjamin Jourdain, Mohamed Sbai
Equivalence of the Poincaré inequality with a transport-chi-square inequality in dimension one
Benjamin Jourdain
Nonlinear SDEs driven by Lévy processes and related PDEs
Benjamin Jourdain, Sylvie Méléard, Wojbor Woyczynski
A remark on the optimal transport between two probability measures sharing the same copula
Aurélien Alfonsi, Benjamin Jourdain
Regularity of the Exercise Boundary for American Put Options on Assets with Discrete Dividends
Benjamin Jourdain, Michel Vellekoop
Convenient Multiple Directions of Stratification
Benjamin Jourdain, Bernard Lapeyre, Piergiacomo Sabino
Convergence and efficiency of adaptive importance sampling techniques with partial biasing
Gersende Fort, Benjamin Jourdain, Tony Lelièvre +1
Capital distribution and portfolio performance in the mean-field Atlas model
Benjamin Jourdain, Julien Reygner
A multitype sticky particle construction of Wasserstein stable semigroups solving one-dimensional diagonal hyperbolic systems with large monotonic data
Benjamin Jourdain, Julien Reygner