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09/27/2022
High order approximations of the Cox-Ingersoll-Ross process semigroup using random grids
We present new high order approximations schemes for the Cox-Ingersoll-R...
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09/09/2022
How many inner simulations to compute conditional expectations with least-square Monte Carlo?
The problem of computing the conditional expectation E[f (Y)|X] with lea...
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02/26/2021
Approximation of Stochastic Volterra Equations with kernels of completely monotone type
In this work, we develop a multi-factor approximation for Stochastic Vol...
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02/05/2021
Constrained overdamped Langevin dynamics for symmetric multimarginal optimal transportation
The Strictly Correlated Electrons (SCE) limit of the Levy-Lieb functiona...
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05/14/2019