Statistiques des Diffusions Ergodiques avec Applications en Finance. Finance , 12 2 , The algebra of iterated stochastic integrals.

- Stochastic Control Theory and Stochastic Differential Systems.
- Stochastic Control Theory and Stochastic Differential Systems | SpringerLink?
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Stochastics and Stochastic Reports , —, Random generation of stochastic area integrals. Simulation of diffusions with boundary conditions. Approximation of Lyapunov exponents of nonlinear stochastic differential systems. SIAM J. Applied Math.

Stochastic Differential Equations and Diffusion Processes. North Holland, Brownian Motion and Stochastic Calculus. Numerical Solution of Stochastic Differential Equations. Wong-Zakai corrections, random evolutions and numerical schemes for S. Press, Approximations and optimal control for the pathwise average cost per unit time and discounted problems for wideband noise driven systems. Numerical approaches to reflected diffusion processes. Submitted for publication, Stochastic Calculus and Stochastic Models. Approximate integration of stochastic differential equations. Theory of Probability and Applications , —, Weak approximation of solutions of systems of stochastic differential equations.

The solving of the boundary value problem for parabolic equation by the numerical integration of stochastic equations. To appear in Theory of Probability and Applications. An asymptotically efficient difference formula for solving stochastic differential equations. Stochastics , —, An efficient approximation for stochastic differential equations on the partition of symmetrical first passage times. Asymptotically efficient Runge-Kutta methods for a class of Ito and Stratonovich equations. Variance reduction for simulated diffusions. Stability of linear differential systems with parametric excitation.

On a Taylor formula for a class of Ito processes. Probability and Mathematical Statistics , —51, Numerical treatment of stochastic differential equations. Bifurcation scenarios of the noisy Duffing-van der Pol oscillator.

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On approximation of solutions of multidimensional s. Stochastic Processes and their Applications , 50 2 —, On the gap between deterministic and stochastic differential equations. Efficient numerical schemes for the approximation of expectations of functionals of S. Szpirglas H. Korezlioglu, G.

Mathematical Modelling and Numerical Analysis , 20 1 , Second order discretization schemes of stochastic differential systems for the computation of the invariant law.

Stochastics and Stochastic Reports , 29 1 —36, Approximation of upper Lyapunov exponents of bilinear stochastic differential systems. Presto: a software package for the simulation of diffusion processes. Statistics and Computing Journal , 4 4 , Expansion of the global error for numerical schemes solving stochastic differential equations.

Stochastic Analysis and Applications , 8 4 —, MonteCarlo evaluation of functionals of stochastic differential equations-variance reduction and numerical examples. Stochastic Analysis and Applications , —, Springer, Discretization of a random system near a hyperbolic point. The law of the Euler scheme for stochastic differential equations I : convergence rate of the distribution function. Probability Theory and Related Fields , to appear.

- Chronological History of The New World Order.
- Stochastic Differential Systems I. Filtering and Control A Function Space Approach.;
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Rate of convergence of a stochastic particle method for the Kolmogorov equation with variable coefficients. Mathematics of Computation , 63, On the functional central limit theorem and the law of the iterared logarithm for Maxkov processes. Wahrscheinlichkeitstheorie verve. Gebiete , —, Convergence rate for the approximation of the limit law of weakly interacting particles: application to the Burgers equation.

## Simulation of stochastic differential systems | SpringerLink

Rapport de Recherche , Inria, novembre Submitted for publication. On numerical integration by the shift and application to Wiener space. Acta Applicandae Mathematicae , 3 25 —, Wiley, Collection Didactique. INRIA, A confidence interval for Monte Carlo methods with an application to simulation of obliquely reflecting Brownian motion. Stochastic Processes and their Applications , 29 2 , The ordinary differential equation approach to asymptotically efficient schemes for solutions of stochastic differential equations.

An efficient approximation for a class of stochastic differential equations. Fleming et L. The maximum rate of convergence of discrete approximations for stochastic differential equations. Simulation du Mouvement Brownien et des Diffusions. Statistiques des Diffusions Ergodiques avec Applications en Finance. Finance , 12 2 , The algebra of iterated stochastic integrals. Stochastics and Stochastic Reports , —, Random generation of stochastic area integrals.

Simulation of diffusions with boundary conditions. Approximation of Lyapunov exponents of nonlinear stochastic differential systems. SIAM J. Applied Math.

## PhD Projects and Supervision

Stochastic Differential Equations and Diffusion Processes. North Holland, Brownian Motion and Stochastic Calculus. Numerical Solution of Stochastic Differential Equations. Wong-Zakai corrections, random evolutions and numerical schemes for S. Press, Approximations and optimal control for the pathwise average cost per unit time and discounted problems for wideband noise driven systems.

Numerical approaches to reflected diffusion processes. Submitted for publication, Stochastic Calculus and Stochastic Models.

### Bestselling Series

Approximate integration of stochastic differential equations. Theory of Probability and Applications , —, Weak approximation of solutions of systems of stochastic differential equations. The solving of the boundary value problem for parabolic equation by the numerical integration of stochastic equations. To appear in Theory of Probability and Applications. An asymptotically efficient difference formula for solving stochastic differential equations.

Stochastics , —,