Nombre de documents

82

CV de Antoine Lejay


Communication dans un congrès14 documents

  • Stanislas Larnier, Rafael Almar, Rodrigo Cienfuegos, Antoine Lejay. On the use of the Radon transform to estimate longshore currents from video imagery. Green, A.N. and Cooper, J.A.G. ICS 2014 : International Coastal Symposium, Durban (ZFA), 2014/04/13-18, Apr 2014, Durban, South Africa. Journal of Coastal Research, 70, pp.023-028, 2014, Proceedings 13th International Coastal Symposium (Durban, South Africa). <http://ics2014.org/>. <10.2112/SI70-005.1>. <hal-00917807>
  • Stanislas Larnier, Rafael Almar, Rodrigo Cienfuegos, Antoine Lejay. Détection de courants marins côtiers à partir de séquences vidéo. Congrès SMAI 2013 - Seignosse le Penon, France, 27-31 mai 2013, May 2013, Seignosse, France. EDPsciences, ESAIM: ProcS, 45, 2014, Congrès SMAI 2013. <10.1051/proc/201445037>. <hal-00868401v2>
  • Antoine Lejay, Sylvain Maire, Géraldine Pichot. Monte Carlo simulations in media with interfaces. Bail, Guillaume and Engquist, Björn and Le Bris, Claude and Owhadi, Houman. Interplay of Theory and Numerics for Deterministic and Stochastic Homogenization, Mar 2013, Oberwolfach, Germany. 14/2013, pp.38-30, 2013, Oberwolfach Report. <10.4171/OWR/2013/14>. <hal-00819900>
  • Antoine Lejay. Perturbation of linear rough differential equations and applications. Crisan, Dan and Friz, Peter and Gubinelli, Massimiliano. Rough Paths and PDEs, Aug 2012, Oberwolfach, Germany. Mathematisches Forschungsinstitut Oberwolfach, 41/2012, 2012, <10.4171/OWR/2012/41>. <hal-00760588>
  • Arturo Kohatsu-Higa, Antoine Lejay, Kazuhiro Yasuda. On Weak Approximation of Stochastic Differential Equations with Discontinuous Drift Coefficient. Chiaki Hara. Mathematical Economics, Oct 2011, Kyoto, Japan. 1788, pp.94-106, 2012. <hal-00670123>
  • Jocelyne Erhel, Antoine Lejay, Géraldine Pichot. Comparison of some Lagrangian schemes for the simulation of diffusion in discontinuous media. B. Amaziane and D. Barrera and H. Mraoui and M.L. Rodriguez and D. Sbibih. Mamern 2011, May 2011, Saidia, Morocco. B. Amaziane and D. Barrera and H. Mraoui and M.L. Rodriguez and D. Sbibih, pp.319-322, 2011. <hal-00642194>
  • Antoine Lejay. Monte Carlo methods for discontinuous media. Amaziane, B. and Barrera, D. and Fortes, M.A. and Ibáñez, M.J. and Odunlami, M. and Palomares, A. and Pasadas, M. and Rodríguez, M.L. and Sbibih, D. 3rd International Conference on Approximation Methods and numerical Modeling in Environment and Natural Resources MAMERN 2009, Jun 2009, Pau, France. Universidad de Granada, 2, pp.591-596, 2009, 3rd International Conference on Approximation Methods and numerical Modeling in Environment and Natural Resources MAMERN 2009. <inria-00393738>
  • Antoine Lejay. Rough paths: an introduction using classical analysis. T.E. Simos and G. Psihoyios and Ch. Tsitouras. Numerical Nalaysus abd Applied Mathematics (ICNAAM), Sep 2007, Corfou, Greece. American Institute of Physics, 936, pp.339--342, 2007, AIP Conference Proceedings; Numerical Analysis and Applied Mathematics. <inria-00200339>
  • Madalina Deaconu, Antoine Lejay. Simulation of exit times and positions for Brownian motions and Diffusions. ICIAM 2007, 6th International Congress on Industrial and Applied Mathematics, Jul 2007, Zurich, Switzerland. Wiley Interscience, 7, pp.1081401-1081402, 2007, PAMM; Special Issue: Sixth International Congress on Industrial Applied Mathematics (ICIAM07) and GAMM Annual Meeting, Zürich 2007. <10.1002/pamm.200700564>. <inria-00348693>
  • Antoine Lejay. A probabilistic interpretation of the transmission conditions using the Skew Brownian motion. A. Damlamian, D. Lukkassen, A. Meidell, A. Piatnitski. Multi Scale problems and asymptotic analysis - Narvik Midnight Sun Conference 2004, 2004, Narvik Norvège, Gakkotosho Co.,Ltd., 24, 2004, Gakuto International Series Mathematical Sciences and Applications; Multi Scale problems and asymptotic analysis. <inria-00092418>
  • Antoine Lejay, Terry Lyons. On the Importance of the Levy Area for Studying the Limits of Functions of Converging Stochastic Processes. Application to Homogenization. D. Bakry, L. Beznea, Gh. Bucur, M. Röckner. Current Trends in Potential Theory, 2003, Bucarest, The Theta foundation / American Mathematical Society, 7, 2003, Current Trends in Potential Theory Conference Proceedings, Bucharest, September 2002 and 2003. <inria-00092419>
  • Antoine Lejay. Monte Carlo methods for fissured porous media: a gridless approach. K.K. Sabelfeld. IV IMACS Seminar on Monte Carlo Methods, Sep 2003, Berlin, VSP, 10/3-4 (3-4), pp.385-292, 2003, Monte Carlo Methods and Applications. <inria-00102181>
  • Antoine Lejay. Weak solution of semi-linear PDE, BSDE and homogenization. 0929-9629. Monte Carlo and probabilistic methods for partial differential equations (Monte Carlo, 2000), 2000, Monte Carlo, 7/3-4 (3-4), pp.262-272, 2000, Monte Carlo and probabilistic methods for partial differential equations, Part II (Monte Carlo, 2000). <inria-00101706>
  • Fabien Campillo, Antoine Lejay. A Monte Carlo Method to Compute the exchange coefficient in the double porosity model. VSP. Monte Carlo and probabilistic methods for partial differential equations (Monte Carlo, 2000), 2000, Monte Carlo, 7/1-2 (1-2), pp.65-72, 2000, Monte Carlo Methods Appl.; Monte Carlo and probabilistic methods for partial differential equations (Monte Carlo, 2000). <inria-00101707>

Rapport12 documents

  • Nicolas Champagnat, Madalina Deaconu, Antoine Lejay. Méthodes de calcul de la Value-at-Risk et de la Conditional Value-at-Risk. [Contrat] Inria Nancy - Grand Est (Villers-lès-Nancy, France). 2016. <hal-01305032>
  • Antoine Lejay. Estimation of the mean residence time in cells surrounded by semi-permeable membranes by a Monte Carlo method. [Research Report] RR-8709, Inria Nancy - Grand Est (Villers-lès-Nancy, France); INRIA. 2015. <hal-01140960v2>
  • Nicolas Champagnat, Madalina Deaconu, Antoine Lejay, Akram Bedoui. Analyse de dépendance d'actifs financiers par la méthode des copules. [Contract] Inria. 2015, pp.61. <hal-01114790>
  • Antoine Lejay, Ernesto Mordecki, Soledad Torres. Numerical approximation of Backward Stochastic Differential Equations with Jumps. [Research Report] RR-8595, INRIA. 2014, pp.32. <inria-00357992v4>
  • Souhail Boukherouaa, Nicolas Champagnat, Madalina Deaconu, Antoine Lejay. Mesure de risques : calcul de la Value-at-Risk et application à la gestion de portefeuilles. [Contrat] 2013, pp.77. <hal-00780460>
  • Nicolas Champagnat, Madalina Deaconu, Antoine Lejay, Khaled Salhi. Mesure de risque : détection du régime de crise et calcul de la Value-at-Risk. [Contrat] 2013, pp.67. <hal-00942009>
  • Antoine Lejay. exitbm: a library for simulating Brownian motion's exit times and positions from simple domains. [Technical Report] RT-0402, INRIA. 2011, pp.26. <inria-00561409v2>
  • Madalina Deaconu, Antoine Lejay. Problème d'éclatement de tuyaux : approches Monte Carlo. [Contrat] 2010. <hal-00768371>
  • Madalina Deaconu, Antoine Lejay, Samuel Herrmann. Sur le problème de la stratégie optimale de couverture d'une centrale électrique. [Contrat] 2010. <hal-00768303>
  • Aymen Bergaoui, Madalina Deaconu, Mohamed Zied Ghazai, Ines Henrichi, Samuel Herrmann, et al.. Méthodes de réduction de variance originales et de simulation exacte de prix et de grecques en finance. [Contrat] 2009. <hal-00768376>
  • Fabien Campillo, Antoine Lejay. A Monte Carlo Method without Grid to Compute the Exchange Coefficient in the Double Porosity Model Part I : From the Matrix to the Fissures. [Research Report] RR-4048, INRIA. 2000, pp.28. <inria-00072590>
  • Antoine Lejay. Approche probabiliste de l'homogénéisation des opérateurs sous forme divergence en milieu périodique. RR-3569, INRIA. 1998. <inria-00073112>

Direction d'ouvrage, Proceedings3 documents

  • Catherine Donati-Martin, Antoine Lejay, Alain Rouault. Séminaire de Probabilités XLV. Donati-Martin, Catherine and Lejay, Antoine and Rouault, Alain. 2078, Springer, pp.558, 2013, Lecture Notes in Mathematics, 978-3-319-00320-7. <10.1007/978-3-319-00321-4>. <hal-00849019>
  • Catherine Donati-Martin, Antoine Lejay, Alain Rouault. Séminaire de Probabilités XLIV. Catherine Donati-Martin and Antoine Lejay and Alain Rouault. France. 2046, Springer-Verlag, pp.465, 2012, Lecture Notes in Mathematics, 978-3-642-27460-2. <10.1007/978-3-642-27461-9>. <hal-00724872>
  • Catherine Donati-Martin, Antoine Lejay, Alain Rouault. Séminaire de Probabilités XLIII. Catherine Donati-Martin and Antoine Lejay and Alain Rouault. France. 2006, Springer-Verlag, pp.503, 2011, Lecture Notes in Mathematics, 978-3-642-15216-0. <10.1007/978-3-642-15217-7>. <inria-00541922>

Article dans une revue39 documents

  • Khaled Salhi, Madalina Deaconu, Antoine Lejay, Nicolas Champagnat, Nicolas Navet. Regime switching model for financial data: empirical risk analysis. Physica A, Elsevier, 2016, 461, pp.148-157. <10.1016/j.physa.2016.05.002>. <hal-01095299v2>
  • Antoine Lejay, Géraldine Pichot. Simulating Diffusion Processes in Discontinuous Media: Benchmark Tests. Journal of Computational Physics, Elsevier, 2016, 314, pp.348-413. <10.1016/j.jcp.2016.03.003>. <hal-01003853v3>
  • Antoine Lejay. The snapping out Brownian motion. Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2016, 26 (3), pp.1727-1742. <10.1214/15-AAP1131>. <hal-00781447v4>
  • Laure Coutin, Antoine Lejay. Perturbed linear rough differential equations. Annales mathématiques Blaise Pascal, cedram, 2014, 21 (1), pp.103-150. <hal-00722900v3>
  • Antoine Lejay, Ernesto Mordecki, Soledad Torres. Is a Brownian motion skew?. Scandinavian Journal of Statistics, Wiley, 2014, 5 (2), pp.346-364. <10.1111/sjos.12033>. <inria-00544442v4>
  • Antoine Lejay, Sylvain Maire. New Monte Carlo schemes for simulating diffusions in discontinuous media. Journal of Computational and Applied Mathematics, Elsevier, 2013. <hal-00689581v4>
  • Antoine Lejay, Victor Reutenauer. A variance reduction technique using a quantized Brownian motion as a control variate. The Journal of Computational Finance,, Incisive Media, 2012, 16 (2), pp.61-84. <inria-00393749v3>
  • Antoine Lejay. Trajectoires rugueuses. Matapli, SMAI, 2012, 98, pp.119-134. <hal-00701211>
  • Antoine Lejay, Géraldine Pichot. Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps. Journal of Computational Physics, Elsevier, 2012, 231 (21), pp.7299-7314. <10.1016/j.jcp.2012.07.011>. <hal-00649170v3>
  • Antoine Lejay. Simulation of a stochastic process in a discontinuous layered media. Electronic Communications in Probability, Institute of Mathematical Statistics (IMS), 2011, 16, pp.764-774. <inria-00583127v4>
  • Antoine Lejay. Controlled differential equations as Young integrals: a simple approach. Journal of Differential Equations, Elsevier, 2010, 249, pp.1777-1798. <10.1016/j.jde.2010.05.006>. <inria-00402397>
  • Samih Zein, Antoine Lejay, Madalina Deaconu. An Efficient Algorithm to Simulate a Brownian Motion Over Irregular Domains. Communications in Computational Physics, Global Science Press, 2010, 8 (4), pp.901-916. <10.4208/cicp.240209.031209a>. <inria-00444056>
  • Madalina Deaconu, Antoine Lejay. Simulation of diffusions by means of importance sampling paradigm. Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2010, 20 (4), pp.1389-1424. <10.1214/09-AAP659>. <inria-00126339v2>
  • Antoine Lejay, Sylvain Maire. Simulating diffusions with piecewise constant coefficients using a kinetic approximation. Computer Methods in Applied Mechanics and Engineering, Elsevier, 2010, 199 (29-32), pp.2014-2023. <inria-00358003v4>
  • Antoine Lejay. Yet another introduction to rough paths. Séminaire de Probabilités, Springer-Verlag, 2009, Séminaire de Probabilités XLII / Lecture Notes in Mathematics, 1979, pp.1-101. <10.1007/978-3-642-01763-6_1>. <inria-00107460v3>
  • Antoine Lejay. On rough differential equations. Electronic Journal of Probability, Institute of Mathematical Statistics (IMS), 2009, 14 (12), pp.341-364. <inria-00278246v3>
  • Antoine Lejay. Stochastic Differential Equations Driven by Processes Generated by Divergence Form Operators II: Convergence results. ESAIM: Probability and Statistics, EDP Sciences, 2008, 12, pp.387-411. <10.1051/ps:2007040>. <inria-00092427v3>
  • Antoine Lejay, Sylvain Maire. Computing the principal eigenelements of some linear operators using a branching Monte Carlo method. Journal of Computational Physics, Elsevier, 2008, 227 (23), pp.9794-9806. <10.1016/j.jcp.2008.07.018>. <hal-01479830>
  • Antoine Lejay, Sylvain Maire. Computing the first eigenelements of some linear operators using a branching Monte Carlo method. Journal of Computational Physics, Elsevier, 2008, 227 (23), pp.9794-9806. <10.1016/j.jcp.2008.07.018>. <inria-00151884v2>
  • Jean Jacod, Antoine Lejay, Denis Talay. Estimation of the Brownian dimension of a continuous Ito process. Bernoulli, Bernoulli Society for Mathematical Statistics and Probability, 2008, 14 (2), pp.469-498. <10.3150/07-BEJ6190>. <inria-00143541v2>
  • Pierre Etoré, Antoine Lejay. A Donsker theorem to simulate one-dimensional processes with measurable coefficients. ESAIM: Probability and Statistics, EDP Sciences, 2007, 11, pp.301-326. <10.1051/ps:2007021>. <inria-00077851>
  • Antoine Lejay, Sylvain Maire. Computing the principal eigenvalue of the Laplace operator by a stochastic method. Mathematics and Computers in Simulation, Elsevier, 2007, 73 (3), pp.351-363. <10.1016/j.matcom.2006.06.011>. <inria-00092408>
  • Antoine Lejay. Stochastic Differential Equations Driven by Processes Generated by Divergence Form Operators I: A Wong-Zakai Theorem. ESAIM: Probability and Statistics, EDP Sciences, 2006, 10, pp.356-379. <10.1051/ps:2006015>. <inria-00092426>
  • Antoine Lejay, Nicolas Victoir. On (p,q)-rough paths. Journal of Differential Equations, Elsevier, 2006, 225 (1), pp.103-133. <10.1016/j.jde.2006.01.018>. <inria-00092420>
  • Antoine Lejay, Miguel Martinez. A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients. Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2006, 16 (1), pp.107-139. <10.1214/105051605000000656>. <inria-00000410>
  • Antoine Lejay. On the Constructions of the Skew Brownian Motion. Probability Surveys, Institute of Mathematical Statistics (IMS), 2006, 3, pp.413-466. <10.1214/154957807000000013>. <inria-00000785v2>
  • Madalina Deaconu, Antoine Lejay. A random walk on rectangles algorithm. Methodology and Computing in Applied Probability, Springer Verlag, 2006, 8 (1), pp.135-151. <10.1007/s11009-006-7292-3>. <inria-00092424>
  • Massimiliano Gubinelli, Antoine Lejay, Samy Tindel. Young integrals and SPDEs. Potential Analysis, Springer Verlag, 2006, 25 (4), pp.307-326. <inria-00092425>
  • Laure Coutin, Antoine Lejay. Semimartignales and rough path theory. EJP, 2005, pp.23. <hal-00266889>
  • Laure Coutin, Antoine Lejay. Semi-martingales and rough paths theory. Electronic Journal of Probability, Institute of Mathematical Statistics (IMS), 2005, 10 (23), pp.761-785. <inria-00000411>
  • Antoine Lejay. A probabilistic representation of the solution of some quasi-linear PDE with a divergence form operator. Application to existence of weak solutions of FBSDE. Stochastic Processes and their Applications, Elsevier, 2004, 110 (1), pp.145-176. <10.1016/j.spa.2003.09.012>. <inria-00001228>
  • Antoine Lejay. Simulating a diffusion on a graph. Application to reservoir engineering. Monte Carlo Methods and Applications, De Gruyter, 2003, 9 (3), pp.241-255. <inria-00092428>
  • Antoine Lejay. On the convergence of stochastic integrals driven by processes converging on account of a homogenization property. Electronic Journal of Probability, Institute of Mathematical Statistics (IMS), 2003, 7 (18), pp.1-18. <inria-00093190v2>
  • Antoine Lejay. On the decomposition of excursions measures of processes whose generators have diffusion coefficients discontinuous at one point. Markov Processes and Related Fields, Polymath, 2002, 8 (1), pp.117-126. <inria-00001230>
  • Antoine Lejay. BSDE driven by Dirichlet process and semi-linear parabolic PDE. Application to homogenization. Stochastic Processes and their Applications, Elsevier, 2002, 97 (1), pp.1-39. <10.1016/S0304-4149(01)00124-7>. <inria-00001229>
  • Fabien Campillo, Antoine Lejay. A Monte Carlo method without grid for a fractured porous domain model. Monte Carlo Methods and Applications, De Gruyter, 2002, 8 (2), pp.129-147. <inria-00152412>
  • Antoine Lejay. A Probabilistic Approach to the Homogenization of Divergence-Form Operators in Periodic Media. Asymptotic Analysis, IOS Press, 2001, 28 (2), pp.151-162. <inria-00001219>
  • Fabien Campillo, Antoine Lejay. A Monte Carlo method to compute the exchange coefficient in the double porosity model. Monte Carlo Methods and Applications, De Gruyter, 2001, 7 (1--2), pp.65--72. <hal-00652117>
  • Antoine Lejay. Homogenization of divergence-form operators with lower order terms in random media. Probability Theory and Related Fields, Springer Verlag, 2001, 120 (2), pp.255-276. <10.1007/s004400100135>. <inria-00001220>

Chapitre d'ouvrage3 documents

  • Antoine Lejay. Global solutions to rough differential equations with unbounded vector fields. Catherine Donati-Martin and Antoine Lejay and Alain Rouault. Séminaire de Probabilités XLIV, 2046, Springer, pp.215-246, 2012, Lecture Notes in Mathemics, 978-3-642-27460-2. <10.1007/978-3-642-27461-9_11>. <inria-00451193v3>
  • Leonid Pastur, Antoine Lejay. Matrices aléatoires: Statistique asymptotique des valeurs propres. J. Azéma; M. Émery; M. Ledoux; M. Yor. Séminaire de Probabilités XXXVI, 1801 (1801), Springer Berlin / Heidelberg, pp.135-164, 2004, Lecture Notes in Mathematics, 978-3-540-00072-3. <10.1007/b10068>. <inria-00102375>
  • Antoine Lejay. An Introduction to Rough Paths. J. Azéma; M. Ledoux; M. Emery; M. Yor. Seminaire de Probabilités XXXVII, 1832 (1832), Springer Berlin / Heidelberg, pp.1-59, 2003, Lecture Notes in Mathematics, 978-3-540-20520-3. <10.1007/b94376>. <inria-00102184>

Pré-publication, Document de travail11 documents

  • Antoine Lejay, Ernesto Mordecki, Soledad Torres. Two consistent estimators for the Skew Brownian motion. 2017. <hal-01492853>
  • Antoine Lejay. The Girsanov theorem without (so much) stochastic analysis. 2017. <hal-01498129>
  • Antoine Lejay. Estimation of the bias parameter of the Skew Random Walk and application to the Skew Brownian motion. 2017. <hal-01319319v3>
  • Madalina Deaconu, Antoine Lejay, Khaled Salhi. Approximation of CVaR minimization for hedging under exponential-Lévy models. 2017. <hal-01461215>
  • Antoine Lejay, Paolo Pigato. Statistical estimation of the Oscillating Brownian Motion. 2017. <hal-01430794>
  • Laure Coutin, Antoine Lejay. Sensitivity of rough differential equations: an approach through the Omega lemma. Centre IntraFacultaire Bernoulli (CIB) and the NSF (National Science Foundation) during SPDE Semester in 2012. 2016. <hal-00875670v4>
  • Arturo Kohatsu-Higa, Antoine Lejay, Kazuhiro Yasuda. Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift. 2015. <hal-00840211v4>
  • Antoine Lejay. A Monte Carlo estimation of the mean residence time in cells surrounded by thin layers. 2015. <hal-01216471v4>
  • Nicolas Champagnat, Madalina Deaconu, Antoine Lejay, Nicolas Navet, Souhail Boukherouaa. An empirical analysis of heavy-tails behavior of financial data: The case for power laws. 2013. <hal-00851429>
  • Antoine Lejay. A short introduction to rough paths: outline and selected bibliography. 2009. <inria-00419931>
  • Massimiliano Gubinelli, Antoine Lejay. Global existence for rough differential equations under linear growth conditions. 20 pages. 2009. <hal-00384327>