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WELL-POSEDNESS AND APPROXIMATION OF SOME ONE-DIMENSIONAL LÉVY-DRIVEN NON-LINEAR SDES

 Noufel Frikha , Libo Li
Stochastic Processes and their Applications, 2021, 132, pp.76-107. ⟨10.1016/j.spa.2020.10.002⟩
Article dans une revue hal-02446337v1
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INTEGRATION BY PARTS FORMULA FOR KILLED PROCESSES: A POINT OF VIEW FROM APPROXIMATION THEORY

 Noufel Frikha , Arturo Kohatsu-Higa , Libo Li
Electronic Journal of Probability, 2019, 24, pp.1-44. ⟨10.1214/19-EJP352⟩
Article dans une revue hal-02265825v1
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Probabilistic representation of integration by parts formulae for some stochastic volatility models with unbounded drift

 Junchao Chen , Noufel Frikha , Houzhi Li
2020
Pré-publication, Document de travail hal-03016433v1
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A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation

 Stéphane Crépey , Noufel Frikha , Azar Louzi
2023
Pré-publication, Document de travail hal-04037328v1
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Actor-Critic learning for mean-field control in continuous time

 Noufel Frikha , Maximilien Germain , Mathieu Laurière , Huyên Pham , Xuanye Song
2023
Pré-publication, Document de travail hal-04025524v1
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WELL-POSEDNESS OF SOME NON-LINEAR STABLE DRIVEN SDES

 Noufel Frikha , Valentin Konakov , Stéphane Menozzi
Discrete and Continuous Dynamical Systems - Series A, 2021, 41 (2), pp.849-898. ⟨10.3934/dcds.2020302⟩
Article dans une revue hal-02314239v1

Parametrix method for the first hitting time of an elliptic diffusion with irregular coefficients

 Noufel Frikha , Libo Li
Stochastics: An International Journal of Probability and Stochastic Processes, 2021, 93 (2), pp.167-195. ⟨10.1080/17442508.2019.1711092⟩
Article dans une revue hal-03945977v1
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Quantization based recursive Importance Sampling

 Noufel Frikha , Abass Sagna
Monte Carlo Methods and Applications, 2012, 18 (4), pp.287-326. ⟨10.1515/mcma-2012-0011⟩
Article dans une revue hal-00624544v1
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Shortfall risk minimization in discrete time financial market models

 Noufel Frikha
SIAM Journal on Financial Mathematics, 2014, 5 (1), pp.384-414. ⟨10.1137/120903142⟩
Article dans une revue hal-00664896v1
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CVaR hedging using quantization based stochastic approximation algorithm

 Olivier Bardou , Noufel Frikha , Gilles Pagès
Mathematical Finance, 2016, 26 (1), pp.184-229. ⟨10.1111/mafi.12049⟩
Article dans une revue hal-00547776v1
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FROM THE BACKWARD KOLMOGOROV PDE ON THE WASSERSTEIN SPACE TO PROPAGATION OF CHAOS FOR MCKEAN-VLASOV SDES

 Noufel Frikha , Paul-Eric Chaudru de Raynal
Journal de Mathématiques Pures et Appliquées, 2021, 156, pp.1-124. ⟨10.1016/j.matpur.2021.10.010⟩
Article dans une revue hal-02168772v2
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Contribution à la modélisation et à la gestion dynamique du risque des marchés de l'énergie

 Noufel Frikha
Mathématiques [math]. Université Pierre et Marie Curie - Paris VI, 2010. Français. ⟨NNT : ⟩
Thèse tel-00539962v1
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Concentration Bounds for Stochastic Approximations

 Noufel Frikha , Stephane Menozzi
Electronic Communications in Probability, 2012, 17 (47), 15p
Article dans une revue hal-00688165v3
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Stochastic approximation, Markovian perturbation and their applications

 Noufel Frikha
Probability [math.PR]. Université Paris Cité, 2017
HDR tel-04017754v1

Probabilistic representation of integration by parts formulae for some stochastic volatility models with unbounded drift

 Junchao Chen , Noufel Frikha , Houzhi Li
ESAIM: Probability and Statistics, 2022, Fractional Dynamics in Natural Phenomena, 26, pp.304-351. ⟨10.1051/ps/2022008⟩
Article dans une revue hal-03930651v1
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ON THE FIRST HITTING TIMES FOR ONE-DIMENSIONAL ELLIPTIC DIFFUSIONS

 Noufel Frikha , Arturo Kohatsu-Higa , Libo Li
2016
Pré-publication, Document de travail hal-01373940v1
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Computation of VaR and CVaR using stochastic approximations and unconstrained importance sampling.

 Olivier Aj Bardou , Noufel Noufel Frikha , G. Pagès
Monte Carlo Methods and Applications, 2009, 15 (3), pp.173-210. ⟨10.1515/MCMA.2009.011⟩
Article dans une revue hal-00348098v5
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A MULTI-STEP RICHARDSON-ROMBERG EXTRAPOLATION METHOD FOR STOCHASTIC APPROXIMATION

 Noufel Frikha , Lorick Huang
Stochastic Processes and their Applications, 2015, 125 (11), pp.4066-4101. ⟨10.1016/j.spa.2015.05.016⟩
Article dans une revue hal-01064536v2
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Joint Modelling of Gas and Electricity spot prices

 Noufel Frikha , Vincent Lemaire
Applied Mathematical Finance, 2012, 20 (1), pp.69-93. ⟨10.1080/1350486X.2012.658220⟩
Article dans une revue hal-00421289v3
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Weak uniqueness and density estimates for sdes with coefficients depending on some path-functionals

 Noufel Frikha , Libo Li
Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, 2020, 56 (2), pp.1002-1040. ⟨10.1214/19-AIHP992⟩
Article dans une revue hal-01552492v1
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On some asymptotic expansions of skew diffusions

 Noufel Frikha , Arturo Kohatsu-Higa
2023
Pré-publication, Document de travail hal-04170583v1
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INTEGRATION BY PARTS FORMULA FOR EXIT TIMES OF ONE DIMENSIONAL DIFFUSIONS

 Noufel Frikha , Arturo Kohatsu-Higa , Libo Li
2023
Pré-publication, Document de travail hal-04234839v1
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Asymptotic Error Analysis of Multilevel Stochastic Approximations for the Value-at-Risk and Expected Shortfall

 Stéphane Crépey , Noufel Frikha , Azar Louzi , Gilles Pagès
2023
Pré-publication, Document de travail hal-04304985v1
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WELL-POSEDNESS FOR SOME NON-LINEAR DIFFUSION PROCESSES AND RELATED PDE ON THE WASSERSTEIN SPACE

 Paul-Eric Chaudru de Raynal , Noufel Frikha
Journal de Mathématiques Pures et Appliquées, 2022, ⟨10.1016/j.matpur.2021.12.001⟩
Article dans une revue hal-01924949v3
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Multi-level stochastic approximation algorithms

 Noufel Frikha
The Annals of Applied Probability, 2016, 26 (2), pp.933-985. ⟨10.1214/15-AAP1109⟩
Article dans une revue hal-00870585v2
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Transport-entropy inequalities and deviation estimates for stochastic approximation schemes

 Max Fathi , Noufel Frikha
Electronic Journal of Probability, 2013, 18 (67), pp.1-36
Article dans une revue hal-00783125v1
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