|
|
WELL-POSEDNESS AND APPROXIMATION OF SOME ONE-DIMENSIONAL LÉVY-DRIVEN NON-LINEAR SDES
Noufel Frikha
,
Libo Li
Article dans une revue
hal-02446337v1
|
Partager
Gmail
Facebook
X
LinkedIn
More
|
|
|
INTEGRATION BY PARTS FORMULA FOR KILLED PROCESSES: A POINT OF VIEW FROM APPROXIMATION THEORY
Noufel Frikha
,
Arturo Kohatsu-Higa
,
Libo Li
Article dans une revue
hal-02265825v1
|
Partager
Gmail
Facebook
X
LinkedIn
More
|
|
|
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
|
Partager
Gmail
Facebook
X
LinkedIn
More
|
|
|
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
|
Partager
Gmail
Facebook
X
LinkedIn
More
|
|
|
Quantization based recursive Importance Sampling
Noufel Frikha
,
Abass Sagna
Article dans une revue
hal-00624544v1
|
Partager
Gmail
Facebook
X
LinkedIn
More
|
|
|
Parametrix method for the first hitting time of an elliptic diffusion with irregular coefficients
Noufel Frikha
,
Libo Li
Article dans une revue
hal-03945977v1
|
Partager
Gmail
Facebook
X
LinkedIn
More
|
|
|
Shortfall risk minimization in discrete time financial market models
Noufel Frikha
Article dans une revue
hal-00664896v1
|
Partager
Gmail
Facebook
X
LinkedIn
More
|
|
|
CVaR hedging using quantization based stochastic approximation algorithm
Olivier Bardou
,
Noufel Frikha
,
Gilles Pagès
Article dans une revue
hal-00547776v1
|
Partager
Gmail
Facebook
X
LinkedIn
More
|
|
|
WELL-POSEDNESS OF SOME NON-LINEAR STABLE DRIVEN SDES
Noufel Frikha
,
Valentin Konakov
,
Stéphane Menozzi
Article dans une revue
hal-02314239v1
|
Partager
Gmail
Facebook
X
LinkedIn
More
|
|
|
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
|
Partager
Gmail
Facebook
X
LinkedIn
More
|
|
|
FROM THE BACKWARD KOLMOGOROV PDE ON THE WASSERSTEIN SPACE TO PROPAGATION OF CHAOS FOR MCKEAN-VLASOV SDES
Noufel Frikha
,
Paul-Eric Chaudru de Raynal
Article dans une revue
hal-02168772v2
|
Partager
Gmail
Facebook
X
LinkedIn
More
|
|
|
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
|
Partager
Gmail
Facebook
X
LinkedIn
More
|
|
|
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
|
Partager
Gmail
Facebook
X
LinkedIn
More
|
|
|
Computation of VaR and CVaR using stochastic approximations and unconstrained importance sampling.
Olivier Aj Bardou
,
Noufel Noufel Frikha
,
G. Pagès
Article dans une revue
hal-00348098v5
|
Partager
Gmail
Facebook
X
LinkedIn
More
|
|
|
A MULTI-STEP RICHARDSON-ROMBERG EXTRAPOLATION METHOD FOR STOCHASTIC APPROXIMATION
Noufel Frikha
,
Lorick Huang
Article dans une revue
hal-01064536v2
|
Partager
Gmail
Facebook
X
LinkedIn
More
|
|
|
Joint Modelling of Gas and Electricity spot prices
Noufel Frikha
,
Vincent Lemaire
Article dans une revue
hal-00421289v3
|
Partager
Gmail
Facebook
X
LinkedIn
More
|
|
|
Concentration Bounds for Stochastic Approximations
Noufel Frikha
,
Stephane Menozzi
Electronic Communications in Probability, 2012, 17 (47), 15p
Article dans une revue
hal-00688165v3
|
Partager
Gmail
Facebook
X
LinkedIn
More
|
|
|
Stochastic approximation, Markovian perturbation and their applications
Noufel Frikha
Probability [math.PR]. Université Paris Cité, 2017
HDR
tel-04017754v1
|
Partager
Gmail
Facebook
X
LinkedIn
More
|
|
|
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
|
Partager
Gmail
Facebook
X
LinkedIn
More
|
|
|
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
|
Partager
Gmail
Facebook
X
LinkedIn
More
|
|
|
On some asymptotic expansions of skew diffusions
Noufel Frikha
,
Arturo Kohatsu-Higa
2023
Pré-publication, Document de travail
hal-04170583v1
|
Partager
Gmail
Facebook
X
LinkedIn
More
|
|
|
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
|
Partager
Gmail
Facebook
X
LinkedIn
More
|
|
|
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
|
Partager
Gmail
Facebook
X
LinkedIn
More
|
|
|
WELL-POSEDNESS FOR SOME NON-LINEAR DIFFUSION PROCESSES AND RELATED PDE ON THE WASSERSTEIN SPACE
Paul-Eric Chaudru de Raynal
,
Noufel Frikha
Article dans une revue
hal-01924949v3
|
Partager
Gmail
Facebook
X
LinkedIn
More
|
|
|
Multi-level stochastic approximation algorithms
Noufel Frikha
Article dans une revue
hal-00870585v2
|
Partager
Gmail
Facebook
X
LinkedIn
More
|
|
|
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
|
Partager
Gmail
Facebook
X
LinkedIn
More
|