Number of documents

21

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Journal articles13 documents

  • Sylvain Rubenthaler. Expansion of the propagation of chaos for Bird and Nanbu systems.. Annales de la Facultée de Sciences de Toulouse, 2016. ⟨hal-00355211v10⟩
  • François Delarue, James Inglis, Sylvain Rubenthaler, Etienne Tanré. Global solvability of a networked integrate-and-fire model of McKean-Vlasov type. Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2015, 25 (4), pp.2096--2133. ⟨hal-00747565v4⟩
  • Amarjit Budhiraja, Jiang Chen, Sylvain Rubenthaler. A Numerical Scheme for Invariant Distributions of Constrained Diffusions. Mathematics of Operations Research., 2013, pp.moor.2013.0599. ⟨10.1287⟩. ⟨hal-00622153⟩
  • Bruno Rémillard, Sylvain Rubenthaler. OPTIMAL HEDGING IN DISCRETE TIME. Quantitative Finance, Taylor & Francis (Routledge), 2013, 13 (6), pp.819-825. ⟨hal-00755339⟩
  • Amarjit Budhiraja, Pierre Del Moral, Sylvain Rubenthaler. Discrete Time Markovian Agents Interacting Through a Potential. ESAIM: Probability and Statistics, EDP Sciences, 2012, 22 p. ⟨10.1051/ps/2012014⟩. ⟨hal-00601151⟩
  • Pierre Del Moral, Sylvain Rubenthaler, Nicolas Chopin. Stability of Feynman-Kac formulae with path-dependent potentials. Stochastic Processes and their Applications, Elsevier, 2011, 121 (1), pp.38-60. ⟨10.1016/j.spa.2010.08.012⟩. ⟨inria-00533438⟩
  • Sylvain Rubenthaler, Tobias Rydén, Magnus Wiktorsson. Fast simulated annealing in $\R^d$ and an application to maximum likelihood estimation. Stochastic Processes and their Applications, Elsevier, 2009, 119 (6), pp.1912-1931. ⟨10.1016/j.spa.2008.09.007⟩. ⟨hal-00093403⟩
  • Pierre Del Moral, Frédéric Patras, Sylvain Rubenthaler. Tree based functional expansions for Feynman--Kac particle models. Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2009, pp.778-825. ⟨10.1214/08-AAP565⟩. ⟨hal-00086532⟩
  • Miguel Martinez, Sylvain Rubenthaler, Etienne Tanré. Approximations of a Continuous Time Filter. Application to Optimal Allocation Problems in Finance. Stochastic Analysis and Applications, Taylor & Francis: STM, Behavioural Science and Public Health Titles, 2009, 27 (2), pp.270-296. ⟨10.1080/07362990802678846⟩. ⟨hal-00601938⟩
  • Pierre Del Moral, Frédéric Patras, Sylvain Rubenthaler. Coalescent tree based functional representations for some Feynman-Kac particle models. Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2009, 19 (2), pp.778-825. ⟨10.1214/08-AAP565⟩. ⟨inria-00537144⟩
  • Sylvain Rubenthaler, Nadia Oudjane. Stability and Uniform Particle Approximation of Nonlinear Filters in Case of Non Ergodic Signals. Stochastic Analysis and Applications, Taylor & Francis: STM, Behavioural Science and Public Health Titles, 2005, 23 (3), p. 421-448. ⟨10.1081/SAP-200056643⟩. ⟨hal-00755431⟩
  • Sylvain Rubenthaler, Magnus Wiktorsson. Improved convergence rate for the simulation of stochastic differential equations driven by subordinated Lévy processes. Stochastic Processes and their Applications, Elsevier, 2003, 108 (1), pp.Pages 1-26. ⟨10.1016/S0304-4149(03)00100-5⟩. ⟨hal-00755435⟩
  • Sylvain Rubenthaler. Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process. Stochastic Processes and their Applications, Elsevier, 2002, 103 (2), pp.311-349. ⟨10.1016/S0304-4149%2802%2900191-6⟩. ⟨hal-00755433⟩

Conference papers1 document

  • Pierre Del Moral, Bruno Rémillard, Sylvain Rubenthaler. MONTE CARLO APPROXIMATIONS OF AMERICAN OPTIONS THAT PRESERVE MONOTONICITY AND CONVEXITY. Numerical Methods in Finance, Bordeaux June 2011, Jun 2011, Bordeaux, France. pp.115-143, ⟨10.1007/978-3-642-25746-9_4⟩. ⟨hal-00755423⟩

Book sections1 document

  • Pierre Del Moral, Frédéric Patras, Sylvain Rubenthaler. A Mean field theory of nonlinear filtering. Dan Crisan, Boris L. Rozovskii. The Oxford Handbook of Nonlinear Filtering, Oxford University Press, pp.705-740, 2011, Oxford Handbooks in Mathematics, 978-0-19-953290-2. ⟨inria-00537331⟩

Preprints, Working Papers, ...2 documents

  • Sylvain Rubenthaler. Expansion of the propagation of chaos for Bird and Nanbu systems. 2009. ⟨hal-00354393⟩
  • Nicolas Chopin, Pierre Del Moral, Sylvain Rubenthaler. Stability of Feynman-Kac formulae with path-dependent potentials. 2009. ⟨hal-00426415⟩

Reports2 documents

  • Pierre Del Moral, Frédéric Patras, Sylvain Rubenthaler. Convergence of U-statistics for interacting particle systems. [Research Report] RR-6966, INRIA. 2009, pp.20. ⟨inria-00397366⟩
  • Pierre Del Moral, Frédéric Patras, Sylvain Rubenthaler. A Mean Field Theory of Nonlinear Filtering. [Research Report] RR-6437, INRIA. 2008. ⟨inria-00238398v3⟩

Habilitation à diriger des recherches1 document

  • Sylvain Rubenthaler. Probabilités : asp ects théoriques et applications en filtrage non linéaire, systèmes de particules et processus sto chastiques.. Probabilités [math.PR]. Université Nice Sophia Antipolis, 2010. ⟨tel-01144189⟩

Lectures1 document

  • Sylvain Rubenthaler. Intégration et probabilités. Licence. Intégration et probabilités., Université Nice-Sophia Antipolis, 2010, pp.104. ⟨cel-00866964⟩