Publications

Martin Arnaiz Iglesias, Adil Rengim Cetingoz, Noufel Frikha (2024). Mirror Descent algorithms for Risk Budgeting Portfolios.

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Stéphane Crépey, Noufel Frikha, Azar Louzi, Jonathan Spence (2024). Adaptive Multilevel Stochastic Approximation of the Value-at-Risk.

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Noufel Frikha, Huyên Pham, Xuanye Song (2024). Full error analysis of policy gradient learning algorithms for exploratory linear quadratic mean-field control problem in continuous time with common noise.

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Stéphane Crépey, Noufel Frikha, Azar Louzi, Gilles Pagès (2023). Asymptotic Error Analysis of the Multilevel Stochastic Approximations of the Value-at-Risk and the Expected Shortfall. Forthcoming in Electronic Journal of Probability.

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Jean-François Chassagneux, Junchao Chen, Noufel Frikha, Chao Zhou (2023). A learning scheme by sparse grids and Picard approximations for semilinear parabolic PDEs. IMA Journal of Numerical Analysis.

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Noufel Frikha, Arturo Kohatsu-Higa (2023). On some asymptotic expansions of skew diffusions. In ICW.

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Stéphane Crépey, Noufel Frikha, Azar Louzi (2023). A multilevel stochastic approximation scheme for Value-at-Risk and Expected Shortfall estimation. Forthcoming in Finance and Stochastics.

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Noufel Frikha, Maximilien Germain, Mathieu Laurière, Huyên Pham, Xuanye Song (2023). Actor-Critic learning for mean-field control in continuous time.

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Paul-Eric Chaudru de Raynal, Noufel Frikha (2022). Well-posedness for some non-linear SDEs and related PDE on the Wasserstein space. Journal de Mathématiques Pures et Appliquées.

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Junchao Chen, Noufel Frikha, Houzhi Li (2022). Probabilistic representation of integration by parts formulae for some stochastic volatility models with unbounded drift. ESAIM: Probability and Statistics.

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Paul-Eric Chaudru de Raynal, Noufel Frikha (2021). From the backward Kolmogorov PDE on the Wasserstein space to propagation of chaos for McKean-Vlasov SDEs. Journal de Mathématiques Pures et Appliquées.

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Noufel Frikha, Valentin Konakov, Stéphane Menozzi (2021). Well-posedness of some non-linear stable driven SDEs. Discrete and Continuous Dynamical Systems.

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Noufel Frikha, Libo Li (2021). Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs. Stochastic Processes and their applications.

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Noufel Frikha, Libo Li (2020). Weak uniqueness and density estimates for SDEs with coefficients depending on some path-functionals. Annales de l’IHP.

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Noufel Frikha, Arturo Kohatsu-Higa, Libo Li (2019). Integration by parts formula for killed processes: a point of view from approximation theory. Electronic Journal of Probability.

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Noufel Frikha (2018). On the weak approximation of a skew diffusion by an Euler-type scheme. Bernoulli.

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Noufel Frikha (2016). Multi-level stochastic approximation algorithms. Annals of Applied Probability.

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Olivier Bardou, Noufel Frikha, Gilles Pagès (2016). CVaR hedging using quantization based stochastic approximation algorithm. Mathematical Finance.

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Noufel Frikha (2014). Shortfall Risk Minimization in Discrete Time Financial Market Models. SIAM Journal of Financial Mathematics.

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Max Fathi, Noufel Frikha (2013). Transport-Entropy inequalities and deviation estimates for stochastic approximation schemes. Electronic Journal of Probability.

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Noufel Frikha, Vincent Lemaire (2013). Joint Modelling of Gas and Electricity Spot Prices. Applied Mathematical Finance.

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Noufel Frikha, Stéphane Menozzi (2012). Concentration bounds for stochastic approximations. Electronic Communications in Probability.

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