Noufel FRIKHA
Noufel FRIKHA
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Asymptotic Error Analysis of the Multilevel Stochastic Approximations of the Value-at-Risk and the Expected Shortfall
This article is a follow up to Crépey, Frikha, and Louzi (2023), where we introduced a nested stochastic approximation algorithm and …
Stéphane Crépey
,
Noufel Frikha
,
Azar Louzi
,
Gilles Pagès
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A learning scheme by sparse grids and Picard approximations for semilinear parabolic PDEs
Relying on the classical connection between backward stochastic differential equations and nonlinear parabolic partial differential …
Jean-François Chassagneux
,
Junchao Chen
,
Noufel Frikha
,
Chao Zhou
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A multilevel stochastic approximation scheme for Value-at-Risk and Expected Shortfall estimation
We propose a multilevel stochastic approximation (MLSA) scheme for the computation of the Value-at-Risk (VaR) and the Expected …
Stéphane Crépey
,
Noufel Frikha
,
Azar Louzi
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Well-posedness for some non-linear SDEs and related PDE on the Wasserstein space
In this paper, we investigate the well-posedness of the martingale problem associated to non-linear stochastic differential equations …
Paul-Eric Chaudru de Raynal
,
Noufel Frikha
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Probabilistic representation of integration by parts formulae for some stochastic volatility models with unbounded drift
In this paper, we establish a probabilistic representation as well as some integration by parts formulae for the marginal law at a …
Junchao Chen
,
Noufel Frikha
,
Houzhi Li
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From the backward Kolmogorov PDE on the Wasserstein space to propagation of chaos for McKean-Vlasov SDEs
This article is a continuation of our first work [6]. We here establish some new quantitative estimates for propagation of chaos of …
Paul-Eric Chaudru de Raynal
,
Noufel Frikha
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Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs
In this article, we are interested in the strong well-posedness together with the numerical approximation of some one-dimensional …
Noufel Frikha
,
Libo Li
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Well-posedness of some non-linear stable driven SDEs
We prove the well-posedness of some non-linear stochastic differential equations in the sense of McKean-Vlasov driven by non-degenerate …
Noufel Frikha
,
Valentin Konakov
,
Stéphane Menozzi
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Weak uniqueness and density estimates for SDEs with coefficients depending on some path-functionals
In this article, we develop a methodology to prove weak uniqueness for stochastic differential equations with coefficients depending on …
Noufel Frikha
,
Libo Li
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Integration by parts formula for killed processes: a point of view from approximation theory
In this paper, we establish a probabilistic representation for two integration by parts formulas, one being of Bismut-Elworthy-Li’s …
Noufel Frikha
,
Arturo Kohatsu-Higa
,
Libo Li
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