Noufel FRIKHA
Noufel FRIKHA
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On the weak approximation of a skew diffusion by an Euler-type scheme
We study the weak approximation error of a skew diffusion with bounded measurable drift and Hölder diffusion coefficient by an …
Noufel Frikha
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Multi-level stochastic approximation algorithms
This paper studies multi-level stochastic approximation algorithms. Our aim is to extend the scope of the multi-level Monte Carlo …
Noufel Frikha
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CVaR hedging using quantization based stochastic approximation algorithm
In this paper, we investigate a method based on risk minimization to hedge observable but nontradable source of risk on financial or …
Olivier Bardou
,
Noufel Frikha
,
Gilles Pagès
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Shortfall Risk Minimization in Discrete Time Financial Market Models
In this paper, we study theoretical and computational aspects of risk minimization in financial market models operating in discrete …
Noufel Frikha
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Transport-Entropy inequalities and deviation estimates for stochastic approximation schemes
We obtain new transport-entropy inequalities and, as a by-product, new deviation estimates for the laws of two kinds of discrete …
Max Fathi
,
Noufel Frikha
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Joint Modelling of Gas and Electricity Spot Prices
The recent liberalization of electricity and gas markets has resulted in the growth of energy exchanges and modelling problems. In this …
Noufel Frikha
,
Vincent Lemaire
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Concentration bounds for stochastic approximations
We obtain non asymptotic concentration bounds for two kinds of stochastic approximations. We first consider the deviations between the …
Noufel Frikha
,
Stéphane Menozzi
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