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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 and approximation of some one-dimensional Lévy-driven non-linear SDEs
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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Well-posedness of some non-linear stable driven SDEs
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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Integration by parts formula for killed processes: a point of view from approximation theory
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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On the weak approximation of a skew diffusion by an Euler-type scheme
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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Multi-level stochastic approximation algorithms
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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CVaR hedging using quantization based stochastic approximation algorithm
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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Shortfall Risk Minimization in Discrete Time Financial Market Models
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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Transport-Entropy inequalities and deviation estimates for stochastic approximation schemes
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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Joint Modelling of Gas and Electricity Spot Prices