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Approximate viscosity solutions of path-dependent PDEs and Dupire's vertical differentiability.
(2021-09) Document de travail / Working paper
Diffusive limit approximation of pure-jump optimal stochastic control problems.
(2021-06) Document de travail / Working paper
Covid-19 | Regards croisés sur la crise.
(2021-03) Ouvrage
The interchange process on high-dimensional products.
(2021-02) Article accepté pour publication ou publié
Computation of Expected Shortfall by fast detection of worst scenarios
(2021) Article accepté pour publication ou publié
Further results on stochastic orderings and aging classes in systems with age replacement.
(2021) Article accepté pour publication ou publié
Dynamics of a Fleming–Viot type particle system on the cycle graph.
(2021-01) Article accepté pour publication ou publié
Geodesic Models with Convexity Shape Prior.
(2021) Document de travail / Working paper
Precise asymptotics: robust stochastic volatility models.
(2021) Article accepté pour publication ou publié