1. Recherche
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hal-00954842v1  Ouvrage (y compris édition critique et traduction)
Denis Talay, Carl Graham. Stochastic Simulation and Monte Carlo Methods. Mathematical Foundations of Stochastic Simulation.
Springer, 68, pp.268, 2013, Stochastic Modelling and Applied Probability, 978-3-642-39363-1
hal-01074664v1  Chapitre d'ouvrage
Denis Talay. On Probabilistic Analytical and Numerical Approaches for Divergence Form Operators With Discontinuous Coefficients
C. Parés; C. Vazquez Cendon; F. Coquel. Advances in Numerical Simulation in Physics and Engineering, 3, Springer, 2014, SEMA SIMAI Springer Series
hal-00594200v1  Chapitre d'ouvrage
Christophette Blanchet-Scalliet, Rajna Gibson Brandon, Benoîte De Saporta, Denis Talay, Etienne Tanré. Viscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs.
Albrecher Hansjörg, Runggaldier Wolfgang J. and Schachermayer Walter. Advanced Financial Modelling, Walter de Gruyter, pp.53-90, 2009, Radon series on computational and applied mathematics 8, <10.1515/9783110213140.53>
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inria-00084905v4  Rapport
Olivier Faugeras, Théodore Papadopoulo, Jonathan Touboul, Denis Talay, Etienne Tanré et al.  The Statistics Of Spikes Trains For Some Simple Types Of Neuron Models
[Research Report] RR-5950, INRIA. 2007, pp.15
hal-00605427v1  Chapitre d'ouvrage
Denis Talay. Around Model Risk in Finance
Modèles aléatoires en finance mathématique, Hermann, 2009, Travaux en cours ; 77
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hal-00809304v1  Pré-publication, Document de travail
Julien Claisse, Denis Talay, Xiaolu Tan. A note on solutions to controlled martingale problems and their conditioning
2013
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inria-00381854v4  Rapport
Mireille Bossy, Mamadou Cissé, Denis Talay. Stochastic representations of derivatives of solutions of one dimensional parabolic variational inequalities with Neumann boundary conditions
[Research Report] RR-6921, INRIA. 2009, pp.45
hal-00602795v1  Ouvrage (y compris édition critique et traduction)
Carl Graham, Denis Talay. Simulation stochastique et méthodes de Monte-Carlo
Les Éditions de l'École Polytechnique, pp.198, 2011
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inria-00579341v1  Article dans une revue
Mireille Bossy, Mamadou Cissé, Denis Talay. Stochastic representations of derivatives of solutions of one-dimensional parabolic variational inequalities with Neumann boundary conditions
Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, Institute Henri Poincaré, 2011, 47 (2), pp.395-424. <10.1214/10-AIHP357>
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inria-00607967v1  Pré-publication, Document de travail
Miguel Martinez, Denis Talay. One-Dimensional Parabolic Diffraction Equations: Pointwise Estimates and Discretization of Related Stochastic Differential Equations With Weighted Local Times
2011
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inria-00345524v4  Article dans une revue
Mireille Bossy, Jean Francois Jabir, Denis Talay. On conditional McKean Lagrangian stochastic models
Probability Theory and Related Fields, Springer Verlag, 2011, 151, pp.319-351. <10.1007/s00440-010-0301-z>
hal-00452108v1  Chapitre d'ouvrage
Florent Malrieu, Denis Talay. Concentration inequalities for Euler schemes
Niederreiter, Harald and Talay, Denis. Monte Carlo and Quasi-Monte Carlo Methods 2004, Springer, pp.355-371, 2006
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hal-01069398v4  Pré-publication, Document de travail
James Inglis, Denis Talay. Mean-field limit of a stochastic particle system smoothly interacting through threshold hitting-times and applications to neural networks with dendritic component
2015
hal-00274882v1  Communication dans un congrès
Benoîte De Saporta, Christophette Blanchet-Scalliet, Etienne Tanré, Denis Talay. Optimal portfolio allocation under transaction costs
31st conference on Stochastic Processes and Their Applications, Jul 2006, Paris, France
hal-00274883v1  Communication dans un congrès
Benoîte De Saporta, Christophette Blanchet-Scalliet, Etienne Tanré, Denis Talay. Technical analysis compared to mathematical models under misspecification
AMAMEF conference Numerical Methods in Finance, Feb 2006, rocquencourt, France
hal-00602828v1  Ouvrage (y compris édition critique et traduction)
Rajna Gibson, François-Serge Lhabitant, Denis Talay. Modeling the term structure of interest rates : a review of the literature
Now Publishers, 5 (1-2), pp.172, 2010, <10.1561/0500000032>
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hal-01098096v3  Article dans une revue
Christophe Michel, Victor Reutenauer, Denis Talay, Etienne Tanré. Liquidity costs: a new numerical methodology and an empirical study
Applied Mathematical Finance, Taylor & Francis (Routledge): SSH Titles, 2016, <10.1080/1350486X.2016.1164608>
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inria-00347610v3  Article dans une revue
Frédéric Bernardin, Mireille Bossy, Miguel Martinez, Denis Talay. On mean discounted numbers of passage times in small balls of Ito processes observed at discrete times
Electronic Communications in Probability, Institute of Mathematical Statistics (IMS), 2009, 14, pp.19
hal-00602053v1  Article dans une revue
Frédéric Bernardin, Mireille Bossy, Miguel Martinez, Denis Talay. On mean numbers of passage times in small balls of discretized Itô processes
Electronic Communications in Probability, Institute of Mathematical Statistics (IMS), 2009, 14, pp.302-316
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hal-01429545v1  Article dans une revue
Julien Claisse, Denis Talay, Xiaolu Tan. A Pseudo-Markov Property for Controlled Diffusion Processes
SIAM Journal on Control and Optimization, Society for Industrial and Applied Mathematics, 2016, 54 (2), pp.1017 - 1029. <10.1137/151004252>
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inria-00143541v2  Article dans une revue
Jean Jacod, Antoine Lejay, Denis Talay. Estimation of the Brownian dimension of a continuous Ito process
Bernoulli, Bernoulli Society for Mathematical Statistics and Probability, 2008, 14 (2), pp.469-498. <10.3150/07-BEJ6190>
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hal-01098582v1  Article dans une revue
Mireille Bossy, Olivier Faugeras, Denis Talay. Clarification and Complement to " Mean-Field Description and Propagation of Chaos in Networks of Hodgkin–Huxley and FitzHugh–Nagumo Neurons
Journal of Mathematical Neuroscience, BioMed Central, 2015, 5 (1), pp.19. <10.1186/s13408-015-0031-8>
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inria-00459411v1  Article dans une revue
Mireille Bossy, Nicolas Champagnat, Sylvain Maire, Denis Talay. Probabilistic interpretation and random walk on spheres algorithms for the Poisson-Boltzmann equation in molecular dynamics
ESAIM: Mathematical Modelling and Numerical Analysis, EDP Sciences, 2010, 44 (5), pp.997-1048

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