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hal-01049834v1  Article dans une revue
Pierre CardaliaguetJ. GraberAlessio PorrettaDaniela TononSecond order mean field games with degenerate diffusion and local coupling
NoDEA. Nonlinear Differential Equations and Applications, 2015, 22 (5), pp.1287-1317
hal-00980611v1  Ouvrage (y compris édition critique et traduction)
Djalil ChafaiChristophe GiraudSylvie MéléardAléatoire
Pascale Harinck, Alain Plagne, Claude Sabbah. Éditions de l'École Polytechnique, pp.130, 2013, Journées mathématiques X-UPS, 978-2-7302-1622-7
halshs-00706281v1  Direction d'ouvrage, Proceedings
Jose ScheinkmanRené CarmonaErhan CinlareIvar EkelandElyes Jouini et al.  Paris-Princeton Lectures on Mathematical Finance
Springer-Verlag, pp.376, 2010
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hal-00013700v2  Article dans une revue
Patrick CattiauxIvan GentilArnaud GuillinWeak logarithmic Sobolev inequalities and entropic convergence
Probability Theory and Related Fields,, 2007, 139 (3-4), pp.563-603
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hal-00549788v1  Article dans une revue
Sylvain SorinXavier VenelGuillaume VigeralAsymptotic Properties of Optimal Trajectories in Dynamic Programming
Sankhya: The Indian Journal of Statistics, 2010, 72-A, pp.237-245
hal-01481367v1  Article dans une revue
Dylan PossamaïRoyer GuillaumeGeneral indifference pricing with small transaction costs
Asymptotic Analysis, IOS Press, 2017
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hal-00365624v1  Communication dans un congrès
Gabriel PeyréStéphane MallatDiscrete bandelets with geometric orthogonal filters
IEEE International Conference on Image Processing, 2005. (ICIP 2005), Sep 2005, Genova, Italy. IEEE, I, pp.65-68, 2005, <10.1109/ICIP.2005.1529688>
hal-00703102v1  Article dans une revue
Imen Ben TaharNizar TouziMete SonerMerton Problem with Taxes: Characterization, computation and Approximation
SIAM journal on Financial Methmatics, 2010, 1, pp.366-395. <10.1137/080742178>
hal-01102791v1  Article dans une revue
Mohamed Nabil Kazi-TaniDylan PossamaïChao ZhouSecond Order BSDEs with Jumps: Formulation and Uniqueness
The Annals of Applied Probability : an official journal of the institute of mathematical statistics, The Institute of Mathematical Statistics, 2014, pp.36
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hal-00365965v1  Communication dans un congrès
Erwan Le PennecCharles DossalGabriel PeyréStéphane MallatDébruitage géométrique d'images dans des bases orthonormées de bandelettes
GRETSI'07, Sep 2007, Troye, France. GRETSI, Groupe d'Etudes du Traitement du Signal et des Images, pp.969-972, 2007
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hal-01247001v1  Article dans une revue
Sigrid KällbladXiaolu TanNizar TouziOptimal Skorokhod embedding given full marginals and Azéma -Yor peacocks *
Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2016
hal-01067269v1  Article dans une revue
A. MatoussiLambert PiozinDylan PossamaïSecond-order BSDEs with general reflection and game options under uncertainty
Stochastic Processes and their Applications, Elsevier, 2014, 124 (7), pp.2281-2321. <10.1016/j.spa.2014.02.011>
hal-01313994v1  Article dans une revue
Emmanuel BacrySylvain DelattreMarc HoffmannJean-François MuzySome limit theorems for Hawkes processes and application to financial statistics
Stochastic Processes and their Applications, Elsevier, 2013, 123 (7), pp.2475 - 2499. <10.1016/j.spa.2013.04.007>
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hal-01247005v1  Article dans une revue
Gaoyue GuoXiaolu TanNizar TouziTightness and duality of martingale transport on the Skorokhod space *
Stochastic Processes and their Applications, Elsevier, 2017
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hal-01247002v1  Article dans une revue
Zhenjie RenXiaolu TanOn the convergence of monotone schemes for path-dependent PDE *
Stochastic Processes and their Applications, Elsevier, 2016
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hal-01432974v1  Article dans une revue
Mohamed Nabil Kazi-TaniDylan PossamaïChao ZhouQuadratic BSDEs with jumps: Related nonlinear expectations
Stochastics and Dynamics, World Scientific Publishing, 2016, 16 (4), pp.1650012. <10.1142/S021949371650012X>
hal-00919119v1  Article dans une revue
A. MatoussiDylan PossamaïChao ZhouSecond order reflected backward stochastic differential equations
Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2013, 23 (6), pp.2420-2457. <10.1214/12-AAP906>
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hal-00180669v4  Article dans une revue
Olivier CappéRandal DoucArnaud GuillinJean-Michel MarinChristian RobertAdaptive Importance Sampling in General Mixture Classes
Statistics and Computing, Springer Verlag (Germany), 2008, 18 (4), pp.447-459. <10.1007/s11222-008-9059-x>
hal-00919306v1  Article dans une revue
Dylan PossamaïMete SonerNizar TouziLarge liquidity expansion of super-hedging costs
Asymptotic Analysis, IOS Press, 2012, 79 (1-2), pp.45-64. <10.3233/ASY-2011-1089>
hal-00630797v1  Article dans une revue
Bruno BouchardRomuald ElieNizar TouziDiscrete-Time Approximation of BSDEs and Probabilistic Schemes for Fully Nonlinear PDEs
Radon Series Comp. Appl. Math., Advanced Financial Modelling, 2009, 8, pp.91-124