Antoine Lejay

发表

Simulating a diffusion on a graph. Application to reservoir engineering

Antoine Lejay, A. Lejay, 2003, Monte Carlo Methods Appl..

New Results - Stochastic analysis and applications

Antoine Lejay, Sylvain Maire, Ivan Nourdin, 2004 .

Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift

Antoine Lejay, Kazuhiro Yasuda, Arturo Kohatsu-Higa, 2017, J. Comput. Appl. Math..

An exponential timestepping algorithm for diffusion with discontinuous coefficients

Antoine Lejay, Lionel Lenôtre, Géraldine Pichot, 2019, J. Comput. Phys..

Diffusion processes in discontinuous media: numerical algorithms and benchmark tests

Antoine Lejay, Lionel Lenôtre, Géraldine Pichot, 2018 .

Author manuscript, published in "Journal of Computational and Applied Mathematics (2013)" New Monte Carlo schemes for simulating diffusions in discontinuous media

Antoine Lejay, Sylvain Maire, A. Lejay, 2012 .

Simulating diffusion processes in discontinuous media: Benchmark tests

Antoine Lejay, Géraldine Pichot, A. Lejay, 2016, J. Comput. Phys..

Approximation of CVaR minimization for hedging under exponential-Lévy models

Antoine Lejay, Madalina Deaconu, Khaled Salhi, 2017, J. Comput. Appl. Math..

Weak solution of semi-linear PDE, BSDE and homogenization

Antoine Lejay, A. Lejay, 2001, Monte Carlo Methods Appl..

A recommendation system for car insurance

Radu State, Antoine Lejay, Madalina Deaconu, 2020, European Actuarial Journal.

Monte Carlo methods for fissured porous media: a gridless approach *

Antoine Lejay, 2004, Monte Carlo Methods Appl..

Simulating diffusion processes in discontinuous media: A numerical scheme with constant time steps

Antoine Lejay, Géraldine Pichot, A. Lejay, 2012, J. Comput. Phys..

A Monte Carlo method to compute the exchange coefficient in the double porosity model

Antoine Lejay, Fabien Campillo, 2001, Monte Carlo Methods Appl..

Regime switching model for financial data: empirical risk analysis

Antoine Lejay, Madalina Deaconu, Nicolas Navet, 2016 .

Computing the principal eigenelements of some linear operators using a branching Monte Carlo method

Antoine Lejay, Sylvain Maire, A. Lejay, 2008, J. Comput. Phys..

Hawkes processes framework with a Gamma density as excitation function: application to natural disasters for insurance

Radu State, Antoine Lejay, Madalina Deaconu, 2020 .

"La machine à formulaires" (the forms' machine), or T E X for a Kafkaian world

Antoine Lejay, Projet Omega, 2005 .

New Results - Probabilistic numerical methods, stochastic modelling and applications

Antoine Lejay, Madalina Deaconu, Sylvain Maire, 2004 .

A Monte Carlo estimation of the mean residence time in cells surrounded by thin layers

Antoine Lejay, 2018, Math. Comput. Simul..

Asymmetric Spectral clustering

Antoine Lejay, 2019 .

Computing the principal eigenvalue of the Laplace operator by a stochastic method

Antoine Lejay, Sylvain Maire, A. Lejay, 2007, Math. Comput. Simul..

Constructing general rough differential equations through flow approximations

Antoine Lejay, A. Lejay, 2020, Electronic Journal of Probability.

A Random Walk on Rectangles Algorithm

Antoine Lejay, Madalina Deaconu, A. Lejay, 2006 .

Simulation of a diffusion process by using the importance sampling paradigm

Antoine Lejay, Madalina Deaconu, A. Lejay, 2007 .

On the Importance of the Levy Area for Studying the Limits of Functions of Converging Stochastic Processes. Application to Homogenization

Terry Lyons, Antoine Lejay, 2003 .

An Introduction to Rough Paths

Antoine Lejay, A. Lejay, 2003 .

On the constructions of the skew Brownian motion

Antoine Lejay, 2006 .

Statistical estimation of the Oscillating Brownian Motion

Antoine Lejay, Paolo Pigato, A. Lejay, 2017, Bernoulli.

Simulation of a stochastic process in a discontinuous layered medium

Antoine Lejay, A. Lejay, 2011 .

On the decomposition of excursions measures of processes whose generators have diffusion coefficients discontinuous at one point

Antoine Lejay, A. Lejay, 2002 .

Weak approximation errors for stochastic differential equations with non-regular drift

Antoine Lejay, Kazuhiro Yasuda, Arturo Kohatsu-Higa, 2013 .

An empirical analysis of heavy-tails behavior of financial data: The case for power laws

Antoine Lejay, Nicolas Navet, Madalina Deaconu, 2013 .

Simulation of exit times and positions for Brownian motions and Diffusions

Antoine Lejay, Madalina Deaconu, A. Lejay, 2007 .

One-dimensional skew diffusions: explicit expressions of densities and resolvent kernels

Antoine Lejay, Lionel Lenôtre, Géraldine Pichot, 2015 .

exitbm: a library for simulating Brownian motion's exit times and positions from simple domains

Antoine Lejay, A. Lejay, 2011 .

Is a Brownian Motion Skew

Ernesto Mordecki, Antoine Lejay, Soledad Torres, 2014 .

A DONSKER THEOREM TO SIMULATE ONE-DIMENSIONAL PROCESSES WITH MEASURABLE COEFFICIENTS ∗

Antoine Lejay, Pierre Etore, P. Etoré, 2007 .