Zobrazeno 1 - 10
of 43
pro vyhledávání: '"Rey, Clément"'
Autor:
Gu, Yurun, Rey, Clément
In this article, our focus lies on computing the quantiles of a random variable $f(X)$, where $X$ is a $[0,1]^d$-valued random variable, $d \in \mathbb{N}^{\ast}$, and $f:[0,1]^d\to \mathbb{R}$ is a deterministic Lipschitz function. We are particular
Externí odkaz:
http://arxiv.org/abs/2405.10638
Autor:
Rey, Clément
We present a method for approximating solutions of Stochastic Differential Equations (SDEs) with arbitrary rates. This approximation is derived for bounded and measurable test functions. Specifically, we demonstrate that, leveraging the standard weak
Externí odkaz:
http://arxiv.org/abs/2403.17596
Autor:
Rey, Clément
We present an abstract framework for establishing smoothing properties within a specific class of inhomogeneous discrete-time Markov processes. These properties, in turn, serve as a basis for demonstrating the existence of density functions for our p
Externí odkaz:
http://arxiv.org/abs/2401.01167
Autor:
Rey, Clément
We provide a abstract framework to prove total variation convergence result with arbitrary rate for numerical scheme for SDE. In particular we show that under standard weak approximation properties of scheme such as Euler we can obtain total variatio
Externí odkaz:
http://arxiv.org/abs/2103.05701
Autor:
Pagès, Gilles, Rey, Clément
In this paper, we study the discretization of the ergodic Functional Central Limit Theorem (CLT) established by Bhattacharya (see \cite{Bhattacharya_1982}) which states the following: Given a stationary and ergodic Markov process $(X_t)_{t \geqslant
Externí odkaz:
http://arxiv.org/abs/1801.05710
Autor:
Rey, Clément
Durant les dernières décennies, l'essor des moyens technologiques et particulièrement informatiques a permis l'émergence de la mise en œuvre de méthodes numériques pour l'approximation d'Equations Différentielles Stochastiques (EDS) ainsi que
Externí odkaz:
http://www.theses.fr/2015PESC1177/document
Autor:
Pagès, Gilles, Rey, Clément
In this paper, we show that the abstract framework developed in Pages & Rey (2017) and inspired by Lamberton & Pages (2002) can be used to build invariant distributions for Brownian diffusion processes using the Milstein scheme and for diffusion proc
Externí odkaz:
http://arxiv.org/abs/1712.04044
Autor:
Pagès, Gilles, Rey, Clément
This paper provides a general and abstract approach to approximate ergodic regimes of Markov and Feller processes. More precisely, we show that the recursive algorithm presented in Lamberton & Pages (2002) and based on simulation algorithms of stocha
Externí odkaz:
http://arxiv.org/abs/1703.04557
In the last decade, there has been a growing interest to use Wishart processes for modelling, especially for financial applications. However, there are still few studies on the estimation of its parameters. Here, we study the Maximum Likelihood Estim
Externí odkaz:
http://arxiv.org/abs/1508.03323
Autor:
Pagès, Gilles, Rey, Clément
Publikováno v:
In Stochastic Processes and their Applications January 2020 130(1):328-365
