- Estimation of several parameters in discretely-observed Stochastic Differential Equations with additive fractional noise, with E. M. Haress.
Stat. Inference Stoch. Process. (accepted), 2024. arXiv |
- Lipschitz continuity in the Hurst parameter of functionals of stochastic differential equations driven by a fractional Brownian motion, with D. Talay.
Electron. J. Probab. 29, paper no. 135, 1-70, 2024.
DOI
arXiv |
- Regularisation by fractional noise for one-dimensional differential equations with distributional drift, with L. Anzeletti and E. Tanré.
Electron. J. Probab. 28, paper no. 135, 1-49, 2023.
DOI
arXiv |
- On the discrete-time simulation of the rough Heston model, with X. Tan and F. Yang.
SIAM J. Fin. Math. 14(1):223-249, 2023.
DOI
arXiv |
- Quantitative particle approximation of nonlinear Fokker-Planck equations
with singular kernel, with C. Olivera and M. Tomasevic.
Ann. Sc. Norm. Super. Pisa Cl. Sci. (5), Vol. XXIV: 691-749, 2023. DOI arXiv |
- Discrete-time simulation of stochastic Volterra equations, with X. Tan and F. Yang.
Stochastic Process. Appl. 141:109-138, 2021. DOI arXiv |
- On the Root solution to the Skorokhod embedding problem given full marginals, with X. Tan and N. Touzi.
SIAM J. Control Optim. 58(4):1874-1892, 2020. DOI arXiv |
- Penalisation techniques for one-dimensional reflected rough differential equations, with E. Tanré and S. Torres.
Bernoulli 26(4):2949-2986, 2020. DOI arXiv |
- Sub-exponential convergence to equilibrium for Gaussian driven Stochastic Differential Equations with semi-contractive drift, with F. Panloup.
Electron. J. Probab. 25, paper no. 62, 1-43, 2020. DOI arXiv |
- An integrate-and-fire model to generate spike trains with long-range dependence, with P. Orio and E. Tanré.
J. Comput. Neurosci. 44(3):297-312, 2018. DOI arXiv |
- Noise sensitivity of functionals of stochastic differential equations driven by fractional Brownian motion: Results and perspectives, with D. Talay.
In Modern Problems of Stochastic Analysis and Statistics: Selected Contributions in Honor of Valentin Konakov, Ed. V. Panov, Springer Proceedings in Mathematics & Statistics (vol. 208), 2017. DOI arXiv |
- Some singular sample path properties of a multiparameter fractional Brownian motion.
J. Theoret. Probab. 30: 1285-1309, 2017. DOI arXiv |
- Increment stationarity of L2-indexed stochastic processes: spectral representation and characterization.
Electron. Commun. Probab. 21(paper 31):1-15, 2016. DOI |
- Local Hölder regularity of set-indexed processes, with E. Herbin.
Israel J. Math. 215(1):397-440, 2016. DOI arXiv
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- A fractional Brownian field indexed by L2 and a varying Hurst parameter.
Stochastic Process. Appl. 125(4):1394-1425, 2015. DOI arXiv |
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