Patrimony

The Louis Bachelier Group's patrimony has been defined as all the publications produced by academic researchers thanks to Group funding (ILB, FdR, IEF, Labex) or via the use of EquipEx data (BEDOFIH, EUROFIDAI).


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Elastic comparison of curves using distances built on stichastic and deterministic models.

0260l, Ajustement courbe, Approche déterministe, Approche probabiliste, Curve fitting, Deterministic approach, Image processing, Méthode numérique, Numerical method, Pac, Probabilistic approach, Processus stochastique, Stochastic processes, Traitement image

First- and Second-Order Statistics Characterization of Hawkes Processes and Non-Parametric Estimation.

Circular dependence, Correlation, Correlation matrix, Correlation methods, Covariance matrices, Discrete-event systems, Earthquakes, Earthquakes occurrence dynamics, Estimation, Estimation error, Financial markets, First-order statistics characterization, Hawkes kernel matrix, High-frequency trading events, Integral equations, Inverse problems, Kernel, Mathematical model, Matrix algebra, Microstructure, Monovariate processes, Multivariate Hawkes process, Multivariate point processes, Nonparametric estimation procedure, Nonpositive kernels, Numerical inversion, Power-law, Second-order statistics characterization, Shape, Statistical analysis, Stochastic processes, Three-variate processes, Wiener-Hopf integral equations

Statistical inference of Ornstein-Uhlenbeck processes : generation of stochastic graphs, sparsity, applications in finance.

Donn?es financi?res, Evolving networks, Financial data, Inf?rence statistique, Processus stochastiques, R?seaux ?volutifs, Sparsit?, Sparsity, Statistical inference, Stochastic processes

Discretization of processes with stopping times and uncertainty quantification for stochastic algorithms.

Algorithmes stochastiques, Discretisation, Discretization, Optimisation, Optimization, Processus stochastiques, Quantification d'incertitude, Stochastic algorithms, Stochastic processes, Stopping time, Temps d'arret, Uncertainty quantification

Is public capital really productive? A methodological reappraisal.

Cointegrated regressors, Infrastructure, Public capital elasticity, Robustness and sensitivity analysis, Stochastic processes, Time series

Seminar of Probability XLIX.

Diffusion processes, Large deviations, Martingale Theory, Quasi-stationary Distribution, Random Matrices, Stochastic processes

Discretization of processes at stopping times and Uncertainty quantification of stochastic approximation limits.

Algorithmes stochastiques, Discretisation, Discretization, Optimisation, Optimization, Processus stochastiques, Quantification d'incertitude, Stochastic algorithms, Stochastic processes, Stopping time, Temps d'arret, Uncertainty quantification