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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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

Information on a default time : Brownian bridges on a stochastic intervals and enlargement of filtrations.

Accessible stoping time, Bayes formula, Brownian bridge, Capacités de Riesz, Credit default swap, Credit-risk, Default bonds, Default time, Dimensions de Hausdorff, Enlargement of filtrations, Formule de Bayes, Formule de densité du temps d'occupation, Grossissement de filtration, Hausdorff dimensions, Hausdorff measures, Honest times, Initial times, Local time, Mesures de Hausdorff, Obligations privées, Occupation times formula, Pont brownien, Predictable stopping time, Riesz capacities, Risque de crédit, Spread, Stopping time, Temps d'arrêt, Temps d'arrêt accessible, Temps d'arrêt prévisible, Temps d'arrêt totalement inacessible, Temps de défaut, Temps honnête, Temps intial, Temps local, Totally inacessible stopping time

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