Home
Research
Contact
Clément Rey
clement dot rey at polytechnique.edu
Assistant Profesor
CMAP
in Polytechnique France
Doctor of
Ecole Nationale des Ponts et Chaussees
Assistant Professor CMAP - Polytechnique
- 2018 - Present.
Membre de la
Chaire Stress Test
.
Post Doctoral position
- 2018 - Optimal control for renewable energies.
under the supervision of
Peter Tankov
, LPSM / CREST, Paris Diderot / Ensae.
Post Doctoral position
- 2016-2017 - Recursive computation of invariant distributions for Feller processes.
under the supervision of
Gilles Pagès
, LPMA, UPMC, Jussieu, Paris 6.
funding by
Chaire Risques Financiers
.
PhD Thesis
- 2012-2015 - High weak order discretization schemes for stochastic differential equation.
under the supervision of
Aurélien Alfonsi
(CERMICS) and
Vlad Bally
(LAMA).
funding by
project MATHRISK
.
Research interests:
Numerical probabilities, approximation of random processes, stochastic analysis, Malliavin calculus, invariant distributions, financial mathematics, statistics of processes.
