|
|
Published and Accepted Papers
|
12. 2023 - Discretization of the Ergodic Functional Central Limit Theorem.
Gilles Pages, Clément Rey.
Journal of Theoretical Probability, Vol. 36, : 2359-2402, 2023
[PDF]
[JTP]
| |
|
|
11. 2022 -
A comparative study of polynomial-type chaos
expansions for indicator functions
Florian Bourgey, Emmanuel Gobet and Clément Rey.
SIAM Journal on Uncertainty quantification, Vol. 10, Issue 4 : 1350-1383, 2022
[Hal]
[JUQ]
| |
|
|
10. 2020 - Meta-model of a large credit risk portfolio in the Gaussian copula model
.
Florian Bourgey, Emmanuel Gobet and Clément Rey.
SIAM Journal on Financial Mathematics, Vol. 11, Issue 4 : 1098-1136, 2020
[Hal]
[SIFIN]
| |
|
|
9. 2020 - Recursive computation of the invariant distribution of Feller processes.
Gilles Pagès and Clément Rey.
Stochastic processes and their applications, Vol. 130, Issue 1 : 328-365, 2020
[PDF]
[Hal]
[Arxiv]
[SPA]
| |
|
|
8. 2019 - Approximation of Markov semigroups in total variation distance under an irregular setting: An application to the CIR process
Clément Rey.
Stochastic processes and their applications, Vol. 129, Issue 2 : 539-571, 2019
[Hal]
[SPA]
| |
|
|
7. 2019 - Recursive computation of the invariant distributions of Feller processes: Revisited examples and new applications
Gilles Pagès and Clément Rey.
Monte Carlo Methods and Applications, Vol. 25, 1-36,Issue 1, 2019
[PDF]
[Arxiv]
[MCMA]
| |
|
|
6. 2018 - Numerical methods for Stochastic differential equations: two examples
Paul-Eric Chaudru de Raynal,Gilles Pagès and Clément Rey.
Esaim: Proceedings and Surveys, Vol. 64, 65-77, 2018
[Esaim]
| |
|
|
5. 2017 - Convergence in total variation distance for a third order scheme for one dimensional diffusion processes.
Clément Rey.
Monte Carlo Methods and Applications, Issue 1 : 1-12, 2017
[Hal]
[MCMA]
| |
|
|
4. 2016 - Maximum Likelihood Estimation for Wishart processes.
Aurélien Alfonsi, Ahmed Kebaier, and Clément Rey.
Stochastic Processes and their Applications, Elsevier, Vol.126, Issue 11 : 3243-3282, 2016
[Hal]
[SPA]
| |
|
|
3. 2016 - Approximation of Markov semigroups in total variation distance.
Vlad Bally and Clément Rey.
Electronic Journal of Probability, Vol. 21 : article 12, 44 pp, 2016
[Hal]
[EJP]
| |
|
|
2. 2015 - Recent advances in various fields of numerical probability.
Charles-Edouard Bréhier, Paul-Eric Chaudru de Raynal, Vincent Lemaire, Fabien Panloup, and Clément Rey.
ESAIM : Proc. And Surveys. Journées MAS 2014. Vol. 51 : 272-292, 2015
[MAS]
| |
|
|
1. 2014 - Detection of high and low states in stock market returns with MCMC method in a Markov switching model.
Clément Rey, Serge Rey, and Jean-Renaud Viala.
Economic Modelling. Vol 41 : 145-155, 2014
[EM]
| |
|
Preprints
|
2. 2024 -
Hormander Properties of Discrete Time Markov Processes
| |
|
|
2. 2024 -
High order weak approximation of Stochastic Differential Equations for bounded and measurable test functions
| |
|
PhD Thesis
|
04-12-2015 - Etude et modélisation des équations différentielles stochastiques / High weak order discretization schemes for stochastic differential equation.
| |
|
Implémentations
|
2015 - Projet MATHRISK : Implémentation dans Premia (Plateforme numérique pour la finance quantitative) d’un module de simulation et d’estimation des paramètres pour les processus de Wishart.
Library PREMIA
|
|
|