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Sylvain Rubenthaler |
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Maître
de conférences (≈ associate professor)
Contact
Address : |
Phone : (+33) 04 89 15 06 58 |
Informations
Research area
Nonlinear filtering.
Bayesian statistics.
Particle algorithms.
Coupling.
Financial mathematics.
Turbulence.
Stochastic calculus for neurobiology.
Publications
Preprints
Option pricing and hedging for regime-switching geometric Brownian motion models. On ArXiv. (This is actually an old work we are re-submitting.)
Counterexample to a transition probability formula for the ancestral process. On ArXiv.
Ensemble Rejection Sampling (with Georges Deligiannidis, Arnaud Doucet). On ArXiv
Published papers
Central-Limit Theorem for conservative fragmentation chains (avec Camille Noûs). Journal of Applied Probability. On Research Gate. On ArXiv.
Stability of the optimal filter in continuous time: beyond the Beneš filter (avec Van Bien Bui). Sur HAL. Stochastic analysis and applications, 0 (2020) no. 0, 1-59.
Expansion of the propagation of chaos for Bird and Nanbu systems. On HAL . Annales de la Faculté des Sciences de Toulouse, Sér. 6, 25 no. 4 (2016), p. 829-873.
Particle systems with a singular mean-field self-excitation. Application to neuronal networks. With F. Delarue, J. Inglis, E. Tanré. Sur HAL. Stochastic Processes and their Applications, Volume 125, Issue 6, June 2015, pages 2451–2492.
Global solvability of a networked integrate-and-fire model of McKean-Vlasov type. (with F. Delarue, J. Inglis, E. Tanré). On HAL. Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2015, 25 (4), pp.2096--2133.
Path storage in the particle filter (with Pierre Jacob, Lawrence Murray). On arxiv. Statistics and Computing, Volume 25, Number 2, pp. 487-496, 2015.
A Numerical Scheme for Invariant Distributions of Constrained Diffusions (with Amarjit Budhiraja et Jiang Chen). On HAL. Mathematics of Operations Research, June 17, 2013, doi: 10.1287/moor.2013.0599.
Optimal hedging in discrete and continuous time , Cahiers du Gerad ( lien SRRN ), (with Bruno Rémillard ). Quantitative Finance, Volume 13, Issue 6, June 2013, pages 819-825. On HAL.
Discrete Time Markovian Agents Interacting Through a Potential (with Amarjit Budhiraja et Pierre Del Moral). On HAL . ESAIM: P&S, August 2012.
Convergence of U-statistics for interacting particle systems (with Pierre Del Moral, Frédéric Patras ). HAL. Journal of Theoretical Probability, Volume 24, Number 4, 1002-1027 (2011).
Stability of Feynman-Kac formulae with path-dependent potentials (with Nicolas Chopin, Pierre Del Moral ). HAL. Stochastic Processes and their Applications, Vol. 121, Issue 1, Jan. 2011, pp. 38-60.
Dispersion and collapse in stochastic velocity fields on a cylinder (with Antonio Celani, Dario Vincenzi). Journal of Statistical Physics, Volume 138, Numbers 4-5 / Mars 2010. HAL.
The convergence to equilibrium of neutral genetic models (with Pierre Del Moral, Laurent Miclo, Frédéric Patras), Stochastic Analysis and Applications, 2010, Volume 28 Issue 1, 123. HAL.
Fast simulated annealing in $\R^d$ and an application to maximum likelihood estimation (with Tobias Rydén and Magnus Wiktorsson). Stochastic Processes and their Applications Volume 119, Issue 6, June 2009, Pages 1912-1931. HAL.
Tree based functional expansions for Feynman–Kac particle models (with Pierre Del Moral and Frédéric Patras). HAL. Annals of Applied Probability, Volume 19, Number 2 (2009), 778-825.
Approximations of a Continuous Time Filter. Application to Optimal Allocation Problems in Finance (with Miguel Martinez and Etienne Tanré), Stochastic Analysis and Applications, Volume 27, Issue 2 March 2009 , pages 270 - 296. Prépublication Finrisk. HAL.
Stability and Uniform Particle Approximation of Nonlinear Filters in Case of Non Ergodic Signals (with Nadia Oudjane ), Stochastic Analysis and Applications, Vol. 23, Number 3, 421-448, 2005. Prépublication . Error pointed by Kari Heine in the proof of Lemma 3.6 : correction. Notice HAL.
Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process, Stochastic Processes and their Applications, Volume 103,Issue 2, February 2003, Pages 311-349. Prépublication. Notice HAL.
Improved convergence rate for the simulation of stochastic differential equations driven by subordinated Lévy processes (with Magnus Wiktorsson), Stochastic processes and their applications, Volume 108, Issue 1, Pages 1-26, 2003. Prépublication. Notice HAL.
Books/chapters of books
Monte Carlo approximations of american options (SRRN) (with Pierre Del Moral and Bruno Rémillard). Numerical Methods in Finance, Springer Proceedings in Mathematics, 2011 (new title : Monte Carlo approximations of american option that preserve monotonicity and convexity). Sur HAL.
A Mean Field Theory of Nonlinear Filtering (review paper with Pierre Del Moral , Frédéric Patras ), in Handbook on Nonlinear Filtering, Dan Crisan and Boris Rozovskii, editors, Oxford University Press, Oxford, 2011. HAL.
Une introduction aux probabilités, Ellipses 2007 (textbook with Pierre Del Moral and Bruno Rémillard). Missing figure p. 186 : .ps, .eps, right size. Notice HAL.
Reports (not submitted)
Perfect simulation for the Feynman-Kac law on the path space (with Christophe Andrieu, Nicolas Chopin, Arnaud Doucet). On HAL.
Derivative-Free Estimation of the Score Vector and Observed Information Matrix with Application to State-Space Models (with Arnaud Doucet, Pierre Jacob). On ArXiv.
Option Pricing and Hedging for Regime-Switching Geometric Brownian Motion Models (with Bruno Rémillard). On SSRN.