Laboratoire J. A. Dieudonné, U.M.R. 7351 Probability and statistics team

                                                          Version française

Sylvain Rubenthaler

Maître de conférences (≈ associate professor)

Address : office 3.718 Laboratoire J. A. Dieudonné UMR CNRS-UNS N°7351 Université Nice Sophia Antipolis Parc Valrose 06108 NICE Cedex 2 FRANCE (How to come to the lab ?) Campus map

Phone : (+33) 04 89 15 06 58 Fax : (+33)04 93 51 79 74 E-mail : rubentha@unice.fr

 

• Curriculum vitae

• LinkedIn page, short CV

• HDR

• «Crédit impôt recherche» accredited expert.

• Nonlinear filtering.

• Bayesian statistics.

• Particle algorithms.

• Coupling.

• Financial mathematics.

• Turbulence.

• Stochastic calculus for neurobiology.

  Teaching page. 

• 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.

Copyright @ 2010 Laboratoire J.A. Dieudonné