Benjamin Jourdain
- Stochastic particle approximation of the Keller-Segel equation and two-dimensional generalization of Bessel processes
2015/07/04 by Nicolas Fournier, Fournier, Nicolas, Benjamin Jourdain +1 · 2 citations
Mathematics · Economics, Econometrics and Finance · #Mathematical Biology Tumor Growth #Stochastic processes and financial applications #advanced mathematical theories
- Sampling of probability measures in the convex order by Wasserstein projection
2017/09/15 by Aurélien Alfonsi, Jacopo Corbetta, Alfonsi, Aurélien +3 · 2 citations
Decision Sciences · Mathematics · #60E15 #60G42 #90C08 #91G60 #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Markov Chains and Monte Carlo Methods #Point processes and geometric inequalities #Probability (math.PR) #Risk and Portfolio Optimization
- Convergence Rate of the Euler-Maruyama Scheme Applied to Diffusion Processes with L Q -- L ρ Drift Coefficient and Additive Noise
2021/05/11 by Benjamin Jourdain, Jourdain, Benjamin, Stéphane Menozzi +1 · 2 citations
Business, Management and Accounting · Economics, Econometrics and Finance · Mathematics · #Advanced Queuing Theory Analysis #FOS: Mathematics #Mathematical Approximation and Integration #Probability (math.PR) #Stochastic processes and financial applications
- Bias behaviour and antithetic sampling in mean-field particle approximations of SDEs nonlinear in the sense of McKean
2018/09/18 by Oumaima Bencheikh, Bencheikh, Oumaima, Benjamin Jourdain +1 · 1 citation
Economics, Econometrics and Finance · Engineering · Mathematics · #Stochastic processes and financial applications #Fluid Dynamics and Turbulent Flows #Statistical Methods and Bayesian Inference
- Approximation of martingale couplings on the line in the weak adapted topology
2021/01/07 by Mathias Beiglböck, Beiglböck, Mathias, Benjamin Jourdain +5 · 1 citation
Economics, Econometrics and Finance · #Stochastic processes and financial applications #Economic theories and models #Financial Markets and Investment Strategies
- Lipschitz continuity of the Wasserstein projections in the convex order on the line
2022/08/22 by Benjamin Jourdain, William Margheriti, Jourdain, Benjamin +3 · 1 citation
Mathematics · #Geometric Analysis and Curvature Flows #Point processes and geometric inequalities
- Weak and strong error analysis for mean-field rank-based particle approximations of one-dimensional viscous scalar conservation laws
2022/12/01 by Oumaima Bencheikh, Benjamin Jourdain · 1 citation
- Wasserstein projections in the convex order: regularity and characterization in the quadratic Gaussian case
2025/06/30 by Aurélien Alfonsi, Alfonsi, Aurélien, Benjamin Jourdain +1 · 4 citations
Mathematics · #Geometric Analysis and Curvature Flows #Point processes and geometric inequalities #Random Matrices and Applications
- Convergence rate of the Euler–Maruyama scheme applied to diffusion processes with Lq−Lρ drift coefficient and additive noise
2024/02/01 by Benjamin Jourdain, Stéphane Menozzi · 1 citation
- Convex ordering for stochastic Volterra equations and their Euler schemes
2022/11/18 by Benjamin Jourdain, Gilles Pagès, Jourdain, Benjamin +1 · 1 citation
Economics, Econometrics and Finance · Social Sciences · Mathematics · #Stochastic processes and financial applications #Insurance, Mortality, Demography, Risk Management #Statistical Methods and Bayesian Inference
- The implied volatility surface (also) is path-dependent
2023/12/26 by Hervé Andrès, Andrès, Hervé, Alexandre Boumezoued +3 · 1 citation
Economics, Econometrics and Finance · #Computational Finance (q-fin.CP) #Economic theories and models #FOS: Economics and business #Financial Risk and Volatility Modeling #Stochastic processes and financial applications
- Approximation of stochastic insurer balance-sheet results using signatures of economic scenarios
2026/07/27 by Hervé Andrès, Alexandre Boumezoued, Arthur Bourdon +1
#q-fin.RM