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Stéphane Menozzi

Professeur des universités
Université d'Évry Val d'Essonne
Laboratoire de Mathématiques et Modélisation d'Évry (UMR 8071)
I.B.G.B.I., 23 Bd. de France, 91037 Évry Cedex
Bureau 306
+33 (0)1 64 85 34 98
stephane.menozzi@univ-evry.fr

Thèmes de Recherche:

  • Analyse stochastique
  • Equations Différentielles Stochastiques Progressives Rétrogrades
  • Probabilités Numériques et Mathématiques Financières

Enseignement:

  • Calcul Stochastique et Applications à la finance au:

Master 2 d'Ingénierie financière, Université d'Evry

Documents Projet M2IF

  • *Articles Projet EDSR: approximations et applications à la CVA

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Publications

  • Emmanuel Gobet et Stéphane Menozzi. “Exact Approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme” , Stochastic Processes and Their Applications, 112-2 (2004), 201-223.
  • Emmanuel Gobet et Stéphane Menozzi. “Discrete Sampling of functionals of Itô processes”. Séminaire de Probabilités, XL (2007), 355-375.
  • François Delarue et Stéphane Menozzi. “A forward backward algorithm for quasi-linear PDEs”. Annals of Applied Probability , 16-1 (2006), 140-184.
  • Stéphane Menozzi. “Improved simulation of the killed Brownian motion in a cone”. SIAM Journal on Numerical Analysis, 44-6 (2006), 2610-2632.
  • François Delarue et Stéphane Menozzi. “An interpolated Stochastic Algorithm for Quasi-Linear PDEs” . Mathematics of Computation , 261-77 (2008), 125-158.
  • Bruno Bouchard and Stéphane Menozzi. “Strong Approximations of BSDEs in a domain”. Bernoulli,15-4, 1117-1147.
  • Emmanuel Gobet and Stéphane Menozzi. “Stopped diffusion processes: overshoots and boundary correction”. Stochastic Processes and Their Applications, 120-2 (2010), 130-162.
  • Valentin Konakov, Stéphane Menozzi and Stanislav Molchanov. “Explicit parametrix and local limit theorems for some degenerate diffusion processes”. Annales de l'Institut Henri Poincaré (Série B). 46-4 (2010), 908-923.
  • Valentin Konakov and Stéphane Menozzi. “Weak Error for stable driven SDEs: expansion of the densities”. Journal of Theoretical Probability. 24-2 (2011) 454Ð478.
  • François Delarue and Stéphane Menozzi. “Density Estimates for a Random Noise Propagating through a Chain of Differential Equations”. Journal of functional analysis, 259-6 (2010), 1577-1630.
  • Vincent Lemaire and Stéphane Menozzi. “On some Non Asymptotic Bounds for the Euler Scheme”. Electronic Journal of Probability, Volume 15 (2010), 1645-1681.
  • Stéphane Menozzi. “Parametrix techniques and martingale problems for some degenerate Kolmogorov equations”. Electronic Communications in Probability 16 (2011), 234-250.
  • Valentin Konakov, Stéphane Menozzi and Stanislav Molchanov. “Diffusion processes on solvable groups of upper triangular(2*2)-matrices and their approximations”. (Russian) Doklad. Akad. Nauk. 439-5 (2011) 585-588;

translation in Dokl. Math. 84-1(2011), 527-530.

  • Alain Bensoussan, Hector Jasso-Fuentes, Stéphane Menozzi and Laurent Mertz. “Asymptotic Analysis of Stochastic Variational Inequalities Modeling an Elasto-Plastic Problem with Vanishing Jumps”. To Appear in Asymptotic

Analysis, (2012).

  • Noufel Frikha and Stéphane Menozzi. “Concentration bounds for Stochastic Approximations”. Electronic Communications in Probability 17 (2012), 47, 1-15

Prépublications

Chiara Cinti, Stéphane Menozzi and Sergio Polidoro. “Two sided bounds for degenerate processes with densities supported in subsets of R^N”. (2012).

members/smenozzi/welcome.txt · Last modified: 2017/04/25 14:19 by Menozzi Stéphane

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