ESAIM: Proceedings and Surveys

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Editorial

Editorial CEMRACS 2017 – Numerical methods for stochastic models: control, uncertainty quantification, mean-field p. I

Bruno Bouchard, Jean-François Chassagneux, François Delarue, Emmanuel Gobet and Jérome Lelong

Published online: 02 April 2019

DOI: https://doi.org/10.1051/proc/201965000

• Abstract
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Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements p. 1

A. Agarwal, S. De Marco, E. Gobet, J. G. López-Salas, F. Noubiagain and A. Zhou

Published online: 02 April 2019

DOI: https://doi.org/10.1051/proc/201965001

• Abstract
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A policy iteration algorithm for nonzero-sum stochastic impulse games p. 27

René Aïd, Francisco Bernal, Mohamed Mnif, Diego Zabaljauregui and Jorge P. Zubelli

Published online: 02 April 2019

DOI: https://doi.org/10.1051/proc/201965027

• Abstract
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Regression Monte Carlo for microgrid management p. 46

Clemence Alasseur, Alessandro Balata, Sahar Ben Aziza, Aditya Maheshwari, Peter Tankov and Xavier Warin

Published online: 02 April 2019

DOI: https://doi.org/10.1051/proc/201965046

• Abstract
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New particle representations for ergodic McKean-Vlasov SDEs p. 68

Houssam AlRachid, Mireille Bossy, Cristiano Ricci and Lukasz Szpruch

Published online: 02 April 2019

DOI: https://doi.org/10.1051/proc/201965068

• Abstract
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Cemracs 2017: numerical probabilistic approach to MFG p. 84

Andrea Angiuli, Christy V. Graves, Houzhi Li, Jean-François Chassagneux, François Delarue and René Carmona

Published online: 02 April 2019

DOI: https://doi.org/10.1051/proc/201965084

• Abstract
• PDF (651.0 KB)

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A class of finite-dimensional numerically solvable McKean-Vlasov control problems p. 114

Alessandro Balata, Côme Huré, Mathieu Laurière, Huyên Pham and Isaque Pimentel

Published online: 02 April 2019

DOI: https://doi.org/10.1051/proc/201965114

• Abstract
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Optimal inventory management and order book modeling p. 145

Nicolas Baradel, Bruno Bouchard, David Evangelista and Othmane Mounjid

Published online: 02 April 2019

DOI: https://doi.org/10.1051/proc/201965145

• Abstract
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Stochastic approximation schemes for economic capital and risk margin computations p. 182

David Barrera, Stéphane Crépey, Babacar Diallo, Gersende Fort, Emmanuel Gobet and Uladzislau Stazhynski

Published online: 02 April 2019

DOI: https://doi.org/10.1051/proc/201965182

• Abstract
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Bias behaviour and antithetic sampling in mean-field particle approximations of SDEs nonlinear in the sense of McKean p. 219

O. Bencheikh and B. Jourdain

Published online: 02 April 2019

DOI: https://doi.org/10.1051/proc/201965219

• Abstract
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A sparse grid approach to balance sheet risk measurement p. 236

Cyril Bénézet, Jérémie Bonnefoy, Jean-François Chassagneux, Shuoqing Deng, Camilo Garcia Trillos and Lionel Lenôtre

Published online: 02 April 2019

DOI: https://doi.org/10.1051/proc/201965236

• Abstract
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Shapley effects for sensitivity analysis with dependent inputs: bootstrap and kriging-based algorithms p. 266

Nazih Benoumechiara and Kevin Elie-Dit-Cosaque

Published online: 02 April 2019

DOI: https://doi.org/10.1051/proc/201965266

• Abstract
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Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view p. 294

Bruno Bouchard, Ki Wai Chau, Arij Manai and Ahmed Sid-Ali

Published online: 02 April 2019

DOI: https://doi.org/10.1051/proc/201965294

• Abstract
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Numerical approximation of general Lipschitz BSDEs with branching processes p. 309

Bruno Bouchard, Xiaolu Tan and Xavier Warin

Published online: 02 April 2019

DOI: https://doi.org/10.1051/proc/201965309

• Abstract
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On the implementation of a primal-dual algorithm for second order time-dependent Mean Field Games with local couplings p. 330

L. Briceño-Arias, D. Kalise, Z. Kobeissi, M. Laurière, Á. Mateos González and F. J. Silva

Published online: 02 April 2019

DOI: https://doi.org/10.1051/proc/201965330

• Abstract
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Price of anarchy for Mean Field Games p. 349

René Carmona, Christy V. Graves and Zongjun Tan

Published online: 02 April 2019

DOI: https://doi.org/10.1051/proc/201965349

• Abstract
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Numerical schemes for the aggregation equation with pointy potentials p. 384

Benoît Fabrèges, Hélène Hivert, Kevin Le Balc’h, Sofiane Martel, François Delarue, Frédéric Lagoutière and Nicolas Vauchelet

Published online: 02 April 2019

DOI: https://doi.org/10.1051/proc/201965384

• Abstract
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Statistical and probabilistic modeling of a cloud of particles coupled with a turbulent fluid p. 401

Ludovic Goudenège, Adam Larat, Julie Llobell, Marc Massot, David Mercier, Olivier Thomine and Aymeric Vié

Published online: 02 April 2019

DOI: https://doi.org/10.1051/proc/201965401

• Abstract
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Free boundary value problems and hjb equations for the stochastic optimal control of elasto-plastic oscillators p. 425

M. Lauriere, Z. Li, L. Mertz, J. Wylie and S. Zuo

Published online: 02 April 2019

DOI: https://doi.org/10.1051/proc/201965425

• Abstract
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Network of interacting neurons with random synaptic weights p. 445

Paolo Grazieschi, Marta Leocata, Cyrille Mascart, Julien Chevallier, François Delarue and Etienne Tanré

Published online: 02 April 2019

DOI: https://doi.org/10.1051/proc/201965445

• Abstract
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Some non monotone schemes for Hamilton-Jacobi-Bellman equations p. 476

Xavier Warin

Published online: 02 April 2019

DOI: https://doi.org/10.1051/proc/201965476

• Abstract
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