Emmanuel Gobet

42 papers Misc 1Journal 41

Year	Rank	Type	Title / Venue / Authors
2026	J	`jnl`	Accelerated convergence of error quantiles using robust randomized quasi Monte Carlo methods. J. Complex. Emmanuel Gobet, Matthieu Lerasle, David Métivier
2026	J	`jnl`	Federated Stochastic Control of Numerous Heterogeneous Energy Storage Systems. J. Optim. Theory Appl. Emmanuel Gobet, Maxime Grangereau
2026	J	`jnl`	Uniswap V3: Impermanent Loss Modeling and Swap Fees Asymptotic Analysis. SIAM J. Financial Math. Mnacho Echenim, Emmanuel Gobet, Anne-Claire Maurice
2025	J	`jnl`	Learning extreme expected shortfall and conditional tail moments with neural networks. Application to cryptocurrency data. Neural Networks Michaël Allouche, Stéphane Girard, Emmanuel Gobet
2024	J	`jnl`	A Mean Field Game Model for Renewable Investment Under Long-Term Uncertainty and Risk Aversion. Dyn. Games Appl. Célia Escribe, Josselin Garnier, Emmanuel Gobet
2024	J	`jnl`	Bridging socioeconomic pathways of rmCO Ann. Oper. Res. Florian Bourgey, Emmanuel Gobet, Ying Jiao
2024	J	`jnl`	Estimation of extreme quantiles from heavy-tailed distributions with neural networks. Stat. Comput. Michaël Allouche, Stéphane Girard, Emmanuel Gobet
2024	J	`jnl`	Numerical approximation of ergodic BSDEs using non linear Feynman-Kac formulas. CoRR Emmanuel Gobet, Adrien Richou, Lukasz Szpruch
2024	J	`jnl`	Optimal ecological transition path of a credit portfolio distribution, based on multidate Monge-Kantorovich formulation. Ann. Oper. Res. Emmanuel Gobet, Clara Lage
2024	J	`jnl`	Quasi-Regression Monte-Carlo scheme for semi-linear PDEs and BSDEs with large scale parallelization on GPUs. CoRR Emmanuel Gobet, José G. López-Salas, Carlos Vázquez
2024	J	`jnl`	Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs. CoRR Emmanuel Gobet, José G. López-Salas, Plamen Turkedjiev, Carlos Vázquez
2024	J	`jnl`	Structured dictionary learning of rating migration matrices for credit risk modeling. Comput. Stat. Michaël Allouche, Emmanuel Gobet, Clara Lage, Edwin Mangin
2022	J	`jnl`	A Comparative Study of Polynomial-Type Chaos Expansions for Indicator Functions. SIAM/ASA J. Uncertain. Quantification Florian Bourgey, Emmanuel Gobet, Clément Rey
2022	J	`jnl`	A generative model for fBm with deep ReLU neural networks. J. Complex. Michaël Allouche, Stéphane Girard, Emmanuel Gobet
2022	J	`jnl`	EV-GAN: Simulation of extreme events with ReLU neural networks. J. Mach. Learn. Res. Michaël Allouche, Stéphane Girard, Emmanuel Gobet
2022	J	`jnl`	Newton Method for Stochastic Control Problems. SIAM J. Control. Optim. Emmanuel Gobet, Maxime Grangereau
2020	J	`jnl`	Metamodel of a Large Credit Risk Portfolio in the Gaussian Copula Model. SIAM J. Financial Math. Florian Bourgey, Emmanuel Gobet, Clément Rey
2020	J	`jnl`	Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations. Monte Carlo Methods Appl. Florian Bourgey, Stefano De Marco, Emmanuel Gobet, Alexandre Zhou
2020	J	`jnl`	Orlicz Random Fourier Features. J. Mach. Learn. Res. Linda Chamakh, Emmanuel Gobet, Zoltán Szabó
2020	J	`jnl`	Uncertainty Quantification for Stochastic Approximation Limits Using Chaos Expansion. SIAM/ASA J. Uncertain. Quantification Stéphane Crépey, Gersende Fort, Emmanuel Gobet, Uladzislau Stazhynski
2019	J	`jnl`	Quantitative bounds for concentration-of-measure inequalities and empirical regression: The independent case. J. Complex. David Barrera, Emmanuel Gobet
2018	J	`jnl`	A Nonintrusive Stratified Resampler for Regression Monte Carlo: Application to Solving Nonlinear Equations. SIAM J. Numer. Anal. Emmanuel Gobet, Gang Liu, Jorge P. Zubelli
2018	J	`jnl`	Study of new rare event simulation schemes and their application to extreme scenario generation. Math. Comput. Simul. Ankush Agarwal, Stefano De Marco, Emmanuel Gobet, Gang Liu
2017	Misc	`conf`	Finite variance unbiased estimation of stochastic differential equations. WSC Ankush Agarwal, Emmanuel Gobet
2017	J	`jnl`	MCMC design-based non-parametric regression for rare event. Application to nested risk computations. Monte Carlo Methods Appl. Gersende Fort, Emmanuel Gobet, Eric Moulines
2016	J	`jnl`	Empirical Regression Method for Backward Doubly Stochastic Differential Equations. SIAM/ASA J. Uncertain. Quantification Achref Bachouch, Emmanuel Gobet, Anis Matoussi
2016	J	`jnl`	Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions. Math. Comput. Emmanuel Gobet, Plamen Turkedjiev
2016	J	`jnl`	Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs. SIAM J. Sci. Comput. Emmanuel Gobet, José G. López-Salas, Plamen Turkedjiev, Carlos Vázquez
2015	J	`jnl`	Analytical Approximations of BSDEs with Nonsmooth Driver. SIAM J. Financial Math. Emmanuel Gobet, Stefano Pagliarani
2015	J	`jnl`	Rare Event Simulation Using Reversible Shaking Transformations. SIAM J. Sci. Comput. Emmanuel Gobet, Gang Liu
2014	J	`jnl`	A correction note to "Discrete time hedging errors for options with irregular payoffs". Finance Stochastics Emmanuel Gobet
2014	J	`jnl`	Stochastic Approximation Finite Element Method: Analytical Formulas for Multidimensional Diffusion Process. SIAM J. Numer. Anal. Romain Bompis, Emmanuel Gobet
2013	J	`jnl`	Preliminary control variates to improve empirical regression methods. Monte Carlo Methods Appl. Tarik Ben Zineb, Emmanuel Gobet
2010	J	`jnl`	Solving BSDE with Adaptive Control Variate. SIAM J. Numer. Anal. Emmanuel Gobet, Céline Labart
2010	J	`jnl`	Time Dependent Heston Model. SIAM J. Financial Math. Eric Benhamou, Emmanuel Gobet, Mohammed Miri
2009	J	`jnl`	Smart expansion and fast calibration for jump diffusions. Finance Stochastics Eric Benhamou, Emmanuel Gobet, Mohammed Miri
2006	J	`jnl`	Discretization and Simulation of the Zakai Equation. SIAM J. Numer. Anal. Emmanuel Gobet, Gilles Pagès, Huyên Pham, Jacques Printems
2005	J	`jnl`	Sensitivity Analysis Using It[o-circumflex]--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control. SIAM J. Control. Optim. Emmanuel Gobet, Rémi Munos
2005	J	`jnl`	Sequential Control Variates for Functionals of Markov Processes. SIAM J. Numer. Anal. Emmanuel Gobet, Sylvain Maire
2004	J	`jnl`	A spectral Monte Carlo method for the Poisson equation. Monte Carlo Methods Appl. Emmanuel Gobet, Sylvain Maire
2001	J	`jnl`	Discrete time hedging errors for options with irregular payoffs. Finance Stochastics Emmanuel Gobet, Emmanuel Temam
2001	J	`jnl`	Efficient schemes for the weak approximation of reflected diffusions. Monte Carlo Methods Appl. Emmanuel Gobet