Anthony Réveillac

Full Professor

Documents

Affiliations actuelles

Institut National des Sciences Appliquées - Toulouse (INSA Toulouse)
Institut de Mathématiques de Toulouse UMR5219 (IMT)
Communauté d'universités et établissements de Toulouse (Comue de Toulouse)

Contact

Présentation

Full Professor in Probability Theory and application to Mathematical Finance and Insurance.

https://anthonyreveillac.github.io/academic-site/

Publications

	Normal approximation of Functionals of Point Processes: Application to Hawkes Processes. Laure Coutin , Benjamin Massat , Anthony Réveillac Electronic Journal of Probability, 2024, 31 (none), pp.1-44. ⟨10.1214/26-EJP1580⟩ Article dans une revue hal-04663022v2
	On the chaotic expansion for counting processes Caroline Hillairet , Anthony Réveillac Electronic Journal of Probability, 2024, 29 (none), ⟨10.1214/24-EJP1193⟩ Article dans une revue hal-04717442v1
	An expansion formula for Hawkes processes and application to cyber-insurance derivatives * Caroline Hillairet , Anthony Réveillac , Mathieu Rosenbaum Stochastic Processes and their Applications, 2023, 160, pp.89-119. ⟨10.1016/j.spa.2023.02.012⟩ Article dans une revue hal-03189601v1
	Normal Approximation of Compound Hawkes Functionals Mahmoud Khabou , Nicolas Privault , Anthony Réveillac Journal of Theoretical Probability, 2023, 37 (1), pp.549-581. ⟨10.1007/s10959-022-01233-6⟩ Article dans une revue hal-04726261v1
	The Malliavin-Stein method for Hawkes functionals Caroline Hillairet , Lorick Huang , Mahmoud Khabou , Anthony Réveillac ALEA : Latin American Journal of Probability and Mathematical Statistics, 2022, 19 (2), pp.1293. ⟨10.30757/ALEA.v19-52⟩ Article dans une revue hal-03189614v1
	The Itô-Tanaka Trick: a non-semimartingale approach Laure Coutin , Romain Duboscq , Anthony Réveillac ALEA : Latin American Journal of Probability and Mathematical Statistics, 2022, 19 (1), pp.881. ⟨10.30757/ALEA.v19-35⟩ Article dans une revue hal-02176741v2
	On a stochastic Hardy-Littlewood-Sobolev inequality with application to Strichartz estimates for a noisy dispersion Romain Duboscq , Anthony Réveillac Annales Henri Lebesgue, 2022, 5, pp.263-274. ⟨10.5802/ahl.122⟩ Article dans une revue hal-01636293v2
	Pricing formulae for derivatives in insurance using the Malliavin calculus * Caroline Hillairet , Ying Jiao , Anthony Réveillac Probability, Uncertainty and Quantitative Risk, 2018, 3 (7), pp.1-19 Article dans une revue hal-01561987v1
	Density analysis of BSDEs Thibaut Mastrolia , Dylan Possamaï , Anthony Réveillac The Annals of Probability, 2016, 44 (4), pp.2817 - 2857. ⟨10.1214/15-AOP1035⟩ Article dans une revue hal-01432980v1
	On the Malliavin differentiability of BSDEs Thibaut Mastrolia , Dylan Possamaï , Anthony Réveillac Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, 2016, ⟨10.1214/15-AIHP723⟩ Article dans une revue hal-00971728v2
	Stochastic regularization effects of semi-martingales on random functions Romain Duboscq , Anthony Réveillac Journal de Mathématiques Pures et Appliquées, 2016 Article dans une revue hal-01178614v3
	A note on the Malliavin-Sobolev spaces Peter Imkeller , Thibaut Mastrolia , Dylan Possamaï , Anthony Réveillac Statistics and Probability Letters, 2016, 109, pp.45-53. ⟨10.1016/j.spl.2015.08.020⟩ Article dans une revue hal-01101190v1
	Functional limit theorems for generalized variations of the fractional Brownian sheet Mikko S. Pakkanen , Anthony Réveillac Bernoulli, 2016, 22 (3), ⟨10.3150/15-BEJ707⟩ Article dans une revue hal-00976747v1
	Utility maximization with random horizon: a BSDE approach Monique Jeanblanc , Thibaut Mastrolia , Dylan Possamaï , Anthony Réveillac International Journal of Theoretical and Applied Finance, 2015, 18 (7), pp.1550045. ⟨10.1142/S0219024915500454⟩ Article dans une revue hal-01126684v3
	Risk measures for processes and BSDEs Irina Penner , Anthony Réveillac Finance and Stochastics, 2014, 19 (1), pp.23-66. ⟨10.1007/s00780-014-0243-x⟩ Article dans une revue hal-00814702v1
	Forward-backward systems for expected utility maximization Ulrich Horst , Ying Hu , Peter Imkeller , Anthony Réveillac , Jianing Zhang Stochastic Processes and their Applications, 2014, 124 (5), pp.1813-1848. ⟨10.1016/j.spa.2014.01.004⟩ Article dans une revue hal-00631727v1
	CRRA utility maximization under dynamic risk constraints Santiago Moreno-Bromberg , Traian A. Pirvu , Anthony Réveillac Communications on Stochastic Analysis (COSA), 2013, 07 (02), pp.179-198 Article dans une revue hal-00918512v1
	Likelihood Ratios and Inference for Poisson Channels Anthony Réveillac IEEE Transactions on Information Theory, 2013, 59 (10), pp.6261-6272. ⟨10.1109/TIT.2013.2268911⟩ Article dans une revue hal-00918523v1
	Hermite variations of the fractional Brownian sheet Anthony Réveillac , Michael Stauch , Ciprian Tudor Stochastics and Dynamics, 2012, 12 (03), pp.1150021. ⟨10.1142/S0219493711500213⟩ Article dans une revue hal-00522801v1
	Sure shrinkage of Gaussian paths and signal identification Nicolas Privault , Anthony Réveillac ESAIM: Probability and Statistics, 2012, 15, pp.180-196. ⟨10.1051/ps/2009013⟩ Article dans une revue hal-00918366v1
	Differentiability of quadratic BSDEs generated by continuous martingales Peter Imkeller , Anthony Réveillac , Anja Richter The Annals of Applied Probability, 2012, 22 (1), pp.285-336. ⟨10.1214/11-AAP769⟩ Article dans une revue hal-00918424v1
	Solvability and numerical simulation of BSDEs related to BSPDEs with applications to utility maximization Peter Imkeller , Anthony Réveillac , Jianing Zhang International Journal of Theoretical and Applied Finance, 2011, 14 (05), pp.635-667. ⟨10.1142/S0219024911006437⟩ Article dans une revue hal-00918453v1
	FBSDEs with time delayed generators: Lp-solutions, differentiability, representation formulas and path regularity Gonçalo dos Reis , Anthony Réveillac , Jianing Zhang Stochastic Processes and their Applications, 2011, 121 (9), pp.2114-2150. ⟨10.1016/j.spa.2011.05.002⟩ Article dans une revue hal-05684916v1
	On the orthogonal component of BSDEs in a Markovian setting Anthony Réveillac Statistics and Probability Letters, 2011, 82 (1), pp.Pages 151-157. ⟨10.1016/j.spl.2011.09.015⟩ Article dans une revue hal-00635484v1
	The weak Stratonovich integral with respect to fractional Brownian motion with Hurst parameter 1/6 Ivan Nourdin , Anthony Réveillac , Jason Swanson Electronic Journal of Probability, 2010, 15 (70), pp.2117-2162 Article dans une revue hal-00493981v1
	Multivariate normal approximation using Stein's method and Malliavin calculus Ivan Nourdin , Giovanni Peccati , Anthony Réveillac Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, 2010 Article dans une revue hal-00272442v2
	Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case H=1/4 Ivan Nourdin , Anthony Réveillac The Annals of Probability, 2009, 37 (6), ⟨10.1214/09-AOP473⟩ Article dans une revue hal-00258524v1
	Stein estimation for the drift of Gaussian processes using the Malliavin calculus Nicolas Privault , Anthony Réveillac Annals of Statistics, 2008, 36 (05), pp.2531-2550. ⟨10.1214/07-AOS540⟩ Article dans une revue hal-00918464v1
	Convergence of finite-dimensional laws of the weighted quadratic variations process for some fractional Brownian sheets Anthony Réveillac Stochastic Analysis and Applications, 2008, 27 (01), pp.51-73. ⟨10.1080/07362990802564491⟩ Article dans une revue hal-00918480v1
	Estimation of quadratic variation for two-parameter diffusions Anthony Réveillac Stochastic Processes and their Applications, 2008, 119 (05), pp.1652-1672. ⟨10.1016/j.spa.2008.08.006⟩ Article dans une revue hal-00918474v1
	Stein estimation of Poisson process intensities Nicolas Privault , Anthony Réveillac Statistical Inference for Stochastic Processes, 2007, 12 (01), pp.37-53. ⟨10.1007/s11203-007-9018-8⟩ Article dans une revue istex hal-00918459v1
	Superefficient drift estimation on the Wiener space Nicolas Privault , Anthony Réveillac Comptes rendus de l'Académie des sciences. Série I, Mathématique, 2006, 343 (09), pp.607-612. ⟨10.1016/j.crma.2006.10.002⟩ Article dans une revue istex hal-00918469v1

	A Note on BSDEs with singular coefficients Monique Jeanblanc , Anthony Réveillac Sino-French Research Program in Financial Mathematics, Jun 2013, Beijing, China. pp.207-222 Communication dans un congrès hal-00863893v3

	Stress scenarios of cyber loss processes with dependencies Yousra Cherkaoui , Caroline Hillairet , Thomas Peyrat , Anthony Réveillac 2026 Pré-publication, Document de travail hal-05558990v1
	A new class of self-exciting point processes with finite sizes clusters Caroline Hillairet , Thomas Peyrat , Achille Pommier , Anthony Réveillac 2026 Pré-publication, Document de travail hal-05628543v1
	Multivariate Self-Exciting Processes with Dependencies Caroline Hillairet , Thomas Peyrat , Anthony Réveillac 2026 Pré-publication, Document de travail hal-04997515v3
	Quantification of limit theorems for Hawkes processes Laure Coutin , Benjamin Massat , Anthony Réveillac 2025 Pré-publication, Document de travail hal-05001701v2
	Explicit correlations for the Hawkes processes * Caroline Hillairet , Anthony Réveillac 2023 Pré-publication, Document de travail hal-04058740v1
	Analysis of the Risk-Sharing Principal-Agent problem through the Reverse-Hölder inequality Jessica Martin , Anthony Réveillac 2019 Pré-publication, Document de travail hal-01874707v3
	Weak martingale representation for continuous Markov processes and application to quadratic growth BSDEs Anthony Réveillac 2011 Pré-publication, Document de travail hal-00615501v1
	FBSDE with time delayed generators: Lp-solutions, differentiability, representation formulas and path regularity Gonçalo dos Reis , Anthony Réveillac , Jianing Zhang 2010 Pré-publication, Document de travail hal-00508892v1

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Anthony Réveillac

Présentation

Publications

Publications

Normal approximation of Functionals of Point Processes: Application to Hawkes Processes.

On the chaotic expansion for counting processes

An expansion formula for Hawkes processes and application to cyber-insurance derivatives *

Normal Approximation of Compound Hawkes Functionals

The Malliavin-Stein method for Hawkes functionals

The Itô-Tanaka Trick: a non-semimartingale approach

On a stochastic Hardy-Littlewood-Sobolev inequality with application to Strichartz estimates for a noisy dispersion

Pricing formulae for derivatives in insurance using the Malliavin calculus *

Density analysis of BSDEs

On the Malliavin differentiability of BSDEs

Stochastic regularization effects of semi-martingales on random functions

A note on the Malliavin-Sobolev spaces

Functional limit theorems for generalized variations of the fractional Brownian sheet

Utility maximization with random horizon: a BSDE approach

Risk measures for processes and BSDEs

Forward-backward systems for expected utility maximization

CRRA utility maximization under dynamic risk constraints

Likelihood Ratios and Inference for Poisson Channels

Hermite variations of the fractional Brownian sheet

Sure shrinkage of Gaussian paths and signal identification

Differentiability of quadratic BSDEs generated by continuous martingales

Solvability and numerical simulation of BSDEs related to BSPDEs with applications to utility maximization

FBSDEs with time delayed generators: Lp-solutions, differentiability, representation formulas and path regularity

On the orthogonal component of BSDEs in a Markovian setting

The weak Stratonovich integral with respect to fractional Brownian motion with Hurst parameter 1/6

Multivariate normal approximation using Stein's method and Malliavin calculus

Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case H=1/4

Stein estimation for the drift of Gaussian processes using the Malliavin calculus

Convergence of finite-dimensional laws of the weighted quadratic variations process for some fractional Brownian sheets

Estimation of quadratic variation for two-parameter diffusions

Stein estimation of Poisson process intensities

Superefficient drift estimation on the Wiener space

A Note on BSDEs with singular coefficients

Stress scenarios of cyber loss processes with dependencies

A new class of self-exciting point processes with finite sizes clusters

Multivariate Self-Exciting Processes with Dependencies

Quantification of limit theorems for Hawkes processes

Explicit correlations for the Hawkes processes *

Analysis of the Risk-Sharing Principal-Agent problem through the Reverse-Hölder inequality

Weak martingale representation for continuous Markov processes and application to quadratic growth BSDEs

FBSDE with time delayed generators: Lp-solutions, differentiability, representation formulas and path regularity