Anthony Réveillac Full Professor

Présentation

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

Publications

Article dans une revue (30)

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 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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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

Communication dans un congrès (1)

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

Pré-publication, Document de travail (9)

Stress scenarios of cyber loss processes with dependencies Yousra Cherkaoui,Caroline Hillairet,Thomas Peyrat,Anthony Réveillac 2026 Pré-publication, Document de travail hal-05558990v1
Quantification of limit theorems for Hawkes processes Laure Coutin,Benjamin Massat,Anthony Réveillac 2025 Pré-publication, Document de travail hal-05001701v2
Multivariate Self-Exciting Processes with Dependencies Caroline Hillairet,Thomas Peyrat,Anthony Réveillac 2026 Pré-publication, Document de travail hal-04997515v3
Normal approximation of Functionals of Point Processes: Application to Hawkes Processes. Laure Coutin,Benjamin Massat,Anthony Réveillac 2025 Pré-publication, Document de travail hal-04663022v2
Poisson imbedding meets the Clark-Ocone formula * Caroline Hillairet,Thomas Peyrat,Anthony Réveillac 2024 Pré-publication, Document de travail hal-04554378v1
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