Antoine Lejay

117
Documents

Publications

Publications

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Long time asymptotic behavior of a self-similar fragmentation equation

Gaetano Agazzotti , Madalina Deaconu , Antoine Lejay

Nonlinear Analysis: Theory, Methods and Applications, 2025, 257, pp.113805. ⟨10.1016/j.na.2025.113805⟩

Article dans une revue hal-04477123v4
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Random walk modeling of conductive heat transport in discontinuous media

Elisa Baioni , Antoine Lejay , Géraldine Pichot , Giovanni Michele Porta

Transport in Porous Media, 2024, 151, ⟨10.1007/s11242-024-02132-6⟩

Article dans une revue hal-04166562v3
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Modeling diffusion in discontinuous media under generalized interface conditions: theory and algorithms

Elisa Baioni , Antoine Lejay , Géraldine Pichot , Giovanni Michele Porta

SIAM Journal on Scientific Computing, 2024, 46 (4), pp.A2202-A2223. ⟨10.1137/23M1590846⟩

Article dans une revue hal-04166559v2
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Maximum likelihood estimator for skew Brownian motion: the convergence rate

Antoine Lejay , Sara Mazzonetto

Scandinavian Journal of Statistics, 2023, 51 (2), pp.612-642. ⟨10.1111/sjos.12694⟩

Article dans une revue hal-03975966v1
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General diffusion processes as the limit of time-space Markov chains

Alexis Anagnostakis , Antoine Lejay , Denis Villemonais

The Annals of Applied Probability, 2023, 33 (5), pp.3620-3651. ⟨10.48550/arXiv.2206.03713⟩

Article dans une revue hal-02897819v2
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Probabilistic representations of fragmentation equations

Madalina Deaconu , Antoine Lejay

Probability Surveys, 2023, 20, pp.226-290. ⟨10.1214/23-PS14⟩

Article dans une revue hal-03483448v4
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Constructing general rough differential equations through flow approximations

Antoine Lejay

Electronic Journal of Probability, 2022, 27, pp.1-24. ⟨10.1214/21-EJP717⟩

Article dans une revue hal-02871886v4
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Hawkes processes framework with a Gamma density as excitation function: application to natural disasters for insurance

Laurent Lesage , Madalina Deaconu , Antoine Lejay , Jorge Augusto Meira , Geoffrey Nichil et al.

Methodology and Computing in Applied Probability, 2022, pp.29. ⟨10.1007/s11009-022-09938-1⟩

Article dans une revue hal-03040090v1
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The non-linear sewing lemma II: Lipschitz continuous formulation

Antoine Brault , Antoine Lejay

Journal of Differential Equations, 2021, 293, pp.482-519. ⟨10.1016/j.jde.2021.05.020⟩

Article dans une revue hal-01839202v3
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Book Review: a Course on Rough Paths - With an Introduction to Regularity Structures (Peter K. Friz and Martin Hairer)

Antoine Lejay

Bulletin of the American Mathematical Society, In press, 59 (2), pp.283-287. ⟨10.1090/bull/1763⟩

Article dans une revue hal-03475899v2
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A Recommendation System For Car Insurance

Laurent Lesage , Madalina Deaconu , Antoine Lejay , Jorge Augusto Meira , Geoffrey Nichil et al.

European Actuarial Journal, 2020, 10, pp.377-398. ⟨10.1007/s13385-020-00236-z⟩

Article dans une revue hal-02420954v2
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The non-linear sewing lemma III : stability and generic properties

Antoine Brault , Antoine Lejay

Forum Mathematicum, 2020, 32 (5), pp.1177-1197. ⟨10.1515/forum-2019-0309⟩

Article dans une revue hal-02265268v2
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A forward-backward probabilistic algorithm for the incompressible Navier-Stokes equations

Antoine Lejay , Hernán Mardones González

Journal of Computational Physics, 2020, 420 (109689), ⟨10.1016/j.jcp.2020.109689⟩

Article dans une revue hal-02377108v3
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Book review "A Course on Rough Paths: With an Introduction to Regularity Structures

Antoine Lejay

Quantitative Finance, 2020, pp.2. ⟨10.1080/14697688.2020.1828611⟩

Article dans une revue (compte-rendu de lecture) hal-02959775v1
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Maximum likelihood drift estimation for a threshold diffusion

Antoine Lejay , Paolo Pigato

Scandinavian Journal of Statistics, 2020, 47 (3), pp.29. ⟨10.1111/sjos.12417⟩

Article dans une revue hal-01731566v3
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A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data

Antoine Lejay , Paolo Pigato

International Journal of Theoretical and Applied Finance, In press, ⟨10.1142/S0219024919500171⟩

Article dans une revue hal-01669082v5
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An exponential timestepping algorithm for diffusion with discontinuous coefficients

Antoine Lejay , Lionel Lenôtre , Géraldine Pichot

Journal of Computational Physics, 2019, 396, pp.888-904. ⟨10.1016/j.jcp.2019.07.013⟩

Article dans une revue hal-01806465v1
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Analytic expressions of the solutions of advection-diffusion problems in 1D with discontinuous coefficients

Antoine Lejay , Lionel Lenôtre , Géraldine Pichot

SIAM Journal on Applied Mathematics, 2019, 79 (5), pp.1823-1849. ⟨10.1137/18M1164500⟩

Article dans une revue hal-01644270v2
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The non-linear sewing lemma I : weak formulation

Antoine Brault , Antoine Lejay

Electronic Journal of Probability, 2019, 24 (59), pp.1-24. ⟨10.1214/19-EJP313⟩

Article dans une revue hal-01716945v5
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Two consistent estimators for the Skew Brownian motion

Antoine Lejay , Ernesto Mordecki , Soledad Torres

ESAIM: Probability and Statistics, 2019, 23, ⟨10.1051/ps/2018018⟩

Article dans une revue hal-01492853v6
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A Monte Carlo estimation of the mean residence time in cells surrounded by thin layers

Antoine Lejay

Mathematics and Computers in Simulation, 2018, Tenth IMACS Seminar on Monte Carlo Methods (MCM 2015), 143C, pp.65-77. ⟨10.1016/j.matcom.2017.05.008⟩

Article dans une revue hal-01216471v6
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Estimation of the bias parameter of the skew random walk and application to the skew Brownian motion

Antoine Lejay

Statistical Inference for Stochastic Processes, 2018, 21 (3), pp.539-551. ⟨10.1007/s11203-017-9161-9⟩

Article dans une revue hal-01319319v4
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Statistical estimation of the Oscillating Brownian Motion

Antoine Lejay , Paolo Pigato

Bernoulli, 2018, 24 (4B), pp.3568-3602. ⟨10.3150/17-BEJ969⟩

Article dans une revue hal-01430794v3
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Sensitivity of rough differential equations: an approach through the Omega lemma

Laure Coutin , Antoine Lejay

Journal of Differential Equations, 2018, 264 (6), pp.3899-3917. ⟨10.1016/j.jde.2017.11.031⟩

Article dans une revue hal-00875670v6
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Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift

Arturo Kohatsu-Higa , Antoine Lejay , Kazuhiro Yasuda

Journal of Computational and Applied Mathematics, 2017, 326C, pp.138-158. ⟨10.1016/j.cam.2017.05.015⟩

Article dans une revue hal-00840211v5
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Approximation of CVaR minimization for hedging under exponential-Lévy models

Madalina Deaconu , Antoine Lejay , Khaled Salhi

Journal of Computational and Applied Mathematics, 2017, 326, pp.171-182. ⟨10.1016/j.cam.2017.05.005⟩

Article dans une revue hal-01461215v1
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Regime switching model for financial data: empirical risk analysis

Khaled Salhi , Madalina Deaconu , Antoine Lejay , Nicolas Champagnat , Nicolas Navet

Physica A: Statistical Mechanics and its Applications, 2016, 461, pp.148-157. ⟨10.1016/j.physa.2016.05.002⟩

Article dans une revue hal-01095299v2
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Simulating diffusion processes in discontinuous media: Benchmark tests

Antoine Lejay , Géraldine Pichot

Journal of Computational Physics, 2016, 314, pp.384 - 413. ⟨10.1016/j.jcp.2016.03.003⟩

Article dans une revue hal-01003853v4
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The snapping out Brownian motion

Antoine Lejay

The Annals of Applied Probability, 2016, 26 (3), pp.1727-1742. ⟨10.1214/15-AAP1131⟩

Article dans une revue hal-00781447v4
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Is a Brownian motion skew?

Antoine Lejay , Ernesto Mordecki , Soledad Torres

Scandinavian Journal of Statistics, 2014, 5 (2), pp.346-364. ⟨10.1111/sjos.12033⟩

Article dans une revue istex inria-00544442v4
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Perturbed linear rough differential equations

Laure Coutin , Antoine Lejay

Annales Mathématiques Blaise Pascal, 2014, 21 (1), pp.103-150. ⟨10.5802/ambp.338⟩

Article dans une revue hal-00722900v3
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New Monte Carlo schemes for simulating diffusions in discontinuous media

Antoine Lejay , Sylvain Maire

Journal of Computational and Applied Mathematics, 2013, 245 (97-116), ⟨10.1016/j.cam.2012.12.013⟩

Article dans une revue hal-00689581v4
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Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps

Antoine Lejay , Géraldine Pichot

Journal of Computational Physics, 2012, 231 (21), pp.7299-7314. ⟨10.1016/j.jcp.2012.07.011⟩

Article dans une revue hal-00649170v3
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A variance reduction technique using a quantized Brownian motion as a control variate

Antoine Lejay , Victor Reutenauer

The Journal of Computational Finance, 2012, 16 (2), pp.61-84

Article dans une revue inria-00393749v3
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Trajectoires rugueuses

Antoine Lejay

Matapli, 2012, 98, pp.119-134

Article dans une revue hal-00701211v1
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Simulation of a stochastic process in a discontinuous layered media

Antoine Lejay

Electronic Communications in Probability, 2011, 16, pp.764-774

Article dans une revue inria-00583127v4
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Simulating diffusions with piecewise constant coefficients using a kinetic approximation

Antoine Lejay , Sylvain Maire

Computer Methods in Applied Mechanics and Engineering, 2010, 199 (29-32), pp.2014-2023. ⟨10.1016/j.cma.2010.03.002⟩

Article dans une revue inria-00358003v4
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Controlled differential equations as Young integrals: a simple approach

Antoine Lejay

Journal of Differential Equations, 2010, 249, pp.1777-1798. ⟨10.1016/j.jde.2010.05.006⟩

Article dans une revue inria-00402397v1
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An Efficient Algorithm to Simulate a Brownian Motion Over Irregular Domains

Samih Zein , Antoine Lejay , Madalina Deaconu

Communications in Computational Physics, 2010, 8 (4), pp.901-916. ⟨10.4208/cicp.240209.031209a⟩

Article dans une revue inria-00444056v1
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Simulation of diffusions by means of importance sampling paradigm

Madalina Deaconu , Antoine Lejay

The Annals of Applied Probability, 2010, 20 (4), pp.1389-1424. ⟨10.1214/09-AAP659⟩

Article dans une revue inria-00126339v2
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Yet another introduction to rough paths

Antoine Lejay

Séminaire de Probabilités, 2009, Séminaire de Probabilités XLII / Lecture Notes in Mathematics, 1979, pp.1-101. ⟨10.1007/978-3-642-01763-6_1⟩

Article dans une revue inria-00107460v3
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On rough differential equations

Antoine Lejay

Electronic Journal of Probability, 2009, 14 (12), pp.341-364

Article dans une revue inria-00278246v3
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Estimation of the Brownian dimension of a continuous Ito process

Jean Jacod , Antoine Lejay , Denis Talay

Bernoulli, 2008, 14 (2), pp.469-498. ⟨10.3150/07-BEJ6190⟩

Article dans une revue inria-00143541v2

Computing the principal eigenelements of some linear operators using a branching Monte Carlo method

Antoine Lejay , Sylvain Maire

Journal of Computational Physics, 2008, 227 (23), pp.9794-9806. ⟨10.1016/j.jcp.2008.07.018⟩

Article dans une revue hal-01479830v1
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Computing the first eigenelements of some linear operators using a branching Monte Carlo method

Antoine Lejay , Sylvain Maire

Journal of Computational Physics, 2008, 227 (23), pp.9794-9806. ⟨10.1016/j.jcp.2008.07.018⟩

Article dans une revue inria-00151884v2
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Stochastic Differential Equations Driven by Processes Generated by Divergence Form Operators II: Convergence results

Antoine Lejay

ESAIM: Probability and Statistics, 2008, 12, pp.387-411. ⟨10.1051/ps:2007040⟩

Article dans une revue inria-00092427v3
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A Donsker theorem to simulate one-dimensional processes with measurable coefficients

Pierre Etoré , Antoine Lejay

ESAIM: Probability and Statistics, 2007, 11, pp.301-326. ⟨10.1051/ps:2007021⟩

Article dans une revue inria-00077851v1
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Computing the principal eigenvalue of the Laplace operator by a stochastic method

Antoine Lejay , Sylvain Maire

Mathematics and Computers in Simulation, 2007, 73 (3), pp.351-363. ⟨10.1016/j.matcom.2006.06.011⟩

Article dans une revue inria-00092408v1
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Stochastic Differential Equations Driven by Processes Generated by Divergence Form Operators I: A Wong-Zakai Theorem

Antoine Lejay

ESAIM: Probability and Statistics, 2006, 10, pp.356-379. ⟨10.1051/ps:2006015⟩

Article dans une revue inria-00092426v1
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On (p,q)-rough paths

Antoine Lejay , Nicolas Victoir

Journal of Differential Equations, 2006, 225 (1), pp.103-133. ⟨10.1016/j.jde.2006.01.018⟩

Article dans une revue inria-00092420v1
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A random walk on rectangles algorithm

Madalina Deaconu , Antoine Lejay

Methodology and Computing in Applied Probability, 2006, 8 (1), pp.135-151. ⟨10.1007/s11009-006-7292-3⟩

Article dans une revue inria-00092424v1
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On the Constructions of the Skew Brownian Motion

Antoine Lejay

Probability Surveys, 2006, 3, pp.413-466. ⟨10.1214/154957807000000013⟩

Article dans une revue inria-00000785v2
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Young integrals and SPDEs

Massimiliano Gubinelli , Antoine Lejay , Samy Tindel

Potential Analysis, 2006, 25 (4), pp.307-326

Article dans une revue inria-00092425v1
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A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients

Antoine Lejay , Miguel Martinez

The Annals of Applied Probability, 2006, 16 (1), pp.107-139. ⟨10.1214/105051605000000656⟩

Article dans une revue inria-00000410v1

Semimartignales and rough path theory

Laure Coutin , Antoine Lejay

European Journal of Physics, 2005, pp.23

Article dans une revue hal-00266889v1
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Semi-martingales and rough paths theory

Laure Coutin , Antoine Lejay

Electronic Journal of Probability, 2005, 10 (23), pp.761-785

Article dans une revue inria-00000411v1
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A probabilistic representation of the solution of some quasi-linear PDE with a divergence form operator. Application to existence of weak solutions of FBSDE

Antoine Lejay

Stochastic Processes and their Applications, 2004, 110 (1), pp.145-176. ⟨10.1016/j.spa.2003.09.012⟩

Article dans une revue inria-00001228v1
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On the convergence of stochastic integrals driven by processes converging on account of a homogenization property

Antoine Lejay

Electronic Journal of Probability, 2003, 7 (18), pp.1-18. ⟨10.1214/EJP.v7-117⟩

Article dans une revue inria-00093190v2
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Simulating a diffusion on a graph. Application to reservoir engineering

Antoine Lejay

Monte Carlo Methods and Applications, 2003, 9 (3), pp.241-255

Article dans une revue inria-00092428v1
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BSDE driven by Dirichlet process and semi-linear parabolic PDE. Application to homogenization

Antoine Lejay

Stochastic Processes and their Applications, 2002, 97 (1), pp.1-39. ⟨10.1016/S0304-4149(01)00124-7⟩

Article dans une revue inria-00001229v1
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On the decomposition of excursions measures of processes whose generators have diffusion coefficients discontinuous at one point

Antoine Lejay

Markov Processes And Related Fields, 2002, 8 (1), pp.117-126

Article dans une revue inria-00001230v1
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A Monte Carlo method without grid for a fractured porous domain model

Fabien Campillo , Antoine Lejay

Monte Carlo Methods and Applications, 2002, 8 (2), pp.129-147

Article dans une revue inria-00152412v1
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A Probabilistic Approach to the Homogenization of Divergence-Form Operators in Periodic Media

Antoine Lejay

Asymptotic Analysis, 2001, 28 (2), pp.151-162

Article dans une revue inria-00001219v1

A Monte Carlo method to compute the exchange coefficient in the double porosity model

Fabien Campillo , Antoine Lejay

Monte Carlo Methods and Applications, 2001, 7 (1--2), pp.65--72

Article dans une revue hal-00652117v1
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Homogenization of divergence-form operators with lower order terms in random media

Antoine Lejay

Probability Theory and Related Fields, 2001, 120 (2), pp.255-276. ⟨10.1007/s004400100135⟩

Article dans une revue inria-00001220v1

Séminaire de Probabilités LII

Catherine Donati-Martin , Antoine Lejay , Alain Rouault

Springer Nature Switzerland, 2363, 2025, Lecture Notes in Mathematics, 978-3-031-86421-6. ⟨10.1007/978-3-031-86422-3⟩

Ouvrages hal-05476677v1

Séminaire de Probabilités LI

Catherine Donati-Martin , Antoine Lejay , Alain Rouault

Springer Nature, 2301, 389 p., 2022, Séminaire de Probabilités / Lecture Notes in Mathematics, 978-3-030-96408-5. ⟨10.1007/978-3-030-96409-2⟩

Ouvrages hal-03676900v1

Séminaire de Probabilités L

Catherine Donati-Martin , Antoine Lejay , Alain Rouault

Catherine Donati-Martin; Antoine Lejay; Alain Rouault. Springer, Cham, 50, pp.562, 2019, Séminaire de Probabilités / Lecture Notes in Mathematics - 2252, 978-3-030-28535-7. ⟨10.1007/978-3-030-28535-7⟩

Ouvrages hal-02375632v1

Séminaire de probabilités XLIX

Emmanuel Boissard , Patrick Cattiaux , Arnaud Guillin , Laurent Miclo , Florian Bouguet et al.

Donati-Martin, Catherine; Lejay, Antoine; Rouault, Alain. Springer, 2215, 2018, Lecture notes in mathematics, ⟨10.1007/978-3-319-92420-5⟩

Ouvrages hal-01931202v1

Séminaire de Probabilités XLVI

Catherine Donati-Martin , Antoine Lejay , Alain Rouault

Springer International Publishing, 2123, pp.512, 2014, Lecture Notes in Mathematics, 978-3-319-11969-4. ⟨10.1007/978-3-319-11970-0⟩

Ouvrages hal-01109973v1

Séminaire de Probabilités XLV

Catherine Donati-Martin , Antoine Lejay , Alain Rouault

Donati-Martin, Catherine and Lejay, Antoine and Rouault, Alain. Springer, 2078, pp.558, 2013, Lecture Notes in Mathematics, 978-3-319-00320-7. ⟨10.1007/978-3-319-00321-4⟩

Ouvrages hal-00849019v1

Séminaire de Probabilités XLIV

Catherine Donati-Martin , Antoine Lejay , Alain Rouault

Catherine Donati-Martin and Antoine Lejay and Alain Rouault. Springer-Verlag, 2046, pp.465, 2012, Lecture Notes in Mathematics, 978-3-642-27460-2. ⟨10.1007/978-3-642-27461-9⟩

Ouvrages hal-00724872v1

Séminaire de Probabilités XLIII

Catherine Donati-Martin , Antoine Lejay , Alain Rouault

Catherine Donati-Martin and Antoine Lejay and Alain Rouault. Springer-Verlag, 2006, pp.503, 2011, Lecture Notes in Mathematics, 978-3-642-15216-0. ⟨10.1007/978-3-642-15217-7⟩

Ouvrages inria-00541922v1
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Hawkes point processes based inference applied to seismic data analysis

Loubna Ben Allal , Antoine Lejay , Radu S. Stoica

2020 RING MEETING, Sep 2020, Nancy, France

Communication dans un congrès hal-02928408v1
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Diffusion processes in discontinuous media: numerical algorithms and benchmark tests

Antoine Lejay , Géraldine Pichot , Lionel Lenôtre

Workshop Validation approaches for multiscale porous media models., Jul 2018, Nottingham, United Kingdom

Communication dans un congrès hal-01900609v1
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Détection de courants marins côtiers à partir de séquences vidéo

Stanislas Larnier , Rafael Almar , Rodrigo Cienfuegos , Antoine Lejay

Congrès SMAI 2013 - Seignosse le Penon, France, 27-31 mai 2013, May 2013, Seignosse, France. ⟨10.1051/proc/201445037⟩

Communication dans un congrès hal-00868401v2
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On the use of the Radon transform to estimate longshore currents from video imagery

Stanislas Larnier , Rafael Almar , Rodrigo Cienfuegos , Antoine Lejay

ICS 2014 : International Coastal Symposium, Durban (ZFA), 2014/04/13-18, Coastal Education and Research Foundation (CERF) and the Journal of Coastal Research (JCR), Apr 2014, Durban, South Africa. pp.023-028, ⟨10.2112/SI70-005.1⟩

Communication dans un congrès hal-00917807v1
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Monte Carlo simulations in media with interfaces

Antoine Lejay , Sylvain Maire , Géraldine Pichot

Interplay of Theory and Numerics for Deterministic and Stochastic Homogenization, Mathematisches Forschungsinstitut Oberwolfach, Mar 2013, Oberwolfach, Germany. pp.38-30, ⟨10.4171/OWR/2013/14⟩

Communication dans un congrès hal-00819900v1
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On Weak Approximation of Stochastic Differential Equations with Discontinuous Drift Coefficient

Arturo Kohatsu-Higa , Antoine Lejay , Kazuhiro Yasuda

Mathematical Economics, Oct 2011, Kyoto, Japan. pp.94-106

Communication dans un congrès hal-00670123v1

Perturbation of linear rough differential equations and applications

Antoine Lejay

Rough Paths and PDEs, Aug 2012, Oberwolfach, Germany. ⟨10.4171/OWR/2012/41⟩

Communication dans un congrès hal-00760588v1

Comparison of some Lagrangian schemes for the simulation of diffusion in discontinuous media

Jocelyne Erhel , Antoine Lejay , Géraldine Pichot

Mamern 2011, May 2011, Saidia, Morocco. pp.319-322

Communication dans un congrès hal-00642194v1
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Monte Carlo methods for discontinuous media

Antoine Lejay

3rd International Conference on Approximation Methods and numerical Modeling in Environment and Natural Resources MAMERN 2009, Jun 2009, Pau, France. pp.591-596

Communication dans un congrès inria-00393738v1
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Simulation of exit times and positions for Brownian motions and Diffusions

Madalina Deaconu , Antoine Lejay

ICIAM 2007, 6th International Congress on Industrial and Applied Mathematics, International Council for Industrial and Applied Mathematics (ICIAM), Jul 2007, Zurich, Switzerland. pp.1081401-1081402, ⟨10.1002/pamm.200700564⟩

Communication dans un congrès inria-00348693v1
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Rough paths: an introduction using classical analysis

Antoine Lejay

Numerical Nalaysus abd Applied Mathematics (ICNAAM), Sep 2007, Corfou, Greece. pp.339--342

Communication dans un congrès inria-00200339v1
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A probabilistic interpretation of the transmission conditions using the Skew Brownian motion

Antoine Lejay

Multi Scale problems and asymptotic analysis - Narvik Midnight Sun Conference 2004, European Research Training Network Homogenization and Multiple Scales (HMS2000)., 2004, Narvik Norvège

Communication dans un congrès inria-00092418v1
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On the Importance of the Levy Area for Studying the Limits of Functions of Converging Stochastic Processes. Application to Homogenization

Antoine Lejay , Terry J. Lyons

Current Trends in Potential Theory, 2003, Bucarest

Communication dans un congrès inria-00092419v1
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Monte Carlo methods for fissured porous media: a gridless approach

Antoine Lejay

IV IMACS Seminar on Monte Carlo Methods, Sep 2003, Berlin, pp.385-292

Communication dans un congrès inria-00102181v1
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Weak solution of semi-linear PDE, BSDE and homogenization

Antoine Lejay

Monte Carlo and probabilistic methods for partial differential equations (Monte Carlo, 2000), 2000, Monte Carlo, pp.262-272

Communication dans un congrès inria-00101706v1
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A Monte Carlo Method to Compute the exchange coefficient in the double porosity model

Fabien Campillo , Antoine Lejay

Monte Carlo and probabilistic methods for partial differential equations (Monte Carlo, 2000), 2000, Monte Carlo, pp.65-72

Communication dans un congrès inria-00101707v1
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Modèles de couplage aléatoire sur un graphe d’interaction

Nicolas Lengert , Madalina Deaconu , Antoine Lejay , Pascal Moyal

[Rapport de recherche] Institut Elie Cartan de Lorraine. 2020

Rapport (rapport de recherche) hal-03450260v1
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Asymmetric Spectral clustering

Antoine Lejay

[Technical Report] Inria Nancy - Grand Est. 2019

Rapport (rapport technique) hal-02372570v1
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Data and methods for A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data

Antoine Lejay , Paolo Pigato

[Technical Report] RT-0494, Inria Nancy - Grand Est; Weierstrass Institute. 2017, pp.1-24

Rapport (rapport technique) hal-01668975v3

Méthodes de calcul de la Value-at-Risk et de la Conditional Value-at-Risk

Nicolas Champagnat , Madalina Deaconu , Antoine Lejay

[Contrat] Inria Nancy - Grand Est (Villers-lès-Nancy, France). 2016

Rapport (rapport contrat/projet) hal-01305032v1
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One-dimensional skew diffusions: explicit expressions of densities and resolvent kernels

Antoine Lejay , Lionel Lenôtre , Géraldine Pichot

[Research Report] Inria Rennes - Bretagne Atlantique; Inria Nancy - Grand Est. 2015

Rapport (rapport de recherche) hal-01194187v2

Analyse de dépendance d'actifs financiers par la méthode des copules

Nicolas Champagnat , Madalina Deaconu , Antoine Lejay , Akram Bedoui

[Contract] Inria. 2015, pp.61

Rapport (rapport contrat/projet) hal-01114790v1
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Estimation of the mean residence time in cells surrounded by semi-permeable membranes by a Monte Carlo method

Antoine Lejay

[Research Report] RR-8709, Inria Nancy - Grand Est (Villers-lès-Nancy, France); INRIA. 2015

Rapport (rapport de recherche) hal-01140960v2
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Numerical approximation of Backward Stochastic Differential Equations with Jumps

Antoine Lejay , Ernesto Mordecki , Soledad Torres

[Research Report] RR-8595, INRIA. 2014, pp.32

Rapport (rapport de recherche) inria-00357992v4

Mesure de risques : calcul de la Value-at-Risk et application à la gestion de portefeuilles

Souhail Boukherouaa , Nicolas Champagnat , Madalina Deaconu , Antoine Lejay

[Contrat] non spécifié. 2013, pp.77

Rapport (rapport contrat/projet) hal-00780460v1

Mesure de risque : détection du régime de crise et calcul de la Value-at-Risk

Nicolas Champagnat , Madalina Deaconu , Antoine Lejay , Khaled Salhi

[Contrat] non précisé. 2013, pp.67

Rapport (rapport contrat/projet) hal-00942009v1
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exitbm: a library for simulating Brownian motion's exit times and positions from simple domains

Antoine Lejay

[Technical Report] RT-0402, INRIA. 2011, pp.26

Rapport (rapport technique) inria-00561409v2

Sur le problème de la stratégie optimale de couverture d'une centrale électrique

Madalina Deaconu , Antoine Lejay , Samuel Herrmann

[Contrat] 2010

Rapport (rapport contrat/projet) hal-00768303v1

Problème d'éclatement de tuyaux : approches Monte Carlo

Madalina Deaconu , Antoine Lejay

[Contrat] 2010

Rapport (rapport contrat/projet) hal-00768371v1

Méthodes de réduction de variance originales et de simulation exacte de prix et de grecques en finance

Aymen Bergaoui , Madalina Deaconu , Mohamed Zied Ghazai , Ines Henrichi , Samuel Herrmann et al.

[Contrat] 2009

Rapport (rapport contrat/projet) hal-00768376v1
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A Monte Carlo Method without Grid to Compute the Exchange Coefficient in the Double Porosity Model Part I : From the Matrix to the Fissures

Fabien Campillo , Antoine Lejay

[Research Report] RR-4048, INRIA. 2000, pp.28

Rapport (rapport de recherche) inria-00072590v1
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Approche probabiliste de l'homogénéisation des opérateurs sous forme divergence en milieu périodique

Antoine Lejay

RR-3569, INRIA. 1998

Rapport inria-00073112v1
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The Girsanov theorem without (so much) stochastic analysis

Antoine Lejay

Donati-Martin, Catherine; Lejay, Antoine; Rouault, Alain. Séminaire de Probabilités XLIX, 2215, Springer-Nature, 2018, 978-3-319-92419-9. ⟨10.1007/978-3-319-92420-5_8⟩

Chapitre d'ouvrage hal-01498129v3
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Global solutions to rough differential equations with unbounded vector fields

Antoine Lejay

Catherine Donati-Martin and Antoine Lejay and Alain Rouault. Séminaire de Probabilités XLIV, 2046, Springer, pp.215-246, 2012, Lecture Notes in Mathemics, 978-3-642-27460-2. ⟨10.1007/978-3-642-27461-9_11⟩

Chapitre d'ouvrage istex inria-00451193v3
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Matrices aléatoires: Statistique asymptotique des valeurs propres

Leonid Pastur , Antoine Lejay

J. Azéma; M. Émery; M. Ledoux; M. Yor. Séminaire de Probabilités XXXVI, 1801 (1801), Springer Berlin / Heidelberg, pp.135-164, 2004, Lecture Notes in Mathematics, 978-3-540-00072-3. ⟨10.1007/b10068⟩

Chapitre d'ouvrage inria-00102375v1
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An Introduction to Rough Paths

Antoine Lejay

J. Azéma; M. Ledoux; M. Emery; M. Yor. Seminaire de Probabilités XXXVII, 1832 (1832), Springer Berlin / Heidelberg, pp.1-59, 2003, Lecture Notes in Mathematics, 978-3-540-20520-3. ⟨10.1007/b94376⟩

Chapitre d'ouvrage inria-00102184v1