Antoine Lejay

Publications

Article dans une revue (65)

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
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
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
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
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
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
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
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 Nichilet al. Methodology and Computing in Applied Probability, 2022, pp.29. ⟨10.1007/s11009-022-09938-1⟩ Article dans une revue hal-03040090v1
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
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
A Recommendation System For Car Insurance Laurent Lesage,Madalina Deaconu,Antoine Lejay,Jorge Augusto Meira,Geoffrey Nichilet al. European Actuarial Journal, 2020, 10, pp.377-398. ⟨10.1007/s13385-020-00236-z⟩ Article dans une revue hal-02420954v2
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
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
Book review &quot;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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
Trajectoires rugueuses Antoine Lejay Matapli, 2012, 98, pp.119-134 Article dans une revue hal-00701211v1
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
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
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
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
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
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
On rough differential equations Antoine Lejay Electronic Journal of Probability, 2009, 14 (12), pp.341-364 Article dans une revue inria-00278246v3
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
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
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
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
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
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
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
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
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
Young integrals and SPDEs Massimiliano Gubinelli,Antoine Lejay,Samy Tindel Potential Analysis, 2006, 25 (4), pp.307-326 Article dans une revue inria-00092425v1
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
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
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
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
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
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
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
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
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
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

Pré-publication, Document de travail (7)

Beyond the delta method Antoine Lejay,Sara Mazzonetto 2025 Pré-publication, Document de travail hal-03738371v4
A Recommendation System For Insurance Built With A Multivariate Hawkes Process Based On Customers' Life Events Laurent Lesage,Madalina Deaconu,Antoine Lejay,Jorge Augusto Meira,Geoffrey Nichilet al. 2024 Pré-publication, Document de travail hal-03483812v2
Rough differential equations with affine boundary conditions Antoine Lejay,Renaud Marty 2023 Pré-publication, Document de travail hal-03626402v3
Measurable sub-Riemannian geometry on the lifted Sierpinski gasket to the Heisenberg group Samia Haraketi,Ezedine Haouala,Antoine Lejay 2018 Pré-publication, Document de travail hal-01927134v1
An empirical analysis of heavy-tails behavior of financial data: The case for power laws Nicolas Champagnat,Madalina Deaconu,Antoine Lejay,Nicolas Navet,Souhail Boukherouaa 2013 Pré-publication, Document de travail hal-00851429v1
Global existence for rough differential equations under linear growth conditions Massimiliano Gubinelli,Antoine Lejay 2009 Pré-publication, Document de travail hal-00384327v1
A short introduction to rough paths: outline and selected bibliography Antoine Lejay 2009 Pré-publication, Document de travail inria-00419931v1

Ouvrages (8)

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 Bouguetet 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

Communication dans un congrès (16)

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
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
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
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
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
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
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
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
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
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
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
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
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
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

Rapport (16)

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
Asymmetric Spectral clustering Antoine Lejay [Technical Report] Inria Nancy - Grand Est. 2019 Rapport (rapport technique) hal-02372570v1
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
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
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
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
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 Herrmannet al. [Contrat] 2009 Rapport (rapport contrat/projet) hal-00768376v1
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
Approche probabiliste de l'homogénéisation des opérateurs sous forme divergence en milieu périodique Antoine Lejay RR-3569, INRIA. 1998 Rapport inria-00073112v1

Autre publication scientifique (1)

La collecte d’histoires de collaborations mathématiques - entreprises réussies Antoine Lejay,Véronique Maume-Deschamps,Christophe Prud'Homme 2020, numéro 123, p. 45-57 Autre publication scientifique hal-04442266v1

Chapitre d'ouvrage (4)

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
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
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
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