Laurent Denis

19
Documents

Présentation

Publications

Publications

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Growth condition on the generator of BSDE with singular terminal value ensuring continuity up to terminal time

Dorian Cacitti-Holland , Laurent Denis , Alexandre Popier
Stochastic Processes and their Applications, 2024, ⟨10.1016/j.spa.2025.104588⟩
Article dans une revue hal-04449583 v2
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Quasilinear Stochastic PDEs with two obstacles: Probabilistic approach

Laurent Denis , Anis Matoussi , Jing Zhang
Stochastic Processes and their Applications, 2021, ⟨10.1016/j.spa.2020.11.002⟩
Article dans une revue hal-03040517 v1
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DUALITY AND GENERAL EQUILIBRIUM THEORY UNDER KNIGHTIAN UNCERTAINTY *

Patrick Beissner , Laurent Denis
SIAM Journal on Financial Mathematics, 2018, ⟨10.1137/17M1120877⟩
Article dans une revue hal-01585973 v1

Malliavin calculus for Markov chains using perturbations of time

Laurent Denis , Tuyet Mai Nguyen
Stochastics: An International Journal of Probability and Stochastic Processes, 2016, 88 (6), pp.813-840. ⟨10.1080/17442508.2016.1148150⟩
Article dans une revue hal-03687223 v1

The obstacle problem for quasilinear stochastic PDEs with non-homogeneous operator

Laurent Denis , Anis Matoussi , Jing Zhang
Discrete and Continuous Dynamical Systems - Series A, 2015, 35 (11), pp.5185-5202. ⟨10.3934/dcds.2015.35.5185⟩
Article dans une revue hal-03687270 v1

The existence and uniqueness result for quasilinear stochastic PDEs with obstacle under weaker integrability conditions

Laurent Denis , Anis Matoussi , Jing Zhang
Stochastics and Dynamics, 2015, 15 (04), pp.1550023. ⟨10.1142/S0219493715500239⟩
Article dans une revue hal-02370116 v1
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Chaotic extensions and the lent particle method for Brownian motion

Nicolas Bouleau , Laurent Denis
Electronic Journal of Probability, 2013, 18 (none), ⟨10.1214/ejp.v18-1838⟩
Article dans une revue hal-03687252 v1
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Iteration of the lent particle method for existence of smooth densities of Poisson functionals

Nicolas Bouleau , Laurent Denis
Potential Analysis, 2013, 38 (1), pp.169-205. ⟨10.1007/s11118-011-9269-2⟩
Article dans une revue hal-00781430 v1
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Application of the lent particle method to Poisson driven SDE's

Nicolas Bouleau , Laurent Denis
Probability Theory and Related Fields, 2010, ⟨10.1007/s00440-010-0303-x⟩
Article dans une revue hal-00377800 v1
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Energy image density property and the lent particle method for Poisson measures

Nicolas Bouleau , Laurent Denis
Journal of Functional Analysis, 2009, ⟨10.1016/j.jfa.2009.03.004⟩
Article dans une revue hal-00296582 v3
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Malliavin calculcus for a Hawkes process.

Alexandre Popier , Laurent Denis , Dorian Cacitti-Holland
2025
Pré-publication, Document de travail hal-05332048 v1
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Malliavin derivative and sensitivity for optimal liquidation

Alexandre Popier , Laurent Denis , Dorian Cacitti-Holland
2025
Pré-publication, Document de travail hal-05072816 v1
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Stochastic PDEs driven by G-Brownian motion and the associated Backward Doubly Stochastic Differential Equations

Laurent Denis , Jing Zhang
2025
Pré-publication, Document de travail hal-05397667 v1
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LAMN property for stable-Lévy SDEs with constant scale coefficient

Alexandre Brouste , Laurent Denis , Trâm Thi-Bao Ngô
2024
Pré-publication, Document de travail hal-04348383 v4
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Supplement to "LAMN property for stable-Lévy SDEs with constant scale coefficient

Alexandre Brouste , Laurent Denis , Thi-Bao-Trâm Ngô
2024
Pré-publication, Document de travail hal-04554545 v3
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Second order BSDEs with jumps by measurable selection argument

Laurent Denis , Anis Matoussi , Chao Zhou
2024
Pré-publication, Document de travail hal-04822047 v1
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Continuity problem for BSDE and IPDE with singular terminal condition

Dorian Cacitti-Holland , Laurent Denis , Alexandre Popier
2025
Pré-publication, Document de travail hal-04193355 v2
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A Life-Cycle Model with health spending and endogenous life time

Laurent Denis , Xavier Fairise , Ze Zhong Shang
2023
Pré-publication, Document de travail (working paper) hal-04312929 v1
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Utility functions and optimal investment in non-dominated models

Laurent Denis , Magali Kervarec
2007
Pré-publication, Document de travail hal-00371215 v1