Laurent Denis

Présentation

Publications

Article dans une revue (12)

LAMN property for stable-Lévy SDEs with constant scale coefficient Alexandre Brouste,Laurent Denis,Thi-Bao-Trâm Ngô Bernoulli, 2025, 31 (3), ⟨10.3150/24-BEJ1794⟩ Article dans une revue hal-04348383v4
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-04449583v2
Continuity problem for BSDE and IPDE with singular terminal condition Dorian Cacitti-Holland,Laurent Denis,Alexandre Popier Journal of Mathematical Analysis and Applications, 2023, 543 (1), pp.128845. ⟨10.1016/j.jmaa.2024.128845⟩ Article dans une revue hal-04193355v2
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-03040517v1
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-01585973v1
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-03687223v1
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-03687270v1
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-02370116v1
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-00781430v1
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-03687252v1
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-00377800v1
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-00296582v3

Pré-publication, Document de travail (7)

Malliavin calculcus for a Hawkes process. Alexandre Popier,Laurent Denis,Dorian Cacitti-Holland 2025 Pré-publication, Document de travail hal-05332048v1
Malliavin derivative and sensitivity for optimal liquidation Alexandre Popier,Laurent Denis,Dorian Cacitti-Holland 2025 Pré-publication, Document de travail hal-05072816v1
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-05397667v1
Supplement to &quot;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-04554545v3
Second order BSDEs with jumps by measurable selection argument Laurent Denis,Anis Matoussi,Chao Zhou 2024 Pré-publication, Document de travail hal-04822047v1
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-04312929v1
Utility functions and optimal investment in non-dominated models Laurent Denis,Magali Kervarec 2007 Pré-publication, Document de travail hal-00371215v1