Access content directly

Ludovic Goudenège

Full researcher in Mathematics at French National Center for Scientific Research (CNRS)
34
Documents
Current affiliations
  • 1043719
Researcher identifiers

Research domains

Analysis of PDEs [math.AP] Numerical Analysis [math.NA] Probability [math.PR]

Publications

Image document

Likelihood-based non-Markovian models from molecular dynamics

Hadrien Vroylandt , Ludovic Goudenège , Pierre Monmarché , Fabio Pietrucci , Benjamin Rotenberg
Proceedings of the National Academy of Sciences of the United States of America, 2022, 119 (13), ⟨10.1073/pnas.2117586119⟩
Journal articles hal-03621742v1

Moving average options: Machine learning and Gauss-Hermite quadrature for a double non-Markovian problem

Ludovic Goudenège , Andrea Molent , Antonino Zanette
European Journal of Operational Research, 2022, 303 (2), pp.958-974. ⟨10.1016/j.ejor.2022.03.002⟩
Journal articles hal-03810106v1
Image document

Numerical and convergence analysis of the stochastic Lagrangian averaged Navier-Stokes equations

Jad Doghman , Ludovic Goudenège
Journal of Computational and Applied Mathematics, 2022, ⟨10.1016/j.cam.2022.114446⟩
Journal articles hal-03406041v3

Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate

Ludovic Goudenège , Andrea Molent , Antonino Zanette
Decisions in Economics and Finance, 2021, 44 (1), pp.26. ⟨10.1007/s10203-020-00287-7⟩
Journal articles hal-03013603v1
Image document

Stochastic phase field $\alpha$-Navier-Stokes vesicle-fluid interaction model.

Ludovic Goudenège , Luigi Manca
Journal of Mathematical Analysis and Applications, 2021, 496 (1), ⟨10.1016/j.jmaa.2020.124805⟩
Journal articles hal-01972807v1
Image document

Revisiting the framework for intermittency in Lagrangian stochastic models for turbulent flows: a way to an original and versatile numerical approach

Roxane Letournel , Ludovic Goudenège , Rémi Zamansky , Aymeric Vié , Marc Massot
Physical Review E : Statistical, Nonlinear, and Soft Matter Physics, 2021, 104, pp.015104. ⟨10.1103/PhysRevE.104.015104⟩
Journal articles hal-03177667v1
Image document

Ergodicity of stochastic Cahn-Hilliard equations with logarithmic potentials driven by degenerate or nondegenerate noises

Ludovic Goudenège , Bin Xie
Journal of Differential Equations, 2020, 269 (9), pp.6988-7014. ⟨10.1016/j.jde.2020.04.047⟩
Journal articles hal-03101180v1

Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models

Ludovic Goudenège , Andrea Molent , Antonino Zanette
Quantitative Finance, 2020, 20 (4), pp.573-591. ⟨10.1080/14697688.2019.1701698⟩
Journal articles hal-03013606v1
Image document

Weak convergence rates of splitting schemes for the stochastic Allen-Cahn equation

Charles-Edouard Bréhier , Ludovic Goudenège
BIT Numerical Mathematics, 2020, ⟨10.1007/s10543-019-00788-x⟩
Journal articles hal-01764290v2
Image document

Computing Credit Valuation Adjustment solving coupled PIDEs in the Bates model

Ludovic Goudenège , Andrea Molent , Antonino Zanette
Computational Management Science, 2020, 17 (2), ⟨10.1007/s10287-020-00365-6⟩
Journal articles hal-01873346v1

Pricing and hedging GMWB in the Heston and in the Black–Scholes with stochastic interest rate models

Ludovic Goudenège , Andrea Molent , Antonino Zanette
Computational Management Science, 2019, 16 (1-2), pp.217-248. ⟨10.1007/s10287-018-0304-2⟩
Journal articles hal-01940715v1
Image document

ANALYSIS OF SOME SPLITTING SCHEMES FOR THE STOCHASTIC ALLEN-CAHN EQUATION

Charles-Edouard Bréhier , Ludovic Goudenège
Discrete and Continuous Dynamical Systems - Series B, 2019, ⟨10.3934/dcdsb.2019077⟩
Journal articles hal-01688333v1
Image document

Statistical and probabilistic modeling of a cloud of particles coupled with a turbulent fluid

Ludovic Goudenège , Adam Larat , Julie Llobell , Marc Massot , David Mercier
ESAIM: Proceedings and Surveys, 2018, 65, pp.401-424. ⟨10.1051/proc/201965401⟩
Journal articles hal-01884814v1
Image document

Numerical methods for piecewise deterministic Markov processes with boundary

Christiane Cocozza-Thivent , Robert Eymard , Ludovic Goudenège , Michel Roussignol
IMA Journal of Numerical Analysis, 2017, 37 (1), pp.170-208. ⟨10.1093/imanum/drv069⟩
Journal articles hal-00917203v1

Pricing and hedging GLWB in the Heston and in the Black–Scholes with stochastic interest rate models

Ludovic Goudenège , Molent Andrea , Antonino Zanette
Insurance: Mathematics and Economics, 2016, 70, pp.38-57. ⟨10.1016/j.insmatheco.2016.05.018⟩
Journal articles hal-01390968v1
Image document

Unbiasedness of some generalized adaptive multilevel splitting algorithms

Charles-Edouard Bréhier , Maxime Gazeau , Ludovic Goudenège , Tony Lelièvre , Mathias Rousset
The Annals of Applied Probability, 2016, 26 (6), pp.3559 - 3601. ⟨10.1214/16-AAP1185⟩
Journal articles hal-01142704v1
Image document

Central Limit Theorem for Adaptative Multilevel Splitting Estimators in an Idealized Setting

Charles-Edouard Bréhier , Ludovic Goudenège , Loic Tudela
Springer Proceedings in Mathematics & Statistics, 2016, Monte Carlo and Quasi-Monte Carlo Methods: MCQMC, Leuven, Belgium, April 2014, 163, pp.245--260. ⟨10.1007/978-3-319-33507-0_10⟩
Journal articles hal-01074155v1
Image document

A Wright-Fisher model with indirect selection

Ludovic Goudenège , Pierre-André Zitt
Journal of Mathematical Biology, 2015, 71 (6), pp.1411-1450. ⟨10.1007/s00285-015-0859-2⟩
Journal articles hal-00925744v3
Image document

Asymptotic properties of stochastic Cahn–Hilliard equation with singular nonlinearity and degenerate noise

Ludovic Goudenège , Luigi Manca
Stochastic Processes and their Applications, 2015, 125 (10), pp.3785 - 3800. ⟨10.1016/j.spa.2015.05.006⟩
Journal articles hal-01092481v1

Analysis and simulation of rare events for SPDEs

Charles-Edouard Bréhier , Maxime Gazeau , Ludovic Goudenège , Mathias Rousset
ESAIM: Proceedings and Surveys, 2015, 48, pp.364-384. ⟨10.1051/proc/201448017⟩
Journal articles hal-02746493v1
Image document

Numerical methods for piecewise deterministic Markov processes with boundary

Ludovic Goudenège
ESAIM: Proceedings and Surveys, 2014, 45, pp.338-348
Journal articles hal-01902024v1
Image document

High order finite element calculations for the deterministic Cahn-Hilliard equation

Ludovic Goudenège , Daniel Martin , Grégory Vial
Journal of Scientific Computing, 2012, 52 (2), pp.294-321. ⟨10.1007/s10915-011-9546-7⟩
Journal articles hal-00461231v1
Image document

Stochastic Cahn-Hilliard equation with double singular nonlinearities and two reflections

Arnaud Debussche , Ludovic Goudenège
SIAM Journal on Mathematical Analysis, 2011, 43 (3), pp.1473-1494. ⟨10.1137/090769636⟩
Journal articles hal-00411599v1
Image document

Stochastic Cahn-Hilliard equation with singular nonlinearity and reflection

Ludovic Goudenège
Stochastic Processes and their Applications, 2009, 119 (10), pp.3516-3548. ⟨10.1016/j.spa.2009.06.008⟩
Journal articles hal-00336601v1
Image document

Variance Reduction Applied to Machine Learning for Pricing Bermudan/American Options in High Dimension

Ludovic Goudenège , Andrea Molent , Antonino Zanette
Oleg Kudryavtsev; Antonino Zanette. Applications of Lévy Processes, Nova Science Publishers, 2021, 978-1-53619-525-5
Book sections hal-03524108v1
Image document

Quelques résultats sur l'équation de Cahn-Hilliard stochastique et déterministe

Ludovic Goudenège
Mathématiques [math]. École normale supérieure de Cachan - ENS Cachan, 2009. Français. ⟨NNT : ⟩
Theses tel-00439022v1