Ludovic Goudenège Chargé de Recherche CNRS - section 41 Mathématiques

Identifiants chercheurs

IdHAL :

ludovic-goudenege

ORCID :

0000-0002-6449-5888

IdRef :

221524908

arXiv :

goudenege_l_1

ResearcherID :

Q-9485-2018

Publications

Article dans une revue (27)

Convergence of the stochastic Navier-Stokes-α solutions toward the stochastic Navier-Stokes solutions Jad Doghman,Ludovic Goudenège Applied Mathematics and Optimization, 2025, 91 (32), ⟨10.1007/s00245-025-10228-8⟩ Article dans une revue hal-03794814v1
Numerical approximation of SDEs with fractional noise and distributional drift Ludovic Goudenège,El Mehdi Haress,Alexandre Richard Stochastic Processes and their Applications, 2025, 181, ⟨10.1016/j.spa.2024.104533⟩ Article dans une revue hal-03715427v3
Backward hedging for American options with transaction costs Ludovic Goudenège,Andrea Molent,Antonino Zanette Decisions in Economics and Finance, 2024, ⟨10.1007/s10203-024-00472-y⟩ Article dans une revue hal-04826888v1
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⟩ Article dans une revue hal-03810106v1
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⟩ Article dans une revue hal-03621742v1
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⟩ Article dans une revue hal-03406041v3
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⟩ Article dans une revue hal-01972807v1
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⟩ Article dans une revue hal-03013603v1
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 [2001-2015], 2021, 104, pp.015104. ⟨10.1103/PhysRevE.104.015104⟩ Article dans une revue hal-03177667v1
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⟩ Article dans une revue hal-01873346v1
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⟩ Article dans une revue hal-01764290v2
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⟩ Article dans une revue 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⟩ Article dans une revue hal-03013606v1
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⟩ Article dans une revue hal-01688333v1
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⟩ Article dans une revue hal-01940715v1
Statistical and probabilistic modeling of a cloud of particles coupled with a turbulent fluid Ludovic Goudenège,Adam Larat,Julie Llobell,Marc Massot,David Mercieret al. ESAIM: Proceedings and Surveys, 2018, 65, pp.401-424. ⟨10.1051/proc/201965401⟩ Article dans une revue hal-01884814v1
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⟩ Article dans une revue 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⟩ Article dans une revue hal-01390968v1
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⟩ Article dans une revue hal-01074155v1
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⟩ Article dans une revue hal-01142704v1
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⟩ Article dans une revue hal-01092481v1
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⟩ Article dans une revue hal-00925744v3
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⟩ Article dans une revue hal-02746493v1
Numerical methods for piecewise deterministic Markov processes with boundary Ludovic Goudenège ESAIM: Proceedings and Surveys, 2014, 45, pp.338-348 Article dans une revue hal-01902024v1
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⟩ Article dans une revue hal-00461231v1
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⟩ Article dans une revue hal-00411599v1
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⟩ Article dans une revue hal-00336601v1

Communication dans un congrès (3)

Energy estimate of a Discrete Duality Finite Volume scheme for a phase-field model with surfactants Margherita Castellano,Ludovic Goudenège,Flore Nabet DD29 - 29th International Conference on Domain Decomposition Methods, Jun 2025, Milan, Italy Communication dans un congrès hal-05473939v1
Exploring differences in second order statistics for the simulation of multi-scale atomization process Alberto Remigi,Petar Tomov,Marc Massot,Ludovic Goudenège,F.X. Demoulinet al. 11th International Conference on Multiphase Flow (ICMF 2023), Apr 2023, Kobe, Japan Communication dans un congrès hal-05016677v1
Numerical scheme for a coupled system in geomechanics Adrien Beguinet,Danielle Hilhorst,Ludovic Goudenège InterPore2021, Interpore, the International Society for Porous Media, 2021, Online, France Communication dans un congrès hal-05294974v1

Chapitre d'ouvrage (1)

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. ⟨10.48550/arXiv.1903.11275⟩ Chapitre d'ouvrage hal-03524108v1

Pré-publication, Document de travail (6)

Numerical approximation of the stochastic heat equation with a distributional reaction term Ludovic Goudenège,El Mehdi Haress,Alexandre Richard 2024 Pré-publication, Document de travail hal-04575542v1
Backward Hedging for American Options with Transaction Costs Ludovic Goudenège,Andrea Molent,Antonino Zanette 2023 Pré-publication, Document de travail hal-04308637v1
A New Non-Linear Density Fluctuations Stochastic Partial Differential Equation With a Singular Coefficient of Relevance to Polymer Dynamics and Rheology Ludovic Goudenège,Liviu Iulian Palade 2023 Pré-publication, Document de travail hal-04308655v1
Computing XVA for American basket derivatives by Machine Learning techniques Ludovic Goudenège,Andrea Molent,Antonino Zanette 2022 Pré-publication, Document de travail hal-04308564v1
$\alpha$-Navier-Stokes equation perturbed by space-time noise of trace class Ludovic Goudenège,Luigi Manca 2020 Pré-publication, Document de travail hal-02615640v1
Analysis and simulation of rare events for SPDE Charles-Edouard Bréhier,Maxime Gazeau,Ludovic Goudenège,Mathias Rousset 2014 Pré-publication, Document de travail hal-00921680v1

Thèse (1)

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 : ⟩ Thèse tel-00439022v1

Cours (1)

Partial and Stochastic Differential Equations: Theoretical and Numerical Aspects Ludovic Goudenège,Adam Larat Doctoral. France. 2014 Cours hal-02459966v1