Mohamed Ben Alaya

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Publications

Central limit theorem for the antithetic multilevel Monte Carlo method

Mohamed Ben Alaya , Ahmed Kebaier , Thi Bao Tram Ngo

The Annals of Applied Probability, 2022, 32 (3), ⟨10.1214/21-AAP1726⟩

Article dans une revue hal-04479483v1

Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model

Matyas Barczy , Mohamed Ben Alaya , Ahmed Kebaier , Gyula Pap

Journal of Statistical Planning and Inference, 2019, 198, pp.139-164. ⟨10.1016/j.jspi.2018.02.002⟩

Article dans une revue hal-02332410v1
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Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations

Matyas Barczy , Mohamed Ben Alaya , Ahmed Kebaier , Gyula Pap

Statistics, 2019, 53 (3), pp.533-568. ⟨10.1080/02331888.2019.1579216⟩

Article dans une revue hal-02332449v1
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Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations

Matyas Barczy , Mohamed Ben Alaya , Ahmed Kebaier , Gyula Pap

Stochastic Processes and their Applications, 2018, 128 (4), pp.1135-1164. ⟨10.1016/j.spa.2017.07.004⟩

Article dans une revue hal-02332281v1
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Central limit theorem for the multilevel Monte Carlo Euler method

Mohamed Ben Alaya , Ahmed Kebaier

The Annals of Applied Probability, 2015, 25 (1), pp.211-234. ⟨10.1214/13-AAP993⟩

Article dans une revue hal-02332484v1
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Asymptotic Behavior of The Maximum Likelihood Estimator For Ergodic and Nonergodic Sqaure-Root Diffusions

Mohamed Ben Alaya , Ahmed Kebaier

Stochastic Analysis and Applications, 2013, http://www.tandfonline.com/doi/full/10.1080/07362994.2013.798175#.U-CT8FFb9zA. ⟨10.1080/07362994.2013.798175⟩

Article dans une revue hal-00640053v1
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On an Extension of Min-Semistable Distributions

Mohamed Ben Alaya , Thierry Huillet , Anna Porzio

Probability and Mathematical Statistics, 2007, 27 (No 2), pp.303-323

Article dans une revue hal-00136135v1

On a functional equation generalizing the class of semistable distributions.

Thierry Huillet , Mohamed Ben Alaya

Annals of the Institute of Statistical Mathematics, 2005, Vol 57, Issue 4, pp.817-831

Article dans une revue hal-00093130v1
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Truncated sequential guaranteed estimation for the Cox-Ingersoll-Ross models

Mohamed Ben Alaya , Thi Bao Trâm Ngô , Serguei Pergamenchtchikov

2025

Pré-publication, Document de travail hal-05014475v1
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Asymptotic properties and drift parameter estimations of the ergodic double Heston model based on continuous-time observations

Mohamed Ben Alaya , Houssem Dahbi , Hamdi Fathallah

2025

Pré-publication, Document de travail (preprint/prepublication) hal-04918344v1
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On Conditional least squares estimation for the AD(1, n) model

Mohamed Ben Alaya , Houssem Dahbi , Hamdi Fathallah

2024

Pré-publication, Document de travail hal-04608845v1
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Optimal guaranteed estimation methods for the Cox - Ingersoll - Ross models

Mohamed Ben Alaya , Tram Ngo , Serguei Pergamenchtchikov

2023

Pré-publication, Document de travail hal-03936795v1
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Asymptotic properties of AD(1, n) model and its maximum likelihood estimator

Mohamed Ben Alaya , Houssem Dahbi , Hamdi Fathallah

2023

Pré-publication, Document de travail hal-04029180v1

Local asymptotic properties for the growth rate of a jump-type CIR process

Mohamed Ben Alaya , Ahmed Kebaier , Gyula Pap , Ngoc Khue Tran

2019

Pré-publication, Document de travail hal-02377621v1

Local asymptotic properties for Cox-Ingersoll-Ross process with discrete observations

Mohamed Ben Alaya , Ahmed Kebaier , Ngoc Khue Tran

2019

Pré-publication, Document de travail hal-02377625v1

Improved adaptive Multilevel Monte Carlo and applications to finance

Mohamed Ben Alaya , Kaouther Hajji , Ahmed Kebaier

2019

Pré-publication, Document de travail hal-02377628v1
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Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model

Matyas Barczy , Mohamed Ben Alaya , Ahmed Kebaier , Gyula Pap

2024

Pré-publication, Document de travail hal-02185354v1
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Importance Sampling and Statistical Romberg method

Mohamed Ben Alaya , Kaouther Hajji , Ahmed Kebaier

2013

Pré-publication, Document de travail hal-00812455v1
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Central Limit Theorem for the Multilevel Monte Carlo Euler Method and Applications to Asian Options

Mohamed Ben Alaya , Ahmed Kebaier

2012

Pré-publication, Document de travail hal-00693191v1
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Parameter Estimation for the Square-root Diffusions : Ergodic and Nonergodic Cases

Mohamed Ben Alaya , Ahmed Kebaier

2010

Pré-publication, Document de travail hal-00579644v1
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Les théorèmes ergodiques en simulation

Mohamed Ben Alaya

Sciences de la Terre. Ecole Nationale des Ponts et Chaussées, 1992. Français. ⟨NNT : ⟩

Thèse tel-00523186v1