Mohamed Ben Alaya

Présentation

Publications

Article dans une revue (8)

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
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
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
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
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
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

Pré-publication, Document de travail (12)

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
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
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
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
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 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
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
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
Importance Sampling and Statistical Romberg method Mohamed Ben Alaya,Kaouther Hajji,Ahmed Kebaier 2013 Pré-publication, Document de travail hal-00812455v1
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
Parameter Estimation for the Square-root Diffusions : Ergodic and Nonergodic Cases Mohamed Ben Alaya,Ahmed Kebaier 2010 Pré-publication, Document de travail hal-00579644v1

Thèse (1)

Les théorèmes ergodiques en simulation Mohamed Ben Alaya Sciences de la Terre. Ecole Nationale des Ponts et Chaussées, 1992. Français. ⟨NNT : ⟩ Thèse tel-00523186v1