Sylvain Rubenthaler
Title
Cited by
Cited by
Year
Global solvability of a networked integrate-and-fire model of McKean–Vlasov type
F Delarue, J Inglis, S Rubenthaler, E Tanré
The Annals of Applied Probability 25 (4), 2096-2133, 2015
892015
Particle systems with a singular mean-field self-excitation. Application to neuronal networks
F Delarue, J Inglis, S Rubenthaler, E Tanré
Stochastic Processes and their Applications 125 (6), 2451-2492, 2015
692015
Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process
S Rubenthaler
Stochastic processes and their applications 103 (2), 311-349, 2003
632003
Stability and uniform particle approximation of nonlinear filters in case of non ergodic signals
N Oudjane, S Rubenthaler
Stochastic Analysis and applications 23 (3), 421-448, 2005
622005
Path storage in the particle filter
PE Jacob, LM Murray, S Rubenthaler
Statistics and Computing 25 (2), 487-496, 2015
512015
Tree based functional expansions for Feynman–Kac particle models
P Del Moral, F Patras, S Rubenthaler
The Annals of Applied Probability 19 (2), 778-825, 2009
282009
Optimal hedging in discrete time
B Rémillard, S Rubenthaler
Quantitative Finance 13 (6), 819-825, 2013
222013
Derivative-free estimation of the score vector and observed information matrix with application to state-space models
A Doucet, PE Jacob, S Rubenthaler
arXiv preprint arXiv:1304.5768, 2013
192013
Fast simulated annealing in Rd with an application to maximum likelihood estimation in state-space models
S Rubenthaler, T Rydén, M Wiktorsson
Stochastic Processes and their Applications 119 (6), 1912-1931, 2009
182009
Monte Carlo approximations of American options that preserve monotonicity and convexity
P Del Moral, B Rémillard, S Rubenthaler
Numerical Methods in Finance, 115-143, 2012
152012
Optimal hedging in discrete and continuous time
B Rémillard, S Rubenthaler
Available at SSRN 1522090, 2009
142009
Monte Carlo approximations of American options
P Del Moral, B Rémillard, S Rubenthaler
Technical report, GERAD, 2006
132006
Discrete time Markovian agents interacting through a potential
A Budhiraja, P Del Moral, S Rubenthaler
ESAIM: Probability and Statistics 17, 614-634, 2013
92013
A mean field theory of nonlinear filtering
P Del Moral, F Patras, S Rubenthaler
82008
First hitting times for general non-homogeneous 1d diffusion processes: density estimates in small time
F Delarue, J Inglis, S Rubenthaler, E Tanré
72013
The convergence to equilibrium of neutral genetic models
PD Moral, L Miclo, F Patras, S Rubenthaler
Stochastic analysis and applications 28 (1), 123-143, 2009
72009
Une introduction aux probabilités
P Del Moral, B Rémillard, S Rubenthaler
Ellipses, 2006
72006
Convergence of U-statistics for interacting particle systems
P Del Moral, F Patras, S Rubenthaler
Journal of Theoretical Probability 24 (4), 1002, 2011
62011
Misspecified filtering theory applied to optimal allocation problems in finance
M Martinez, S Rubenthaler, E Tanré
Preprint, 2006
62006
Option pricing and hedging for regime-switching geometric Brownian motion models
B Remillard, S Rubenthaler
Available at SSRN 2599064, 2016
52016
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Articles 1–20