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Noufel Frikha
Noufel Frikha
Professor of mathematics, Université Paris 1 Panthéon Sorbonne
Verified email at univ-paris1.fr
Title
Cited by
Cited by
Year
Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling
O Bardou, N Frikha, G Pages
Walter de Gruyter GmbH & Co. KG 15 (3), 173-210, 2009
3042009
Well-posedness for some non-linear SDEs and related PDE on the Wasserstein space
PEC de Raynal, N Frikha
Journal de Mathématiques Pures et Appliquées 159, 1-167, 2022
59*2022
Concentration bounds for stochastic approximations
N Frikha, S Menozzi
532012
Transport-entropy inequalities and deviation estimates for stochastic approximation schemes
M Fathi, N Frikha
282013
From the backward Kolmogorov PDE on the Wasserstein space to propagation of chaos for McKean-Vlasov SDEs
PEC de Raynal, N Frikha
Journal de Mathématiques Pures et Appliquées 156, 1-124, 2021
262021
On the weak approximation of a skew diffusion by an Euler-type scheme
N Frikha
Bernoulli 24 (3), 1653-1691, 2018
252018
Multi-level stochastic approximation algorithms
N Frikha
Annals of Applied Probability 26 (2), 933-985, 2016
252016
Well-posedness of some non-linear stable driven SDEs
N Frikha, V Konakov, S Menozzi
Discrete and Continuous Dynamical Systems 41 (2), 849-898, 2021
212021
Joint modelling of gas and electricity spot prices
N Frikha, V Lemaire
Applied Mathematical Finance 20 (1), 69-93, 2013
192013
CVaR HEDGING USING QUANTIZATION‐BASED STOCHASTIC APPROXIMATION ALGORITHM
O Bardou, N Frikha, G Pagès
Mathematical Finance 26 (1), 184-229, 2016
172016
Integration by parts formula for killed processes: a point of view from approximation theory
N Frikha, A Kohatsu-Higa, L Li
152019
Recursive computation of value-at-risk and conditional value-at-risk using MC and QMC
O Bardou, N Frikha, G Pages
Monte Carlo and Quasi-Monte Carlo Methods 2008, 193-208, 2009
132009
A learning scheme by sparse grids and Picard approximations for semilinear parabolic PDEs
JF Chassagneux, J Chen, N Frikha, C Zhou
IMA Journal of Numerical Analysis 43 (5), 3109-3168, 2023
112023
Weak uniqueness and density estimates for SDEs with coefficients depending on some path-functionals
N Frikha, L Li
112020
Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs
N Frikha, L Li
Stochastic Processes and their Applications 132, 76-107, 2021
102021
Shortfall risk minimization in discrete time financial market models
N Frikha
SIAM Journal on Financial Mathematics 5 (1), 384-414, 2014
82014
A multi-step richardson–romberg extrapolation method for stochastic approximation
N Frikha, L Huang
Stochastic Processes and their Applications 125 (11), 4066-4101, 2015
72015
Actor-Critic learning for mean-field control in continuous time
N Frikha, M Germain, M Laurière, H Pham, X Song
arXiv preprint arXiv:2303.06993, 2023
62023
On the first hitting times of one dimensional elliptic diffusions
N Frikha, A Kohatsu-Higa, L Li
arXiv preprint arXiv:1609.09327, 2016
62016
Quantization based recursive importance sampling
N Frikha, A Sagna
Monte Carlo Methods and Applications 18 (4), 287-326, 2012
52012
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