| 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 | 269 | 2009 |
| 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 | 65* | 2022 |
| Concentration bounds for stochastic approximations N Frikha, S Menozzi | 51 | 2012 |
| Transport-entropy inequalities and deviation estimates for stochastic approximation schemes M Fathi, N Frikha | 29 | 2013 |
| 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 | 28 | 2021 |
| On the weak approximation of a skew diffusion by an Euler-type scheme N Frikha Bernoulli 24 (3), 1653-1691, 2018 | 26 | 2018 |
| Multi-level stochastic approximation algorithms N Frikha Annals of Applied Probability 26 (2), 933-985, 2016 | 25 | 2016 |
| 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 | 22 | 2021 |
| Joint modelling of gas and electricity spot prices N Frikha, V Lemaire Applied Mathematical Finance 20 (1), 69-93, 2013 | 19 | 2013 |
| CVaR HEDGING USING QUANTIZATION‐BASED STOCHASTIC APPROXIMATION ALGORITHM O Bardou, N Frikha, G Pagès Mathematical Finance 26 (1), 184-229, 2016 | 18 | 2016 |
| Integration by parts formula for killed processes: a point of view from approximation theory N Frikha, A Kohatsu-Higa, L Li Electronic Journal of Probability 24, 1-44, 2019 | 16 | 2019 |
| 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 | 14 | 2009 |
| 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 | 13 | 2023 |
| 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 | 12 | 2023 |
| Weak uniqueness and density estimates for SDEs with coefficients depending on some path-functionals N Frikha, L Li | 12 | 2020 |
| 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 | 10 | 2021 |
| A multi-step richardson–romberg extrapolation method for stochastic approximation N Frikha, L Huang Stochastic Processes and their Applications 125 (11), 4066-4101, 2015 | 8 | 2015 |
| Shortfall risk minimization in discrete time financial market models N Frikha SIAM Journal on Financial Mathematics 5 (1), 384-414, 2014 | 8 | 2014 |
| On the first hitting times of one dimensional elliptic diffusions N Frikha, A Kohatsu-Higa, L Li arXiv preprint arXiv:1609.09327, 2016 | 6 | 2016 |
| Quantization based recursive importance sampling N Frikha, A Sagna Monte Carlo Methods and Applications 18 (4), 287-326, 2012 | 6 | 2012 |
Gilles PagèsProfesseur de mathématiques, Sorbonne UniversiteVerified email at sorbonne-universite.fr
