Université Paris Diderot (P7) Laboratoire de Probabilités et Modèles Aléatoires

Noufel Frikha

Maître de conférences à l'Université Paris VII, Denis Diderot

LPMA UMR 7599
Bâtiment Sophie Germain, 5 rue Thomas Mann, 75205 Paris CEDEX 13
Bureau 541
75013 Paris
phone: (+33)(0) 1 57 27 91 33
e-mail: frikha "abracadabra" math.univ-paris-diderot.fr
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Scientific Interests


Dilbert.com

Teaching

(2010--2011). A l'Ecole Nationale de la Statistique et de l'Administration Economique :

(2011--2012). A l'Ecole Polytechnique :

(2012--). Master ISIFAR, Paris VII :


Publications in refereed journals & Preprints

  1. with A. Kohatsu-Higa and L. Li (2016): On the first hitting times of one dimensional elliptic diffusions, (arXiv), 41 pages, submitted.
  2. (2016): On the weak approximation of a skew diffusion by an Euler-type scheme, (arXiv), accepted for publication in (Bernoulli), 28 pages.
  3. with A. Kohatsu-Higa (2015): A Parametrix approach for asymptotic expansion of Markov semigroups with applications to multi-dimensional diffusion processes, 50 pages, submitted.
  4. with L. Huang (2014): A multi-step richardson-romberg extrapolation method for stochastic approximation, (arXiv), (Stochastic Processes and their Applications), Volume 125, Issue 11, November 2015, 4066-4101.
  5. (2013): Multi-level stochastic approximation algorithms, (Hal), [Published version]; (The Annals of Applied Probability), Volume 26, Issue 2, April 2016, 933-985.
  6. with M. Fathi (2013): Transport-Entropy inequalities and deviation estimates for stochastic approximation schemes, (Electronic Journal of Probability), Volume 18 (2013), no. 67, 1-36.
  7. with S. Menozzi (2012): Concentration Bounds for Stochastic Approximations, (Electronic Communications in Probability), Volume 17 (2012), no. 47, 1-15.
  8. (2012): Shortfall risk minimization in discrete time financial market models , (SIAM Journal on Financial Mathematics), Volume 5, Issue 1, 384-414, (31 pages).
  9. with A. Sagna (2012): Quantization based Recursive Importance Sampling , (Monte Carlo Methods and Applications), 18(4):287-326.
  10. with V. Lemaire (2013): Joint modelling of Gas and Electricity spot prices , (Applied Mathematical Finance), 20(1), 69-93.
  11. with O. Bardou and G. Pagès (2010): CVaR hedging using quantization based stochastic approximation algorithm ,(Mathematical Finance), 26(1):184-229, January 2016.
  12. with O. Bardou and G. Pagès (2009): Computing VaR and CVaR using Stochastic Approximation and Adaptive Unconstrained Importance Sampling , (Monte Carlo Methods and Applications), 15(3):173-210, .
  13. with O. Bardou and G. Pagès (2008): Recursive Computation of Value-at-Risk and Conditional Value-at-Risk using MC and QMC ,(Monte Carlo and Quasi-Monte Carlo Methods 2008), Part 3, 193-208.

Phd Thesis

  1. December (2010): Contribution à la modélisation et à la gestion dynamique du risque des marchés de l'énergie, le manuscrit (HAL).

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