Stéphane Menozzi

Coordonnées

LPMA / UMR 7599
Université Paris 6 et Paris 7
Bureau 5D15
175 Rue du Chevaleret
75013 PARIS
Téléphone : + 33 (0) 1 57 27 93 24
E-mail : menozzi@math.univ-paris-diderot.fr

Maître de Conférences à l'Université Paris VII, Denis Diderot.

Thèmes de Recherche

Analyse stochastique
Equations Différentielles Stochastiques Progressives Rétrogrades
Probabilités Numériques et Mathématiques Financières

Enseignement

Méthodes de Monte Carlo et applications en finance dans les formations suivantes:

Méthodes Numériques en Licence III de Mathématiques.

Publications

Emmanuel Gobet et Stéphane Menozzi. "Exact Approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme" , Stochastic Processes and Their Applications, 112-2 (2004), 201-223.
Emmanuel Gobet et Stéphane Menozzi. "Discrete Sampling of functionals of Itô processes". Séminaire de Probabilités, XL (2007), 355-375.
François Delarue et Stéphane Menozzi. "A forward backward algorithm for quasi-linear PDEs". Annals of Applied Probability , 16-1 (2006), 140-184.
Stéphane Menozzi. "Improved simulation of the killed Brownian motion in a cone". SIAM Journal on Numerical Analysis, 44-6 (2006), 2610-2632.
François Delarue et Stéphane Menozzi. "An interpolated Stochastic Algorithm for Quasi-Linear PDEs" . Mathematics of Computation , 261-77 (2008), 125-158.
Bruno Bouchard and Stéphane Menozzi. "Strong Approximations of BSDEs in a domain". Bernoulli,15-4, 1117-1147.
Emmanuel Gobet and Stéphane Menozzi. "Stopped diffusion processes: overshoots and boundary correction". Stochastic Processes and Their Applications, 120-2 (2010), 130-162.
Valentin Konakov, Stéphane Menozzi and Stanislav Molchanov. "Explicit parametrix and local limit theorems for some degenerate diffusion processes". Annales de l'Institut Henri Poincaré (Série B). 46-4 (2010), 908-923.
Valentin Konakov and Stéphane Menozzi. "Weak Error for stable driven SDEs: expansion of the densities". Journal of Theoretical Probability. 24-2 (2011) 454Ð478.
François Delarue and Stéphane Menozzi. "Density Estimates for a Random Noise Propagating through a Chain of Differential Equations". Journal of functional analysis, 259-6 (2010), 1577-1630.
Vincent Lemaire and Stéphane Menozzi. "On some Non Asymptotic Bounds for the Euler Scheme". Electronic Journal of Probability, Volume 15 (2010), 1645-1681.
Stéphane Menozzi. "Parametrix techniques and martingale problems for some degenerate Kolmogorov equations". Electronic Communications in Probability 16 (2011), 234-250.
Valentin Konakov, Stéphane Menozzi and Stanislav Molchanov. "Diffusion processes on solvable groups of upper triangular(2?2)-matrices and their approximations". (Russian) Doklad. Akad. Nauk. 439-5 (2011) 585-588; translation in Dokl. Math. 84-1(2011), 527Ð530.
Alain Bensoussan, Hector Jasso-Fuentes, Stéphane Menozzi and Laurent Mertz. "Asymptotic Analysis of Stochastic Variational Inequalities Modeling an Elasto-Plastic Problem with Vanishing Jumps". To Appear in Asymptotic Analysis, (2012).

Prépublications

Chiara Cinti, Stéphane Menozzi and Sergio Polidoro. "Two sided bounds for degenerate processes with densities supported in subsets of R^N". (2012).
Noufel Frikha and Stéphane Menozzi. "Concentration bounds for Stochastic Approximations". (2012)