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hal-00602795v1  Books
Carl GrahamDenis Talay. Simulation stochastique et méthodes de Monte-Carlo
Les Éditions de l'École Polytechnique, pp.198, 2011
hal-00452108v1  Book sections
Florent MalrieuDenis Talay. Concentration inequalities for Euler schemes
Niederreiter, Harald and Talay, Denis. Monte Carlo and Quasi-Monte Carlo Methods 2004, Springer, pp.355-371, 2006
hal-00274882v1  Conference papers
Benoîte de SaportaChristophette Blanchet-ScallietEtienne TanréDenis Talay. Optimal portfolio allocation under transaction costs
31st conference on Stochastic Processes and Their Applications, Jul 2006, Paris, France
hal-00594200v1  Book sections
Christophette Blanchet-ScallietRajna Gibson BrandonBenoîte de SaportaDenis TalayEtienne Tanré. Viscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs.
Albrecher Hansjörg, Runggaldier Wolfgang J. and Schachermayer Walter. Advanced Financial Modelling, Walter de Gruyter, pp.53-90, 2009, Radon series on computational and applied mathematics 8, ⟨10.1515/9783110213140.53⟩
hal-00274883v1  Conference papers
Benoîte de SaportaChristophette Blanchet-ScallietEtienne TanréDenis Talay. Technical analysis compared to mathematical models under misspecification
AMAMEF conference Numerical Methods in Finance, Feb 2006, rocquencourt, France
hal-00605427v1  Book sections
Denis Talay. Around Model Risk in Finance
Modèles aléatoires en finance mathématique, Hermann, 2009, Travaux en cours ; 77
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inria-00070060v1  Reports
Denis Talay. PRESTO : Mode d'emploi
[Rapport de recherche] RT-0106, INRIA. 1989, pp.43
hal-01479840v1  Journal articles
Sylvain MaireDenis Talay. On a Monte Carlo method for neutron transport criticality computations
IMA Journal of Numerical Analysis, Oxford University Press (OUP), 2006, 26 (4), pp.657-685
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hal-01673332v6  Journal articles
Milica TomasevicDenis Talay. A new McKean-Vlasov stochastic interpretation of the parabolic-parabolic Keller-Segel model: The one-dimensional case
Bernoulli, Bernoulli Society for Mathematical Statistics and Probability, 2020, 26 (2), pp.1323-1353. ⟨10.3150/19-BEJ1158⟩
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hal-01429545v1  Journal articles
Julien ClaisseDenis TalayXiaolu Tan. A Pseudo-Markov Property for Controlled Diffusion Processes
SIAM Journal on Control and Optimization, Society for Industrial and Applied Mathematics, 2016, 54 (2), pp.1017 - 1029. ⟨10.1137/151004252⟩
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hal-01620377v1  Book sections
Alexandre RichardDenis Talay. Noise sensitivity of functionals of fractional Brownian motion driven stochastic differential equations: Results and perspectives
Vladimir Panov. Modern Problems of Stochastic Analysis and Statistics, Springer, pp.219-236, 2017, 978-3-319-65313-6. ⟨10.1007/978-3-319-65313-6_9⟩