Emmanuel Gobet

Publication Activity (10 Years)

Years Active: 2001-2024
Publications (10 Years): 22

Top Topics

Monte Carlo Methods

Top Venues

SIAM/ASA J. Uncertain. Quantification

SIAM J. Numer. Anal.

Monte Carlo Methods Appl.

Publications

Emmanuel Gobet, Clara Lage
Optimal ecological transition path of a credit portfolio distribution, based on multidate Monge-Kantorovich formulation. Ann. Oper. Res. 336 (1-2) (2024)
Florian Bourgey, Emmanuel Gobet, Ying Jiao
emission and credit risk. Ann. Oper. Res. 336 (1-2) (2024)
Michaël Allouche, Stéphane Girard, Emmanuel Gobet
Estimation of extreme quantiles from heavy-tailed distributions with neural networks. Stat. Comput. 34 (1) (2024)
Emmanuel Gobet, Adrien Richou, Lukasz Szpruch
Numerical approximation of ergodic BSDEs using non linear Feynman-Kac formulas. CoRR (2024)
Emmanuel Gobet, José G. López-Salas, Plamen Turkedjiev, Carlos Vázquez
Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs. CoRR (2024)
Emmanuel Gobet, José G. López-Salas, Carlos Vázquez
Quasi-Regression Monte-Carlo scheme for semi-linear PDEs and BSDEs with large scale parallelization on GPUs. CoRR (2024)
Emmanuel Gobet, Maxime Grangereau
Newton Method for Stochastic Control Problems. SIAM J. Control. Optim. 60 (5) (2022)
Michaël Allouche, Stéphane Girard, Emmanuel Gobet
EV-GAN: Simulation of extreme events with ReLU neural networks. J. Mach. Learn. Res. 23 (2022)
Florian Bourgey, Emmanuel Gobet, Clément Rey
A Comparative Study of Polynomial-Type Chaos Expansions for Indicator Functions. SIAM/ASA J. Uncertain. Quantification 10 (4) (2022)
Michaël Allouche, Stéphane Girard, Emmanuel Gobet
A generative model for fBm with deep ReLU neural networks. J. Complex. 73 (2022)
Florian Bourgey, Emmanuel Gobet, Clément Rey
Metamodel of a Large Credit Risk Portfolio in the Gaussian Copula Model. SIAM J. Financial Math. 11 (4) (2020)
Florian Bourgey, Stefano De Marco, Emmanuel Gobet, Alexandre Zhou
Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations. Monte Carlo Methods Appl. 26 (2) (2020)
Linda Chamakh, Emmanuel Gobet, Zoltán Szabó
Orlicz Random Fourier Features. J. Mach. Learn. Res. 21 (2020)
Stéphane Crépey, Gersende Fort, Emmanuel Gobet, Uladzislau Stazhynski
Uncertainty Quantification for Stochastic Approximation Limits Using Chaos Expansion. SIAM/ASA J. Uncertain. Quantification 8 (3) (2020)
David Barrera, Emmanuel Gobet
Quantitative bounds for concentration-of-measure inequalities and empirical regression: The independent case. J. Complex. 52 (2019)
Ankush Agarwal, Stefano De Marco, Emmanuel Gobet, Gang Liu
Study of new rare event simulation schemes and their application to extreme scenario generation. Math. Comput. Simul. 143 (2018)
Emmanuel Gobet, Gang Liu, Jorge P. Zubelli
A Nonintrusive Stratified Resampler for Regression Monte Carlo: Application to Solving Nonlinear Equations. SIAM J. Numer. Anal. 56 (1) (2018)
Ankush Agarwal, Emmanuel Gobet
Finite variance unbiased estimation of stochastic differential equations. WSC (2017)
Gersende Fort, Emmanuel Gobet, Eric Moulines
MCMC design-based non-parametric regression for rare event. Application to nested risk computations. Monte Carlo Methods Appl. 23 (1) (2017)
Achref Bachouch, Emmanuel Gobet, Anis Matoussi
Empirical Regression Method for Backward Doubly Stochastic Differential Equations. SIAM/ASA J. Uncertain. Quantification 4 (1) (2016)
Emmanuel Gobet, José G. López-Salas, Plamen Turkedjiev, Carlos Vázquez
Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs. SIAM J. Sci. Comput. 38 (6) (2016)
Emmanuel Gobet, Plamen Turkedjiev
Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions. Math. Comput. 85 (299) (2016)
Emmanuel Gobet, Gang Liu
Rare Event Simulation Using Reversible Shaking Transformations. SIAM J. Sci. Comput. 37 (5) (2015)
Emmanuel Gobet, Stefano Pagliarani
Analytical Approximations of BSDEs with Nonsmooth Driver. SIAM J. Financial Math. 6 (1) (2015)
Emmanuel Gobet
A correction note to "Discrete time hedging errors for options with irregular payoffs". Finance Stochastics 18 (2) (2014)
Romain Bompis, Emmanuel Gobet
Stochastic Approximation Finite Element Method: Analytical Formulas for Multidimensional Diffusion Process. SIAM J. Numer. Anal. 52 (6) (2014)
Tarik Ben Zineb, Emmanuel Gobet
Preliminary control variates to improve empirical regression methods. Monte Carlo Methods Appl. 19 (4) (2013)
Eric Benhamou, Emmanuel Gobet, Mohammed Miri
Time Dependent Heston Model. SIAM J. Financial Math. 1 (1) (2010)
Emmanuel Gobet, Céline Labart
Solving BSDE with Adaptive Control Variate. SIAM J. Numer. Anal. 48 (1) (2010)
Eric Benhamou, Emmanuel Gobet, Mohammed Miri
Smart expansion and fast calibration for jump diffusions. Finance Stochastics 13 (4) (2009)
Emmanuel Gobet, Gilles Pagès, Huyên Pham, Jacques Printems
Discretization and Simulation of the Zakai Equation. SIAM J. Numer. Anal. 44 (6) (2006)
Emmanuel Gobet, Sylvain Maire
Sequential Control Variates for Functionals of Markov Processes. SIAM J. Numer. Anal. 43 (3) (2005)
Emmanuel Gobet, Rémi Munos
Sensitivity Analysis Using It[o-circumflex]--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control. SIAM J. Control. Optim. 43 (5) (2005)
Emmanuel Gobet, Sylvain Maire
A spectral Monte Carlo method for the Poisson equation. Monte Carlo Methods Appl. 10 (3-4) (2004)
Emmanuel Gobet, Emmanuel Temam
Discrete time hedging errors for options with irregular payoffs. Finance Stochastics 5 (3) (2001)
Emmanuel Gobet
Efficient schemes for the weak approximation of reflected diffusions. Monte Carlo Methods Appl. 7 (1-2) (2001)