Pierre Patie

Publication Activity (10 Years)

Years Active: 2005-2024
Publications (10 Years): 3

Top Topics

Kullback Leibler Divergence

Probabilistic Automata

Monte Carlo Method

Top Venues

Comb. Probab. Comput.

SIAM J. Financial Math.

SIAM J. Appl. Math.

Publications

Giuseppe D'Onofrio, Pierre Patie, Laura Sacerdote
Jacobi Processes with Jumps as Neuronal Models: A First Passage Time Analysis. SIAM J. Appl. Math. 84 (1) (2024)
Michael C. H. Choi, Pierre Patie
Analysis of non-reversible Markov chains via similarity orbits. Comb. Probab. Comput. 29 (4) (2020)
M. Chazal, R. Loeffen, Pierre Patie
Option Pricing in a One-Dimensional Affine Term Structure Model via Spectral Representations. SIAM J. Financial Math. 9 (2) (2018)
Pierre Patie
Asian Options Under One-Sided Lévy Models. J. Appl. Probab. 50 (2) (2013)
J. C. Pardo, Pierre Patie, Mladen Savov
A Wiener-Hopf type factorization for the exponential functional of Lévy processes. J. Lond. Math. Soc. 86 (3) (2012)
Paul Embrechts, Roger Kaufmann, Pierre Patie
Strategic Long-Term Financial Risks: Single Risk Factors. Comput. Optim. Appl. 32 (1-2) (2005)