Coordonnées
- Laboratoire d'Analyse et Probabilités
- Université d'Evry Val d'Essonne
- Bureau 306
- IBGBI 23 Boulevard de France, 91037 Evry
- Téléphone : + 33 (0) 1 64 85 34 98
- E-mail : stephane.menozzi"a"univ-evry.fr
Université d'Evry Val d'Essonne.
Thèmes de Recherche
- Analyse stochastique
- Equations Différentielles Stochastiques Progressives Rétrogrades
- Probabilités Numériques et Mathématiques Financières
Enseignement
Calcul Stochastique et Applications à la finance au:
Documents Projet M2IF
Articles Projet EDSR: approximations et applications à la CVA
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.
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Valentin Konakov and Stéphane Menozzi. "Weak Error for stable driven SDEs: expansion of the densities".
Journal of Theoretical Probability.
24-2 (2011) 454Đ478.
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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.
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Vincent Lemaire and Stéphane Menozzi. "On some Non Asymptotic Bounds for the Euler Scheme".
Electronic Journal
of Probability, Volume 15 (2010), 1645-1681.
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Stéphane Menozzi. "Parametrix techniques and martingale problems for some degenerate Kolmogorov equations".
Electronic Communications in Probability 16 (2011), 234-250.
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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), 527-530.
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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).
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Noufel Frikha and Stéphane Menozzi. "Concentration bounds for Stochastic Approximations".
Electronic Communications in Probability 17 (2012), 47, 1-15
Prépublications