Pierre étoré - Publications



Papers:


[1] P. Étoré, M. Martinez, Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process, Monte Carlo Methods and Applications, Published online January 2013 (HAL: http://hal.archives-ouvertes.fr/hal-00565286/fr ).
[2] P. Étoré, M. Martinez, On the existence of a time inhomogeneous skew Brownian motion and some related laws . EJP , March 2012, Vol. 17, art. 19, http://ejp.ejpecp.org/article/view/1858 .
[3] P. Étoré, E. Gobet, Stochastic expansion for the pricing of call options with discrete dividends. Applied Mathematical Finance, July 2012, Vol. 19(3), pp 233-264, http://www.tandfonline.com/doi/abs/10.1080/1350486X.2011.620397 .
[4] P. Étoré, G. Fort, B. Jourdain, É. Moulines, On adaptive stratification. Annals of Operations Research, 2011, Vol. 189, pp 127-154, ArXiv math.PR/0809.1135 .
[5] P. Étoré, B. Jourdain, Adaptive Optimal Allocation in stratified Sampling Methods. Methodol. Comput. Appl. Probab., September 2010, Vol. 12(3), pp 335-360, http://www.springerlink.com/content/ek559m321t3xt158/ .
[6] P. Étoré, A. Lejay A Donsker theorem to simulate one-dimensional processes with measurable coefficients . ESAIM: P&S, Août 2007, Vol. 11, pp. 301-326 (pdf).
[7] P. Étoré, On random walk simulation of one-dimensional diffusion processes with discontinuous coefficients . EJP, March 2006, Vol. 11, pp 249-275 (pdf).

Preprints:

[1] P. Étoré, M. Martinez, Exact simulation for SDE with discontinuous drift . Preprint (January 2013): http://hal.archives-ouvertes.fr/hal-00775871.
[2] P. Étoré, S. Labbé, J. Lelong Long time behaviour of a stochastic nano particle . Preprint (March 2012): http://hal.archives-ouvertes.fr/hal-00680775 .