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Some contributions to the study and simulation of asymmetric diffusions

 Pierre Etoré
Probability [math.PR]. Université Grenoble Alpes, 2016
HDR tel-02011866v1
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Stochastic processes associated to multidimensional parabolic transmission problems in divergence form

 Pierre Etoré , Miguel Martinez
ALEA : Latin American Journal of Probability and Mathematical Statistics, 2023, 20, pp.291-311. ⟨10.30757/ALEA.v20-11⟩
Article dans une revue hal-02531467v3
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Stochastic expansion for the pricing of call options with discrete dividends

 Pierre Etoré , Emmanuel Gobet
Applied Mathematical Finance, 2012, 19 (3), pp.233-264. ⟨10.1080/1350486X.2011.620397⟩
Article dans une revue hal-00507787v1
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A transformed stochastic Euler scheme for multidimensional transmission PDE

 Pierre Etoré , Miguel Martinez
Journal of Computational and Applied Mathematics, 2021, 394, pp.113551:1-28. ⟨10.1016/j.cam.2021.113551⟩
Article dans une revue hal-01800305v4
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L_1-distance for additive processes with time-homogeneous Lévy measures

 Pierre Etoré , Ester Mariucci
Electronic Communications in Probability, 2014, 19 (paper no. 57), 10 pp. ⟨10.1214/ECP.v19-3678⟩
Article dans une revue hal-00985588v2
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A probabilistic representation of the solution to a 1D evolution equation in a medium with negative index

 Éric Bonnetier , Pierre Etoré , Miguel Martinez
2024
Pré-publication, Document de travail hal-03687817v2
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Time inhomogeneous Stochastic Differential Equations involving the local time of the unknown process, and associated parabolic operators

 Pierre Etoré , Miguel Martinez
Stochastic Processes and their Applications, 2018, 128 (8), pp.2642-2687. ⟨10.1016/j.spa.2017.09.018⟩
Article dans une revue hal-01356270v2
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Exact Simulation of One-dimensional Stochastic Differential Equations involving the local time at zero of the unknown process

 Pierre Etoré , Miguel Martinez
Monte Carlo Methods and Applications, 2013, 19 (1), pp.41-71. ⟨10.1515/mcma-2013-0002⟩
Article dans une revue hal-00565286v3
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Adaptive optimal allocation in stratified sampling methods

 Pierre Etoré , Benjamin Jourdain
Methodology and Computing in Applied Probability, 2010, 12 (3), pp.335-360. ⟨10.1007/s11009-008-9108-0⟩
Article dans une revue hal-00192540v2
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Long time behaviour of a stochastic nanoparticle

 Pierre Etoré , Stéphane Labbé , Jérôme Lelong
Journal of Differential Equations, 2014, 257 (6), pp.2115-2135. ⟨10.1016/j.jde.2014.05.033⟩
Article dans une revue hal-00680775v4
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On the existence of a time inhomogeneous skew Brownian motion and some related laws

 Pierre Etoré , Miguel Martinez
Electronic Journal of Probability, 2012, 17, pp.19:1-27. ⟨10.1214/EJP.v17-1858⟩
Article dans une revue hal-00608221v2
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Exact simulation for solutions of one-dimensional Stochastic Differential Equations with discontinuous drift

 Pierre Etoré , Miguel Martinez
ESAIM: Probability and Statistics, 2014, 18, pp.686-702. ⟨10.1051/ps/2013053⟩
Article dans une revue hal-00775871v3
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Asymptotic equivalence of jumps Lévy processes and their discrete counterpart

 Pierre Etoré , Sana Louhichi , Ester Mariucci
2013
Pré-publication, Document de travail hal-00827173v2
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A probabilistic point of view for the Kolmogorov hypoelliptic equations

 Pierre Etoré , Jose R León , Clémentine Prieur
ESAIM: Probability and Statistics, 2023, 27, pp.668-693. ⟨10.1051/ps/2023007⟩
Article dans une revue hal-03342958v2
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On adaptive stratification

 Pierre Etoré , Gersende Fort , Benjamin Jourdain , Éric Moulines
Annals of Operations Research, 2011, 189 (1), pp.127-154. ⟨10.1007/s10479-009-0638-9⟩
Article dans une revue hal-00319157v3
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Global sensitivity analysis for models described by stochastic differential equations

 Pierre Etoré , Clémentine Prieur , Dang Khoi Pham , Long Li
Methodology and Computing in Applied Probability, 2020, 22, pp.803-831. ⟨10.1007/s11009-019-09732-6⟩
Article dans une revue hal-01926919v2
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