Céline Labart

Assistant Professor - Université Savoie Mont-Blanc

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Research

Papers

  1. Donsker-Type Theorem for BSDEs: Rate of Convergence, with Philippe Briand, Christel Geiss and Stefan Geiss. To appear in Bernoulli.
  2. Mean square rate of convergence for random walk approximation of forward-backward SDEs, with Christel Geiss and Antti Luoto. To appear in Advances in Applied Probability, 52.3.
  3. Mean Reflected Stochastic Differential Equations with Jumps, with Philippe Briand and Abir Ghannoum. Advances in Applied Probability, Vol 52.2, pp. 523-562, 2020.
  4. Particle systems and Numerical Schemes for Mean Reflected Stochastic Differential Equations, with Philippe Briand, Paul-Eric Chaudru de Raynal and Arnaud Guillin. Annals of Applied Probability, Vol 30(4), pp. 1884-1909, 2020.
  5. Random walk approximation of BSDEs with Holder continuous terminal condition, with Christel Geiss and Antti Luoto. Bernoulli, Vol 26(1), pp. 159-190, 2020.
  6. Simulation of BSDEs with jumps by Wiener Chaos Expansion, with Christel Geiss. Stochastic Processes and their Applications, Vol 126, pp. 2123-2162, 2016.
  7. Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles , with Roxana Dumitrescu. Journal of Mathematical Analysis and Applications , Vol 442, Issue 1, pp. 206-243, 2016.
  8. Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles, with Roxana Dumitrescu. Journal of computational and Applied Mathematics, Vol 296, pp. 827-839, 2016.
  9. Simulation of BSDEs by Wiener Chaos Expansion, with Philippe Briand. Annals of Applied Probability, Vol 24, Issue 3, 1129-1171, 2014.
  10. Stochastic Local Intensity Loss Models with Interacting Particle Systems, with Aurelien Alfonsi and Jerome Lelong. Mathematical Finance, Vol 26(2), 366-394, 2016.
  11. A Parallel Algorithm for solving BSDEs, with Jerome Lelong. Monte Carlo Methods and Applications, Vol 9(1), 2013.
  12. Long wave runup on random beaches, with Denys Dutykh and Dimitrios Mitsotakis. Physical Review Letters Vol.107(18), 2011.
  13. Solving BSDE with adaptive control variate, with Emmanuel Gobet. SIAM Journal on Numerical Analysis, Vol 48(1), p. 257-277, 2010.
  14. Parisian, Encyclopedia of Quantitative Finance, Wiley
  15. Pricing double barrier Parisian Options using Laplace transforms, with Jerome Lelong. International Journal of Theoretical and Applied Finance, 12(1), p. 19-44, 2009.
  16. Pricing Parisian Options using Laplace transforms, with Jerome Lelong. Banque & Marches, no 99, p 29-43, 2009.
  17. Sharp estimates for the convergence of the density of the Euler scheme in small time, with Emmanuel Gobet. Elect. Comm. in Probab., 1,p 352-363, 2008. Correction of the proof of Theorem 5 here.
  18. Error expansion for the discretization of Backward Stochastic Differential Equations, with Emmanuel Gobet. Stochastic Processes and their Applications, 117, p 803-829, 2007.

Preprints

  1. Extreme Inundation Statistics on a Composite Beach, with Ahmed Abdalazeez, Ira Didenkulova and Denys Dutykh. Submitted.
  2. Simulation of McKean-Vlasov BSDEs by Wiener Chaos Expansion, with Celine Acary-Robert, Philippe Briand and Abir Ghannoum. Submitted.
  3. An asymptotical method to estimate the parameters of a deteriorating system under condition-based maintenance , with Philippe Briand and Edwige Idee. 2013.

Proceedings

  1. Run-up of narrow and wide-banded irregular waves on a beach, with Ahmed Abdalazeez, Ira Didenkulova and Denys Dutykh. European Geosciences Union General Assembly 2020A, Vienna, Austria,
  2. A sequential Monte Carlo algorithm for solving BSDE, with Emmanuel Gobet. 6th International Congress on Industrial Applied Mathematics (ICIAM07), Zurich : Suisse.

Notes

  1. Solving BSDE with adaptive control variate. A note on the rate of convergence of the operator P^k , with Emmanuel Gobet.

PhD in Applied Probability

  • EDSR: analyse de discretisation et resolution par methodes de Monte Carlo adaptatives; Perturbation de domaines pour les options americaines.
    October 2007.