Denis Talay
Institut national de recherche en sciences et technologies du numérique(FR)École Polytechnique(FR)Centre de Mathématiques Appliquées de l'École polytechnique(FR)Centre Inria de Saclay(FR)
Publications by Year
Research Areas
Stochastic processes and financial applications, Markov Chains and Monte Carlo Methods, Financial Risk and Volatility Modeling, Stochastic processes and statistical mechanics, Economic theories and models
Most-Cited Works
- → Expansion of the global error for numerical schemes solving stochastic differential equations(1990)565 cited
- → Numerical solution of stochastic differential equations(1994)397 cited
- → The law of the Euler scheme for stochastic differential equations(1996)369 cited
- → The Euler scheme for Lévy driven stochastic differential equations(1997)230 cited
- → A stochastic particle method for the McKean-Vlasov and the Burgersequation(1997)203 cited
- → Discretization and simulation of stochastic differential equations(1985)199 cited
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