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Denis Talay

19 works· latest 2019· 2 institutionscluster: provisional

h-index19

i1019

Citations2,310

Works here19

Most cited in this library

Numerical solution of stochastic differential equations1994 · 395 citations
The law of the Euler scheme for stochastic differential equations1996 · 375 citations
The Euler scheme for Lévy driven stochastic differential equations1997 · 244 citations
A stochastic particle method for the McKean-Vlasov and the Burgers equation1997 · 203 citations
Discretization and simulation of stochastic differential equations1985 · 197 citations

Works

19 shown

On a Wasserstein-type distance between solutions to stochastic differential equations

The Annals of Applied Probability·2019·2 authors·Open access

30citations

A Pseudo-Markov Property for Controlled Diffusion Processes

SIAM Journal on Control and Optimization·2016·3 authors·Open access

35citations

On conditional McKean Lagrangian stochastic models

Probability Theory and Related Fields·2010·3 authors·Open access

33citations

Concentration Inequalities for Euler Schemes

Springer eBooks·2006·2 authors·chapter

30citations

Efficient numerical schemes for the approximation of expectations of functionals of the solution of a S.D.E., and applications

Springer eBooks·2005·1 author·chapter

106citations

A symmetrized Euler scheme for an efficient approximation of reflected diffusions

Journal of Applied Probability

Worst case model risk management

Finance and Stochastics·2002·2 authors

82citations

The Euler scheme for Lévy driven stochastic differential equations

The Annals of Probability·1997·2 authors·Open access

244citations

A stochastic particle method for the McKean-Vlasov and the Burgers equation

Mathematics of Computation·1997·2 authors·Open access

203citations

The law of the Euler scheme for stochastic differential equations

Probability Theory and Related Fields·1996·2 authors·Open access

375citations

The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density

Monte Carlo Methods and Applications·1996·2 authors·Open access

187citations

Probabilistic numerical methods for partial differential equations: Elements of analysis

Lecture notes in mathematics·1996·1 author·chapter

70citations

The law of the Euler scheme for stochastic differential equations

Probability Theory and Related Fields·1996·2 authors

35citations

The Euler scheme for stochastic differential equations: error analysis with Malliavin calculus

Mathematics and Computers in Simulation·1995·2 authors

37citations

Numerical solution of stochastic differential equations

Stochastics and stochastics reports·1994·1 author

395citations

Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution

ESAIM Mathematical Modelling and Numerical Analysis·1986·1 author·Open access

76citations

Discretization and simulation of stochastic differential equations

Acta Applicandae Mathematicae·1985·2 authors

197citations