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Vlad Bally · Study
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Author
Vlad Bally
21 works
· latest 2017
· 8 institutions
cluster: provisional
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21
Citations
1,959
Works here
21
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Most cited in this library
The law of the Euler scheme for stochastic differential equations
1996 · 375 citations
A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
2003 · 213 citations
A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
2005 · 192 citations
The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
1996 · 187 citations
Weak Solutions for SPDEs and Backward Doubly Stochastic Differential Equations
2001 · 132 citations
Works
21 shown
Convergence and regularity of probability laws by using an interpolation method
The Annals of Probability
·
2017
·
2 authors
·
Open access
34
citations
Stochastic Integration by Parts and Functional Itô Calculus
Advanced courses in mathematics, CRM Barcelona
·
2016
·
3 authors
·
book
36
citations
A probabilistic interpretation of the parametrix method
The Annals of Applied Probability
·
2015
·
1 author
·
Open access
37
citations
A probabilistic interpretation of the parametrix method ∗
·
2014
·
2 authors
45
citations
On the distances between probability density functions
Electronic Journal of Probability
·
2014
·
2 authors
·
Open access
36
citations
Integration by parts formula and applications to equations with jumps
Probability Theory and Related Fields
·
2010
·
2 authors
·
Open access
44
citations
Integration by parts formula for locally smooth laws and applications to sensitivity computations
The Annals of Applied Probability
·
2007
·
3 authors
·
Open access
44
citations
Backward Stochastic Differential Equations Associated to a Symmetric Markov Process
Potential Analysis
·
2005
·
3 authors
·
Open access
45
citations
A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
Mathematical Finance
·
2005
·
3 authors
192
citations
Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach
Monte Carlo Methods and Applications
·
2005
·
3 authors
·
Open access
41
citations
A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
Bernoulli
·
2003
·
2 authors
·
Open access
213
citations
Error analysis of the optimal quantization algorithm for obstacle problems
Stochastic Processes and their Applications
·
2003
·
2 authors
·
Open access
105
citations
First-order schemes in the numerical quantization method
HAL
·
2003
·
3 authors
30
citations
Weak Solutions for SPDEs and Backward Doubly Stochastic Differential Equations
Journal of Theoretical Probability
·
2001
·
2 authors
132
citations
Malliavin Calculus for White Noise Driven Parabolic SPDEs
Potential Analysis
·
1998
·
2 authors
92
citations
The law of the Euler scheme for stochastic differential equations
Probability Theory and Related Fields
·
1996
·
2 authors
·
Open access
375
citations
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
187
citations
The law of the Euler scheme for stochastic differential equations
Probability Theory and Related Fields
·
1996
·
2 authors
35
citations
The Euler scheme for stochastic differential equations: error analysis with Malliavin calculus
Mathematics and Computers in Simulation
·
1995
·
2 authors
37
citations
Approximation and Support Theorem in Holder Norm for Parabolic Stochastic Partial Differential Equations
The Annals of Probability
·
1995
·
3 authors
·
Open access
126
citations
White Noise Driven Parabolic SPDEs with Measurable Drift
Journal of Functional Analysis
·
1994
·
3 authors
·
Open access
73
citations