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Benjamin Jourdain
Researcher at University of Paris
Publications - 174
Citations - 2557
Benjamin Jourdain is an academic researcher from University of Paris. The author has contributed to research in topics: Stochastic differential equation & Nonlinear system. The author has an hindex of 26, co-authored 166 publications receiving 2226 citations. Previous affiliations of Benjamin Jourdain include École des ponts ParisTech & French Institute for Research in Computer Science and Automation.
Papers
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Convergence of a stochastic particle approximation for fractional scalar conservation laws
Benjamin Jourdain,Raphaël Roux +1 more
TL;DR: In this article, a probabilistic numerical method for solving a partial differential equation with fractional diffusion and nonlinear drift is presented. But it is based on the Euler model.
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Efficiency of the Wang–Landau Algorithm: A Simple Test Case
TL;DR: In this paper, the convergence properties of the Wang-Landau algorithm were analyzed and an associated central limit theorem was proved for Markov Chain Monte Carlo (MCMC) algorithms.
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Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators
TL;DR: A modified Ninomiya–Victoir scheme is proposed, which may be strongly coupled with order 1 to the Giles–Szpruch scheme at the finest level of a multilevel Monte Carlo estimator.
Journal ArticleDOI
Existence of a calibrated regime switching local volatility model
Benjamin Jourdain,Alexandre Zhou +1 more
Abstract: By Gyongy's theorem, a local and stochastic volatility model is calibrated to
the market prices of all call options with positive maturities and strikes if
its local volatility function is equal to the ratio of the Dupire local
volatility function over the root conditional mean square of the stochastic
volatility factor given the spot value. This leads to a SDE nonlinear in the
sense of McKean. Particle methods based on a kernel approximation of the
conditional expectation, as presented by Guyon and Henry-Labord\`ere (2011),
provide an efficient calibration procedure even if some calibration errors may
appear when the range of the stochastic volatility factor is very large. But so
far, no existence result is available for the SDE nonlinear in the sense of
McKean. In the particular case where the local volatility function is equal to
the inverse of the root conditional mean square of the stochastic volatility
factor multiplied by the spot value given this value and the interest rate is
zero, the solution to the SDE is a fake Brownian motion. When the stochastic
volatility factor is a constant (over time) random variable taking finitely
many values and the range of its square is not too large, we prove existence to
the associated Fokker-Planck equation. Thanks to Figalli (2008), we then deduce
existence of a new class of fake Brownian motions. We then extend these results
to the special case of the LSV model called Regime Switching Local Volatility,
where the stochastic volatility factor is a jump process taking finitely many
values and with jump intensities depending on the spot level. Under the same
condition on the range of its square, we prove existence to the associated
Fokker-Planck PDE. We then deduce existence of the calibrated model by
extending the results in Figalli (2008).
Book
Modèles aléatoires : applications aux sciences de l'ingénieur et du vivant
TL;DR: In this paper, the authors present des modeles aleatoires elementaires and certaines de leurs applications courantes: algorithmes d'optimisation, gestion des approvisionnements, dimensionnement de files d'attente, fiabilite et dimensionnements d'ouvrages.