Search - École des Ponts ParisTech Access content directly

Filter your results

38 Results
authFullName_s : Vlad Bally
Image document

A probabilistic interpretation of the parametrix method

Vlad Bally , Arturo Kohatsu-Higa
Annals of Applied Probability, 2015, 25, pp.3095-3138. ⟨10.1214/14-AAP1068⟩
Journal articles hal-00926479v1

A generic construction for high order approximation schemes of semigroups using random grids

Aurélien Alfonsi , Vlad Bally
Numerische Mathematik, 2021, ⟨10.1007/s00211-021-01219-2⟩
Journal articles hal-02406433v1
Image document

Tube estimates for diffusions under a local strong Hörmander condition

Vlad Bally , Lucia Caramellino , Paolo Pigato
Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, 2019, 55 (4), pp.2320--2369. ⟨10.1214/18-AIHP950⟩
Journal articles hal-01413546v1
Image document

A quantization tree method for pricing and hedging multi-dimensional American options

Vlad Bally , Gilles Pagès , Jacques Printems
[Research Report] RR-4465, INRIA. 2002
Reports inria-00072123v1
Image document

Convergence in distribution norms in the CLT for non identical distributed random variables

Vlad Bally , Lucia Caramellino , Guillaume Poly
Electronic Journal of Probability, 2018, 23, paper 45, 51 p. ⟨10.1214/18-EJP174⟩
Journal articles hal-01413548v1
Image document

An Invariance Principle for Stochastic Series II. Non Gaussian Limits

Vlad Bally , Lucia Caramellino
2016
Preprints, Working Papers, ... hal-01413533v1

Construction of Boltzmann and McKean Vlasov type flows (the sewing lemma approach)

Aurélien Alfonsi , Vlad Bally
2021
Preprints, Working Papers, ... hal-03241604v1
Image document

Transfer of regularity for Markov semigroups

Vlad Bally , Lucia Caramellino
Journal of Stochastic Analysis , 2021, 2 (3), pp.Article 13
Journal articles hal-02429530v1
Image document

A relative compactness criterion in Wiener-Sobolev spaces and application to semi-linear Stochastic P.D.Es

Vlad Bally , Bruno Saussereau
[Research Report] RR-4805, INRIA. 2003
Reports inria-00071781v1
Image document

Using moment approximations to study the density of jump driven SDEs

Vlad Bally , Lucia Caramellino , Arturo Kohatsu-Higa
Electronic Journal of Probability, 2022, 27, ⟨10.1214/22-ejp785⟩
Journal articles hal-03808176v1
Image document

Tubes estimates for diffusion processes under a local Hörmander condition of order one

Vlad Bally , Lucia Caramellino
2015
Preprints, Working Papers, ... hal-01104873v1
Image document

Asymptotic development for the CLT in total variation distance

Vlad Bally , Lucia Caramellino
Bernoulli, 2016, 22, pp.2442-2485
Journal articles hal-01104866v1
Image document

Reflected BSDE's , PDE's and Variational Inequalities

Vlad Bally , M.E. Caballero , B. Fernandez , Nicole El Karoui
[Research Report] RR-4455, INRIA. 2002
Reports inria-00072133v1
Image document

Regularity of Wiener functionals under a Hörmander type condition of order one

Vlad Bally , Lucia Caramellino
Annals of Probability, 2017, 45 (3), pp.1488-1511
Journal articles hal-01413556v1
Image document

Asymptotic behavior for multi-scale PDMP's

Vlad Bally , Victor Rabiet
2015
Preprints, Working Papers, ... hal-01144107v1
Image document

Convergence and regularity of probability laws by using an interpolation method

Vlad Bally , Lucia Caramellino
Annals of Probability, 2017, 45 (2)
Journal articles hal-01109276v2

On the distance between probability density functions

Vlad Bally , Lucia Caramellino
Electronic Journal of Probability, 2014, 19 (110), pp.1-33
Journal articles hal-00926401v1
Image document

Approximation for the invariant measure with applications for jump processes (convergence in total variation distance)

Vlad Bally , Yifeng Qin
2023
Preprints, Working Papers, ... hal-04112474v1
Image document

Integration by parts formula for locally smooth laws and applications to sensitivity computations

Vlad Bally , Marie-Pierre Bavouzet , Marouen Messaoud
[Research Report] RR-5567, INRIA. 2005, pp.54
Reports inria-00070439v1
Image document

Regularity and Stability for the Semigroup of Jump Diffusions with State-Dependent Intensity

Vlad Bally , Dan Goreac , Victor Rabiet
Annals of Applied Probability, 2018, 28 (5), pp.3028 - 3074. ⟨10.1214/18-AAP1382⟩
Journal articles hal-01558741v2
Image document

Regularization lemmas and convergence in total variation

Vlad Bally , Lucia Caramellino , Guillaume Poly
Electronic Journal of Probability, 2020, 25, paper no. 74, 20 pp. ⟨10.1214/20-EJP481⟩
Journal articles hal-02429512v1
Image document

Total variation distance between a jump-equation and its Gaussian approximation

Vlad Bally , Yifeng Qin
Stochastics and Partial Differential Equations: Analysis and Computations, 2022, ⟨10.1007/s40072-022-00270-w⟩
Journal articles hal-03351643v3
Image document

Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach

Vlad Bally , Lucia Caramellino , Antonino Zanette
[Research Report] RR-4804, INRIA. 2003
Reports inria-00071782v1

Some estimates in extended stochastic volatility models of Heston type

Vlad Bally , Stefano de Marco
Risk and Decision Analysis, 2011, 2 (4), pp.195-206. ⟨10.3233/RDA-2011-0046⟩
Journal articles hal-00676429v1
Image document

Diffusions under a local strong Hörmander condition. Part II: tube estimates

Vlad Bally , Lucia Caramellino , Paolo Pigato
2016
Preprints, Working Papers, ... hal-01407420v1
Image document

Positivity and lower bounds for the density of Wiener functionals

Vlad Bally , Lucia Caramellino
Potential Analysis, 2013, 39 (2), pp.141-168. ⟨10.1007/s11118-012-9324-7⟩
Journal articles hal-00936148v1
Image document

An elementary introduction to Malliavin calculus

Vlad Bally
[Research Report] RR-4718, INRIA. 2003
Reports inria-00071868v1

Regularity of probability laws by using an interpolation method

Vlad Bally , Lucia Caramellino
2012
Preprints, Working Papers, ... hal-00926415v1
Image document

Approximation of Markov semigroups in total variation distance

Vlad Bally , Clément Rey
Electronic Journal of Probability, 2016, 21 (12)
Journal articles hal-01110015v1
Image document

The Central Limit Theorem for a non linear algorithm based on quantization

Vlad Bally
[Research Report] RR-4629, INRIA. 2002
Reports inria-00071956v1