Emmanuel Gobet

According to our database, Emmanuel Gobet authored at least 31 papers between 2001 and 2024.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2024

Estimation of extreme quantiles from heavy-tailed distributions with neural networks.

Michaël Allouche, Stéphane Girard, Emmanuel Gobet

Stat. Comput., February, 2024

2022

Newton Method for Stochastic Control Problems.

Emmanuel Gobet, Maxime Grangereau

SIAM J. Control. Optim., October, 2022

A Comparative Study of Polynomial-Type Chaos Expansions for Indicator Functions.

Florian Bourgey, Emmanuel Gobet, Clément Rey

SIAM/ASA J. Uncertain. Quantification, 2022

EV-GAN: Simulation of extreme events with ReLU neural networks.

Michaël Allouche, Stéphane Girard, Emmanuel Gobet

J. Mach. Learn. Res., 2022

A generative model for fBm with deep ReLU neural networks.

Michaël Allouche, Stéphane Girard, Emmanuel Gobet

J. Complex., 2022

2020

Metamodel of a Large Credit Risk Portfolio in the Gaussian Copula Model.

Florian Bourgey, Emmanuel Gobet, Clément Rey

SIAM J. Financial Math., 2020

Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations.

Florian Bourgey, Stefano De Marco, Emmanuel Gobet, Alexandre Zhou

Monte Carlo Methods Appl., 2020

Uncertainty Quantification for Stochastic Approximation Limits Using Chaos Expansion.

Stéphane Crépey, Gersende Fort, Emmanuel Gobet, Uladzislau Stazhynski

SIAM/ASA J. Uncertain. Quantification, 2020

Orlicz Random Fourier Features.

Linda Chamakh, Emmanuel Gobet, Zoltán Szabó

J. Mach. Learn. Res., 2020

2019

Quantitative bounds for concentration-of-measure inequalities and empirical regression: The independent case.

David Barrera, Emmanuel Gobet

J. Complex., 2019

2018

A Nonintrusive Stratified Resampler for Regression Monte Carlo: Application to Solving Nonlinear Equations.

Emmanuel Gobet, Gang Liu, Jorge P. Zubelli

SIAM J. Numer. Anal., 2018

Study of new rare event simulation schemes and their application to extreme scenario generation.

Ankush Agarwal, Stefano De Marco, Emmanuel Gobet, Gang Liu

Math. Comput. Simul., 2018

2017

MCMC design-based non-parametric regression for rare event. Application to nested risk computations.

Gersende Fort, Emmanuel Gobet, Eric Moulines

Monte Carlo Methods Appl., 2017

Finite variance unbiased estimation of stochastic differential equations.

Ankush Agarwal, Emmanuel Gobet

Proceedings of the 2017 Winter Simulation Conference, 2017

2016

Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs.

Emmanuel Gobet, José G. López-Salas, Plamen Turkedjiev, Carlos Vázquez

SIAM J. Sci. Comput., 2016

Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions.

Emmanuel Gobet, Plamen Turkedjiev

Math. Comput., 2016

Empirical Regression Method for Backward Doubly Stochastic Differential Equations.

Achref Bachouch, Emmanuel Gobet, Anis Matoussi

SIAM/ASA J. Uncertain. Quantification, 2016

2015

Rare Event Simulation Using Reversible Shaking Transformations.

Emmanuel Gobet, Gang Liu

SIAM J. Sci. Comput., 2015

Analytical Approximations of BSDEs with Nonsmooth Driver.

Emmanuel Gobet, Stefano Pagliarani

SIAM J. Financial Math., 2015

2014

Stochastic Approximation Finite Element Method: Analytical Formulas for Multidimensional Diffusion Process.

Romain Bompis, Emmanuel Gobet

SIAM J. Numer. Anal., 2014

A correction note to "Discrete time hedging errors for options with irregular payoffs".

Emmanuel Gobet

Finance Stochastics, 2014

2013

Preliminary control variates to improve empirical regression methods.

Tarik Ben Zineb, Emmanuel Gobet

Monte Carlo Methods Appl., 2013

2010

Solving BSDE with Adaptive Control Variate.

Emmanuel Gobet, Céline Labart

SIAM J. Numer. Anal., 2010

Time Dependent Heston Model.

Eric Benhamou, Emmanuel Gobet, Mohammed Miri

SIAM J. Financial Math., 2010

2009

Smart expansion and fast calibration for jump diffusions.

Eric Benhamou, Emmanuel Gobet, Mohammed Miri

Finance Stochastics, 2009

2006

Discretization and Simulation of the Zakai Equation.

Emmanuel Gobet, Gilles Pagès, Huyên Pham, Jacques Printems

SIAM J. Numer. Anal., 2006

2005

Sequential Control Variates for Functionals of Markov Processes.

Emmanuel Gobet, Sylvain Maire

SIAM J. Numer. Anal., 2005

Sensitivity Analysis Using It[o-circumflex]--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control.

Emmanuel Gobet, Rémi Munos

SIAM J. Control. Optim., 2005

2004

A spectral Monte Carlo method for the Poisson equation.

Emmanuel Gobet, Sylvain Maire

Monte Carlo Methods Appl., 2004

2001

Efficient schemes for the weak approximation of reflected diffusions.

Emmanuel Gobet

Monte Carlo Methods Appl., 2001

Discrete time hedging errors for options with irregular payoffs.

Emmanuel Gobet, Emmanuel Temam

Finance Stochastics, 2001