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Global existence for rough differential equations under linear growth conditions

Massimiliano Gubinelli , Antoine Lejay
Preprints, Working Papers, ... hal-00384327v1
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Hawkes point processes based inference applied to seismic data analysis

Loubna Ben Allal , Antoine Lejay , Radu S. Stoica
2020 RING MEETING, Sep 2020, Nancy, France
Conference papers hal-02928408v1
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Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps

Antoine Lejay , Géraldine Pichot
Journal of Computational Physics, 2012, 231 (21), pp.7299-7314. ⟨10.1016/⟩
Journal articles hal-00649170v3
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The non-linear sewing lemma III : stability and generic properties

Antoine Brault , Antoine Lejay
Forum Mathematicum, 2020, 32 (5), pp.1177-1197. ⟨10.1515/forum-2019-0309⟩
Journal articles hal-02265268v2
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Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift

Arturo Kohatsu-Higa , Antoine Lejay , Kazuhiro Yasuda
Journal of Computational and Applied Mathematics, 2017, 326C, pp.138-158. ⟨10.1016/⟩
Journal articles hal-00840211v5
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An Introduction to Rough Paths

Antoine Lejay
J. Azéma; M. Ledoux; M. Emery; M. Yor. Seminaire de Probabilités XXXVII, 1832 (1832), Springer Berlin / Heidelberg, pp.1-59, 2003, Lecture Notes in Mathematics, 978-3-540-20520-3. ⟨10.1007/b94376⟩
Book sections inria-00102184v1
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On the decomposition of excursions measures of processes whose generators have diffusion coefficients discontinuous at one point

Antoine Lejay
Markov Processes And Related Fields, 2002, 8 (1), pp.117-126
Journal articles inria-00001230v1
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Semi-martingales and rough paths theory

Laure Coutin , Antoine Lejay
Electronic Journal of Probability, 2005, 10 (23), pp.761-785
Journal articles inria-00000411v1
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A short introduction to rough paths: outline and selected bibliography

Antoine Lejay
Preprints, Working Papers, ... inria-00419931v1
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A Monte Carlo method without grid for a fractured porous domain model

Fabien Campillo , Antoine Lejay
Monte Carlo Methods and Applications, 2002, 8 (2), pp.129-147
Journal articles inria-00152412v1
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On the Constructions of the Skew Brownian Motion

Antoine Lejay
Probability Surveys, 2006, 3, pp.413-466. ⟨10.1214/154957807000000013⟩
Journal articles inria-00000785v2
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A random walk on rectangles algorithm

Madalina Deaconu , Antoine Lejay
Methodology and Computing in Applied Probability, 2006, 8 (1), pp.135-151. ⟨10.1007/s11009-006-7292-3⟩
Journal articles inria-00092424v1

Semimartignales and rough path theory

Laure Coutin , Antoine Lejay
European Journal of Physics, 2005, pp.23
Journal articles hal-00266889v1
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Computing the first eigenelements of some linear operators using a branching Monte Carlo method

Antoine Lejay , Sylvain Maire
Journal of Computational Physics, 2008, 227 (23), pp.9794-9806. ⟨10.1016/⟩
Journal articles inria-00151884v2

Perturbation of linear rough differential equations and applications

Antoine Lejay
Rough Paths and PDEs, Aug 2012, Oberwolfach, Germany. ⟨10.4171/OWR/2012/41⟩
Conference papers hal-00760588v1

Problème d'éclatement de tuyaux : approches Monte Carlo

Madalina Deaconu , Antoine Lejay
[Contrat] 2010
Reports hal-00768371v1

Séminaire de probabilités XLIX

Emmanuel Boissard , Patrick Cattiaux , Arnaud Guillin , Laurent Miclo , Florian Bouguet , et al.
Donati-Martin, Catherine; Lejay, Antoine; Rouault, Alain. Springer, 2215, 2018, Lecture notes in mathematics, ⟨10.1007/978-3-319-92420-5⟩
Books hal-01931202v1
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Global solutions to rough differential equations with unbounded vector fields

Antoine Lejay
Catherine Donati-Martin and Antoine Lejay and Alain Rouault. Séminaire de Probabilités XLIV, 2046, Springer, pp.215-246, 2012, Lecture Notes in Mathemics, 978-3-642-27460-2. ⟨10.1007/978-3-642-27461-9_11⟩
Book sections istex inria-00451193v3

Mesure de risques : calcul de la Value-at-Risk et application à la gestion de portefeuilles

Souhail Boukherouaa , Nicolas Champagnat , Madalina Deaconu , Antoine Lejay
[Contrat] non spécifié. 2013, pp.77
Reports hal-00780460v1
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Is a Brownian motion skew?

Antoine Lejay , Ernesto Mordecki , Soledad Torres
Scandinavian Journal of Statistics, 2014, 5 (2), pp.346-364. ⟨10.1111/sjos.12033⟩
Journal articles istex inria-00544442v4
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On the use of the Radon transform to estimate longshore currents from video imagery

Stanislas Larnier , Rafael Almar , Rodrigo Cienfuegos , Antoine Lejay
ICS 2014 : International Coastal Symposium, Durban (ZFA), 2014/04/13-18, Coastal Education and Research Foundation (CERF) and the Journal of Coastal Research (JCR), Apr 2014, Durban, South Africa. pp.023-028, ⟨10.2112/SI70-005.1⟩
Conference papers hal-00917807v1

Analyse de dépendance d'actifs financiers par la méthode des copules

Nicolas Champagnat , Madalina Deaconu , Antoine Lejay , Akram Bedoui
[Contract] Inria. 2015, pp.61
Reports hal-01114790v1
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Monte Carlo simulations in media with interfaces

Antoine Lejay , Sylvain Maire , Géraldine Pichot
Interplay of Theory and Numerics for Deterministic and Stochastic Homogenization, Mathematisches Forschungsinstitut Oberwolfach, Mar 2013, Oberwolfach, Germany. pp.38-30, ⟨10.4171/OWR/2013/14⟩
Conference papers hal-00819900v1
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A Donsker theorem to simulate one-dimensional processes with measurable coefficients

Pierre Etoré , Antoine Lejay
ESAIM: Probability and Statistics, 2007, 11, pp.301-326. ⟨10.1051/ps:2007021⟩
Journal articles inria-00077851v1
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A probabilistic interpretation of the transmission conditions using the Skew Brownian motion

Antoine Lejay
Multi Scale problems and asymptotic analysis - Narvik Midnight Sun Conference 2004, European Research Training Network Homogenization and Multiple Scales (HMS2000)., 2004, Narvik Norvège
Conference papers inria-00092418v1
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Simulating a diffusion on a graph. Application to reservoir engineering

Antoine Lejay
Monte Carlo Methods and Applications, 2003, 9 (3), pp.241-255
Journal articles inria-00092428v1
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Controlled differential equations as Young integrals: a simple approach

Antoine Lejay
Journal of Differential Equations, 2010, 249, pp.1777-1798. ⟨10.1016/j.jde.2010.05.006⟩
Journal articles inria-00402397v1
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exitbm: a library for simulating Brownian motion's exit times and positions from simple domains

Antoine Lejay
[Technical Report] RT-0402, INRIA. 2011, pp.26
Reports inria-00561409v2

A Monte Carlo method to compute the exchange coefficient in the double porosity model

Fabien Campillo , Antoine Lejay
Monte Carlo Methods and Applications, 2001, 7 (1--2), pp.65--72
Journal articles hal-00652117v1
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Modeling diffusion in discontinuous media under generalized interface conditions: theory and algorithms

Elisa Baioni , Antoine Lejay , Géraldine Pichot , Giovanni Michele Porta
Preprints, Working Papers, ... hal-04166559v2