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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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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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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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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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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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Young integrals and SPDEs

Massimiliano Gubinelli , Antoine Lejay , Samy Tindel
Potential Analysis, 2006, 25 (4), pp.307-326
Journal articles inria-00092425v1
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Monte Carlo methods for fissured porous media: a gridless approach

Antoine Lejay
IV IMACS Seminar on Monte Carlo Methods, Sep 2003, Berlin, pp.385-292
Conference papers inria-00102181v1
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Random walk modeling of conductive heat transport in discontinuous media

Elisa Baioni , Antoine Lejay , Géraldine Pichot , Giovanni Michele Porta
Preprints, Working Papers, ... hal-04166562v2
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Book Review: a Course on Rough Paths - With an Introduction to Regularity Structures (Peter K. Friz and Martin Hairer)

Antoine Lejay
Bulletin of the American Mathematical Society, In press
Journal articles hal-03475899v2
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Perturbed linear rough differential equations

Laure Coutin , Antoine Lejay
Annales Mathématiques Blaise Pascal, 2014, 21 (1), pp.103-150. ⟨10.5802/ambp.338⟩
Journal articles hal-00722900v3
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Estimation of the mean residence time in cells surrounded by semi-permeable membranes by a Monte Carlo method

Antoine Lejay
[Research Report] RR-8709, Inria Nancy - Grand Est (Villers-lès-Nancy, France); INRIA. 2015
Reports hal-01140960v2
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Statistical estimation of the Oscillating Brownian Motion

Antoine Lejay , Paolo Pigato
Bernoulli, 2018, 24 (4B), pp.3568-3602. ⟨10.3150/17-BEJ969⟩
Journal articles hal-01430794v3
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An empirical analysis of heavy-tails behavior of financial data: The case for power laws

Nicolas Champagnat , Madalina Deaconu , Antoine Lejay , Nicolas Navet , Souhail Boukherouaa
Preprints, Working Papers, ... hal-00851429v1
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Estimation of the bias parameter of the skew random walk and application to the skew Brownian motion

Antoine Lejay
Statistical Inference for Stochastic Processes, 2018, 21 (3), pp.539-551. ⟨10.1007/s11203-017-9161-9⟩
Journal articles hal-01319319v4
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Numerical approximation of Backward Stochastic Differential Equations with Jumps

Antoine Lejay , Ernesto Mordecki , Soledad Torres
[Research Report] RR-8595, INRIA. 2014, pp.32
Reports inria-00357992v4

Mesure de risque : détection du régime de crise et calcul de la Value-at-Risk

Nicolas Champagnat , Madalina Deaconu , Antoine Lejay , Khaled Salhi
[Contrat] non précisé. 2013, pp.67
Reports hal-00942009v1
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Trajectoires rugueuses

Antoine Lejay
Matapli, 2012, 98, pp.119-134
Journal articles hal-00701211v1
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The non-linear sewing lemma I : weak formulation

Antoine Brault , Antoine Lejay
Electronic Journal of Probability, In press, 24 (59), pp.1-24. ⟨10.1214/19-EJP313⟩
Journal articles hal-01716945v5
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Hawkes processes framework with a Gamma density as excitation function: application to natural disasters for insurance

Laurent Lesage , Madalina Deaconu , Antoine Lejay , Jorge Augusto Meira , Geoffrey Nichil , et al.
Methodology and Computing in Applied Probability, 2022, pp.29. ⟨10.1007/s11009-022-09938-1⟩
Journal articles hal-03040090v1
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Beyond the delta method

Antoine Lejay , Sara Mazzonetto
Preprints, Working Papers, ... hal-03738371v1
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Book review "A Course on Rough Paths: With an Introduction to Regularity Structures

Antoine Lejay
Quantitative Finance, 2020, pp.2. ⟨10.1080/14697688.2020.1828611⟩
Journal articles hal-02959775v1
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The snapping out Brownian motion

Antoine Lejay
Annals of Applied Probability, 2016, 26 (3), pp.1727-1742. ⟨10.1214/15-AAP1131⟩
Journal articles hal-00781447v4
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Simulation of a stochastic process in a discontinuous layered media

Antoine Lejay
Electronic Communications in Probability, 2011, 16, pp.764-774
Journal articles inria-00583127v4
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A variance reduction technique using a quantized Brownian motion as a control variate

Antoine Lejay , Victor Reutenauer
The Journal of Computational Finance, 2012, 16 (2), pp.61-84
Journal articles inria-00393749v3
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Yet another introduction to rough paths

Antoine Lejay
Séminaire de Probabilités, 2009, Séminaire de Probabilités XLII / Lecture Notes in Mathematics, 1979, pp.1-101. ⟨10.1007/978-3-642-01763-6_1⟩
Journal articles inria-00107460v3
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Simulation of exit times and positions for Brownian motions and Diffusions

Madalina Deaconu , Antoine Lejay
ICIAM 2007, 6th International Congress on Industrial and Applied Mathematics, International Council for Industrial and Applied Mathematics (ICIAM), Jul 2007, Zurich, Switzerland. pp.1081401-1081402, ⟨10.1002/pamm.200700564⟩
Conference papers inria-00348693v1
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A Monte Carlo Method without Grid to Compute the Exchange Coefficient in the Double Porosity Model Part I : From the Matrix to the Fissures

Fabien Campillo , Antoine Lejay
[Research Report] RR-4048, INRIA. 2000, pp.28
Reports inria-00072590v1
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Homogenization of divergence-form operators with lower order terms in random media

Antoine Lejay
Probability Theory and Related Fields, 2001, 120 (2), pp.255-276. ⟨10.1007/s004400100135⟩
Journal articles inria-00001220v1
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A probabilistic representation of the solution of some quasi-linear PDE with a divergence form operator. Application to existence of weak solutions of FBSDE

Antoine Lejay
Stochastic Processes and their Applications, 2004, 110 (1), pp.145-176. ⟨10.1016/⟩
Journal articles inria-00001228v1
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An Efficient Algorithm to Simulate a Brownian Motion Over Irregular Domains

Samih Zein , Antoine Lejay , Madalina Deaconu
Communications in Computational Physics, 2010, 8 (4), pp.901-916. ⟨10.4208/cicp.240209.031209a⟩
Journal articles inria-00444056v1