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Ludovic Goudenège
Ludovic Goudenège
Chargé de Recherche, CNRS, Fédération de Mathématiques de CentraleSupélec
Verified email at math.cnrs.fr - Homepage
Title
Cited by
Cited by
Year
Unbiasedness of some generalized adaptive multilevel splitting algorithms
CE Bréhier, M Gazeau, L Goudenège, T Lelièvre, M Rousset
712016
Unbiasedness of some generalized Adaptive Multilevel Splitting algorithms
CE Bréhier, M Gazeau, L Goudenège, T Lelièvre, M Rousset
arXiv preprint arXiv:1505.02674, 2015
712015
Analysis of some splitting schemes for the stochastic Allen-Cahn equation
CE Bréhier, L Goudenège
Discrete & Continuous Dynamical Systems - B 24 (8), 4169-4190, 2018
612018
Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models
L Goudenege, A Molent, A Zanette
Quantitative Finance 20 (4), 573-591, 2020
422020
Weak convergence rates of splitting schemes for the stochastic Allen–Cahn equation
CE Bréhier, L Goudenège
BIT Numerical Mathematics 60 (3), 543-582, 2020
402020
Variance reduction applied to machine learning for pricing Bermudan/American options in high dimension
L Goudenège, A Molent, A Zanette
arXiv preprint arXiv:1903.11275, 2019
382019
Stochastic Cahn–Hilliard equation with singular nonlinearity and reflection
L Goudenège
Stochastic Processes and their Applications 119 (10), 3516-3548, 2009
382009
Likelihood-based non-Markovian models from molecular dynamics
H Vroylandt, L Goudenège, P Monmarché, F Pietrucci, B Rotenberg
Proceedings of the National Academy of Sciences 119 (13), e2117586119, 2022
372022
Stochastic Cahn–Hilliard equation with double singular nonlinearities and two reflections
A Debussche, L Goudenège
SIAM journal on mathematical analysis 43 (3), 1473-1494, 2011
362011
High order finite element calculations for the Cahn-Hilliard equation
L Goudenège, D Martin, G Vial
Journal of Scientific Computing 52 (2), 294-321, 2012
212012
Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate
L Goudenège, A Molent, A Zanette
Decisions in Economics and Finance 44 (1), 57-72, 2021
192021
Pricing and hedging GMWB in the Heston and in the Black–Scholes with stochastic interest rate models
L Goudenege, A Molent, A Zanette
Computational Management Science 16, 217-248, 2019
172019
Pricing and hedging GLWB in the Heston and in the Black–Scholes with stochastic interest rate models
L Goudenege, A Molent, A Zanette
Insurance: Mathematics and Economics 70, 38-57, 2016
162016
Asymptotic properties of stochastic Cahn–Hilliard equation with singular nonlinearity and degenerate noise
L Goudenège, L Manca
Stochastic Processes and their Applications 125 (10), 3785-3800, 2015
142015
Central limit theorem for adaptive multilevel splitting estimators in an idealized setting
CE Bréhier, L Goudenege, L Tudela
Monte Carlo and Quasi-Monte Carlo Methods: MCQMC, Leuven, Belgium, April …, 2016
92016
Analysis and simulation of rare events for SPDEs
CE Bréhier, M Gazeau, L Goudenège, M Rousset
ESAIM: Proceedings and Surveys 48, 364-384, 2015
72015
Stochastic phase field α-Navier-Stokes vesicle-fluid interaction model
L Goudenège, L Manca
Journal of Mathematical Analysis and Applications 496 (1), 124805, 2021
62021
Likelihood-based parametric estimator for memory kernel in molecular dynamics
H Vroylandt, L Goudenège, P Monmarché, F Pietrucci, B Rotenberg
arXiv preprint arXiv:2110.04246, 2021
42021
Ergodicity of stochastic Cahn-Hilliard equations with logarithmic potentials driven by degenerate or nondegenerate noises
L Goudenège, B Xie
Journal of Differential Equations 269 (9), 6988-7014, 2020
42020
Computing credit valuation adjustment solving coupled PIDEs in the Bates model
L Goudenège, A Molent, A Zanette
Computational Management Science 17, 163-178, 2020
42020
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