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Vincent Lemaire

Sorbonne Université

Maitre de Conférences

Maitre de Conférences#

Sorbonne Université, anciennement UPMC, Paris 6 ou Jussieu
Laboratoire de Probabilités, Statistique et Modélisation, CNRS UMR 8001
Équipe Mathématiques financières et actuarielles, probabilités numériques

Campus Pierre et Marie Currie, Jussieu
Couloir 16/26, 2ème étage
Bureau 08

LinkedIn

Tél: 01 44 27 72 22
Mail: vincent.lemaire@sorbonne-universite.fr

Recherche#

ArXiv ORCID

Domaine: probabilités numériques, méthodes de Monte Carlo, multilevel Monte Carlo, algorithmes stochastiques

  • VL. Behavior of the Euler scheme with decreasing step in a degenerate situation. ESAIM Probab. Stat., 11:236–247, 2007. doi:10.1051/ps:2007018.

  • VL. An adaptive scheme for the approximation of dissipative systems. Stochastic Process. Appl., 117(10):1491–1518, 2007. doi:10.1016/j.spa.2007.02.004.

  • VL and Stéphane Menozzi. On some non asymptotic bounds for the Euler scheme. Electron. J. Probab., 15(53):1645–1681, 2010. doi:10.1214/EJP.v15-814.

  • VL and Gilles Pagès. Unconstrained recursive importance sampling. Ann. Appl. Probab., 20(3):1029–1067, 2010. doi:10.1214/09-AAP650.

  • Noufel Frikha and VL. Joint modelling of gas and electricity spot prices. Appl. Math. Finance, 20(1):69–93, 2013. doi:10.1080/1350486X.2012.658220.

  • CE Bréhier, PE Chaudru de Raynal, VL, F Panloup, and C Rey. Recent advances in various fields of numerical probability. ESAIM: Proceedings and Surveys, 51:272–292, 2015. doi:10.1051/proc/201551015.

  • VL, Gilles Pagès, and Fabien Panloup. Invariant measure of duplicated diffusions and application to Richardson-Romberg extrapolation. Ann. Inst. Henri Poincaré Probab. Stat., 51(4):1562–1596, 2015. doi:10.1214/13-AIHP591.

  • Daphné Giorgi, VL, and Gilles Pagès. Limit theorems for weighted and regular multilevel estimators. Monte Carlo Methods and Applications, 23(1):43–70, 2017. doi:10.1515/mcma-2017-0102.

  • VL and Gilles Pagès. Multilevel richardson–romberg extrapolation. Bernoulli, 23(4A):2643–2692, 2017. doi:10.3150/16-BEJ822.

  • VL, Michèle Thieullen, and Nicolas Thomas. Exact Simulation of the Jump Times of a Class of Piecewise Deterministic Markov Processes. Journal of Scientific Computing, 2017. doi:10.1007/s10915-017-0607-4.

  • Daphné Giorgi, VL, and Gilles Pagès. Weak error for nested Multilevel Monte Carlo. Methodology and Computing in Applied Probability, 2020. doi:10.1007/s11009-019-09751-3.

  • VL, Michèle Thieullen, and Nicolas Thomas. Thinning and Multilevel Monte Carlo for Piecewise Deterministic (Markov) Processes. Application to a stochastic Morris-Lecar model. to appear in "Advances in Applied Probability 52.1 (March 2020)", 2020. arXiv:1812.08431.

  • Jean-Michel Fayolle, VL, Thibaut Montes, and Gilles Pagès. Quantization-based Bermudan option pricing in the FX world. Journal of Computational Finance, 2021. doi:10.21314/JCF.2021.008.

  • VL, Thibaut Montes, and Gilles Pagès. New Weak Error bounds and expansions for Optimal Quantization. Journal of Computational and Applied Mathematics, 2020. doi:10.1016/j.cam.2019.112670.

  • Thibaut Montes VL and Gilles Pagès. Stationary heston model: calibration and pricing of exotics using product recursive quantization. Quantitative Finance, 22(4):611–629, 2022. doi:10.1080/14697688.2021.2023205.

  • Daphné Giorgi, Sarah Kaakai, and VL. Efficient simulation of individual-based population models: the R Package IBMPopSim. 2023. arXiv:2303.06183.

  • VL, Gilles Pagès, and Christian Yeo. Swing contract pricing: a parametric approach with adjoint automatic differentiation and neural networks. 2023. arXiv:2306.03822.

  • Stanislas Strasman, Antonio Ocello, Claire Boyer, Sylvain Le Corff, and VL. An analysis of the noise schedule for score-based generative models. 2024. arXiv:2402.04650.

Enseignement#

Responsable du Master Ingénierie Mathématique
Co-responsable du Master IFMA, parcours du Master Ingénierie Mathématique

Encadrement#

Thèse en cours:

Thèse achevée:

Formation#

Package#

Package R IBMPopSim avec Daphné Giorgi et Sarah Kaakai

Contents