Denis Talay

Overview

Best Publications

• Expansion of the global error for numerical schemes solving stochastic differential equations

  Denis Talay;Luciano Tubaro

  868
  Citations

• THE LAW OF THE EULER SCHEME FOR STOCHASTIC DIFFERENTIAL EQUATIONS: I. CONVERGENCE RATE OF THE DISTRIBUTION FUNCTION

  Vlad Bally;Denis Talay

  565
  Citations

• The Euler scheme for Lévy driven stochastic differential equations

  Philip Protter;Denis Talay

  347
  Citations

• The Law of the Euler Scheme for Stochastic Differential Equations : II. Convergence Rate of the Density

  Vlad Bally;Denis Talay

  259
  Citations

• A stochastic particle method for the McKean-Vlasov and the Burgers equation

  Mireille Bossy;Denis Talay

  256
  Citations

• Discretization and simulation of stochastic differential equations

  E. Pardoux;E. Pardoux;D. Talay

  254
  Citations

• Second order discretization schemes of stochastic differential systems for the computation of the invariant law

  Denis Talay

  224
  Citations

• Numerical methods in finance

  L. C. G. Rogers;D. Talay

  184
  Citations

• Convergence Rate for the Approximation of the Limit Law of Weakly Interacting Particles 2: Application to the Burgers Equation

  Mireille Bossy;Denis Talay

  142
  Citations

• Nonlinear self-stabilizing processes – I Existence, invariant probability, propagation of chaos

  S. Benachour;B. Roynette;D. Talay;P. Vallois

  138
  Citations

• Efficient numerical schemes for the approximation of expectations of functionals of the solution of a S.D.E., and applications

  Denis Talay

  133
  Citations

• Monte Carlo and quasi-Monte Carlo methods 2004

  Harald Niederreiter;Denis Talay

  130
  Citations

• A symmetrized Euler scheme for an efficient approximation of reflected diffusions

  Mireille Bossy;Emmanuel Gobet;Denis Talay

  122
  Citations

• Worst case model risk management

  Denis Talay;Ziyu Zheng

  114
  Citations

• Probabilistic numerical methods for partial differential equations: Elements of analysis

  Denis Talay

  104
  Citations

• Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution

  Denis Talay

  104
  Citations

• Modeling the Term Structure of Interest Rates: A Review of the Literature

  Rajna Gibson;Rajna Gibson;Francois Serge Lhabitant;Denis Talay

  100
  Citations

• Probabilistic Models for Nonlinear Partial Differential Equations

  Carl Graham;Thomas G. Kurtz;Sylvie Méléard;Philip E. Protter

  95
  Citations

• A stochastic particle method with random weights for the computation of statistical solutions of McKean-Vlasov equations

  Denis Talay;Olivier Vaillant

  62
  Citations

• Numerical solution of stochastic differential equations

  Denis Talay

  59
  Citations

• Clarification and Complement to “Mean-Field Description and Propagation of Chaos in Networks of Hodgkin–Huxley and FitzHugh–Nagumo Neurons”

  Mireille Bossy;Olivier Faugeras;Denis Talay

  54
  Citations