Jérôme LELONG
Jérôme LELONG
Maître de Conférences, Univ. Grenoble Alpes
Verified email at univ-grenoble-alpes.fr
TitleCited byYear
Robust adaptive importance sampling for normal random vectors
B Jourdain, J Lelong
The Annals of Applied Probability 19 (5), 1687-1718, 2009
492009
Almost sure convergence of randomly truncated stochastic algorithms under verifiable conditions
J Lelong
Statistics & Probability Letters 78 (16), 2632-2636, 2008
332008
Pricing double barrier Parisian options using Laplace transforms
C Labart, J Lelong
International Journal of Theoretical and Applied Finance 12 (01), 19-44, 2009
322009
A framework for adaptive Monte Carlo procedures
B Lapeyre, J Lelong
Monte Carlo Methods and Applications 17 (1), 77-98, 2011
302011
Tuning EASY-backfilling queues
J Lelong, V Reis, D Trystram
Workshop on Job Scheduling Strategies for Parallel Processing, 43-61, 2017
152017
Coupling importance sampling and multilevel Monte Carlo using sample average approximation
A Kebaier, J Lelong
Methodology and Computing in Applied Probability 20 (2), 611-641, 2018
132018
STochastic OPTimization library in C++
H Gevret, N Langrené, J Lelong, X Warin, A Maheshwari
132018
Pricing Parisian options using Laplace transforms
C Labart, J Lelong
132009
Pricing Parisian Options Céline LABART, Jérôme LELONG RI 589 December 200Ú
C LABART
132005
A parallel algorithm for solving BSDEs
C Labart, J Lelong
Monte Carlo Methods and Applications 19 (1), 11-39, 2013
112013
Etude asymptotique des algorithmes stochastiques et calcul du prix des options Parisiennes
J Lelong
92007
Stein estimation of the intensity of a spatial homogeneous Poisson point process
M Clausel, JF Coeurjolly, J Lelong
The Annals of Applied Probability 26 (3), 1495-1534, 2016
82016
Importance sampling for jump processes and applications to finance
L Badouraly Kassim, J Lelong, I Loumrhari
Journal of Computational Finance 19 (2), 109-139, 2015
82015
Long time behaviour of a stochastic nanoparticle
P Etore, S Labbé, J Lelong
Journal of Differential Equations 257 (6), 2115-2135, 2014
82014
Asymptotic normality of randomly truncated stochastic algorithms
J Lelong
ESAIM: Probability and Statistics 17, 105-119, 2013
82013
A Parallel Algorithm for solving BSDEs-Application to the pricing and hedging of American options
C Labart, J Lelong
arXiv preprint arXiv:1102.4666, 2011
82011
Online tuning of easy-backfilling using queue reordering policies
E Gaussier, J Lelong, V Reis, D Trystram
IEEE Transactions on Parallel and Distributed Systems 29 (10), 2304-2316, 2018
62018
Stochastic local intensity loss models with interacting particle systems
A Alfonsi, C Labart, J Lelong
Mathematical Finance 26 (2), 366-394, 2016
62016
Dual pricing of American options by Wiener chaos expansion
J Lelong
SIAM Journal on Financial Mathematics 9 (2), 493-519, 2018
52018
Asymptotic properties of stochastic algorithms and pricing of Parisian options
J Lelong
PhD thesis, Ecole Nationale des Ponts et Chaussées, 2007
52007
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Articles 1–20