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Your search keyword '"Privault, Nicolas"' showing total 2 results
Start Over Author "Privault, Nicolas" Topic finite differences Publisher elsevier b.v.
2 results on '"Privault, Nicolas"'

1. Sensitivity analysis and density estimation for finite-time ruin probabilities

Author

Loisel, Stéphane and Privault, Nicolas

Subjects
*SENSITIVITY analysis, *DENSITY functionals, *ESTIMATION theory, *FINITE differences, *REVERSE mathematics, *MONTE Carlo method, *RANDOM variables, *MATHEMATICAL analysis
Abstract

Abstract: The goal of this paper is to obtain probabilistic representation formulas that are suitable for the numerical computation of the (possibly non-continuous) density functions of infima of reserve processes commonly used in insurance. In particular we show, using Monte Carlo simulations, that these representation formulas perform better than standard finite difference methods. Our approach differs from Malliavin probabilistic representation formulas which generally require more smoothness on random variables and entail the continuity of their density functions. [Copyright &y& Elsevier]

Published
2009
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2. Isoperimetric and related bounds on configuration spaces

Author

Houdré, Christian and Privault, Nicolas

Subjects
*CONFIGURATION space, *CALCULUS of variations, *FINITE differences, *POISSON processes, *SET theory, *NUMERICAL analysis
Abstract

Abstract: Using finite difference operators, we define a notion of boundary and surface measure for configuration sets under Poisson measures. A Margulis–Russo type identity and a co-area formula are stated with applications to bounds on the probabilities of monotone sets of configurations and on related isoperimetric constants. [Copyright &y& Elsevier]

Published
2008
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