Lejay, Antoine; Mordecki, Ernesto; Torres, Soledad Two consistent estimators for the skew Brownian motion. (English) Zbl 1506.60057 ESAIM, Probab. Stat. 23, 567-583 (2019). MSC: 60H10 62F12 PDFBibTeX XMLCite \textit{A. Lejay} et al., ESAIM, Probab. Stat. 23, 567--583 (2019; Zbl 1506.60057) Full Text: DOI
Lejay, Antoine; Pigato, Paolo A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (English) Zbl 1411.91645 Int. J. Theor. Appl. Finance 22, No. 4, Article ID 1950017, 24 p. (2019). MSC: 91G99 62P05 PDFBibTeX XMLCite \textit{A. Lejay} and \textit{P. Pigato}, Int. J. Theor. Appl. Finance 22, No. 4, Article ID 1950017, 24 p. (2019; Zbl 1411.91645) Full Text: DOI arXiv
Lejay, Antoine; Pigato, Paolo Statistical estimation of the oscillating Brownian motion. (English) Zbl 1415.62008 Bernoulli 24, No. 4B, 3568-3602 (2018). MSC: 62F12 60J65 60F05 PDFBibTeX XMLCite \textit{A. Lejay} and \textit{P. Pigato}, Bernoulli 24, No. 4B, 3568--3602 (2018; Zbl 1415.62008) Full Text: DOI arXiv Euclid
Lejay, Antoine; Pichot, Géraldine Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps. (English) Zbl 1284.65007 J. Comput. Phys. 231, No. 21, 7299-7314 (2012). MSC: 65C05 76R50 60J70 PDFBibTeX XMLCite \textit{A. Lejay} and \textit{G. Pichot}, J. Comput. Phys. 231, No. 21, 7299--7314 (2012; Zbl 1284.65007) Full Text: DOI HAL
Lejay, Antoine; Maire, Sylvain Simulating diffusions with piecewise constant coefficients using a kinetic approximation. (English) Zbl 1231.76241 Comput. Methods Appl. Mech. Eng. 199, No. 29-32, 2014-2023 (2010). MSC: 76M35 76R50 PDFBibTeX XMLCite \textit{A. Lejay} and \textit{S. Maire}, Comput. Methods Appl. Mech. Eng. 199, No. 29--32, 2014--2023 (2010; Zbl 1231.76241) Full Text: DOI
Étoré, Pierre; Lejay, Antoine A donsker theorem to simulate one-dimensional processes with measurable coefficients. (English) Zbl 1181.60123 ESAIM, Probab. Stat. 11, 301-326 (2007). MSC: 60J60 65C05 PDFBibTeX XMLCite \textit{P. Étoré} and \textit{A. Lejay}, ESAIM, Probab. Stat. 11, 301--326 (2007; Zbl 1181.60123) Full Text: DOI Numdam EuDML