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Author ID: frikha.noufel Recent zbMATH articles by "Frikha, Noufel"
Published as: Frikha, Noufel; Frikha, N.
External Links: MGP

Publications by Year

Citations contained in zbMATH Open

13 Publications have been cited 57 times in 44 Documents Cited by Year
Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling. Zbl 1185.91091
Bardou, O.; Frikha, N.; Pagès, G.
17
2009
Concentration bounds for stochastic approximations. Zbl 1252.60065
Frikha, Noufel; Menozzi, Stéphane
9
2012
Multi-level stochastic approximation algorithms. Zbl 1344.93111
Frikha, Noufel
6
2016
On the weak approximation of a skew diffusion by an Euler-type scheme. Zbl 1429.60052
Frikha, Noufel
6
2018
Transport-entropy inequalities and deviation estimates for stochastic approximation schemes. Zbl 1284.60137
Fathi, Max; Frikha, Noufel
4
2013
CVaR hedging using quantization-based stochastic approximation algorithm. Zbl 1331.91199
Bardou, O.; Frikha, N.; Pagès, G.
4
2016
Weak uniqueness and density estimates for SDEs with coefficients depending on some path-functionals. Zbl 1451.35073
Frikha, Noufel; Li, Libo
3
2020
Shortfall risk minimization in discrete time financial market models. Zbl 1308.91081
Frikha, N.
2
2014
Recursive computation of value-at-risk and conditional value-at-risk using MC and QMC. Zbl 1182.91089
Bardou, Olivier; Frikha, Noufel; Pagès, Gilles
2
2009
Joint modelling of gas and electricity spot prices. Zbl 1457.91278
Frikha, Noufel; Lemaire, Vincent
1
2013
A multi-step Richardson-Romberg extrapolation method for stochastic approximation. Zbl 1336.60137
Frikha, N.; Huang, Lorick
1
2015
Integration by parts formula for killed processes: a point of view from approximation theory. Zbl 1466.60133
Frikha, Noufel; Kohatsu-Higa, Arturo; Li, Libo
1
2019
Quantization based recursive importance sampling. Zbl 1272.65004
Frikha, Noufel; Sagna, Abass
1
2012
Weak uniqueness and density estimates for SDEs with coefficients depending on some path-functionals. Zbl 1451.35073
Frikha, Noufel; Li, Libo
3
2020
Integration by parts formula for killed processes: a point of view from approximation theory. Zbl 1466.60133
Frikha, Noufel; Kohatsu-Higa, Arturo; Li, Libo
1
2019
On the weak approximation of a skew diffusion by an Euler-type scheme. Zbl 1429.60052
Frikha, Noufel
6
2018
Multi-level stochastic approximation algorithms. Zbl 1344.93111
Frikha, Noufel
6
2016
CVaR hedging using quantization-based stochastic approximation algorithm. Zbl 1331.91199
Bardou, O.; Frikha, N.; Pagès, G.
4
2016
A multi-step Richardson-Romberg extrapolation method for stochastic approximation. Zbl 1336.60137
Frikha, N.; Huang, Lorick
1
2015
Shortfall risk minimization in discrete time financial market models. Zbl 1308.91081
Frikha, N.
2
2014
Transport-entropy inequalities and deviation estimates for stochastic approximation schemes. Zbl 1284.60137
Fathi, Max; Frikha, Noufel
4
2013
Joint modelling of gas and electricity spot prices. Zbl 1457.91278
Frikha, Noufel; Lemaire, Vincent
1
2013
Concentration bounds for stochastic approximations. Zbl 1252.60065
Frikha, Noufel; Menozzi, Stéphane
9
2012
Quantization based recursive importance sampling. Zbl 1272.65004
Frikha, Noufel; Sagna, Abass
1
2012
Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling. Zbl 1185.91091
Bardou, O.; Frikha, N.; Pagès, G.
17
2009
Recursive computation of value-at-risk and conditional value-at-risk using MC and QMC. Zbl 1182.91089
Bardou, Olivier; Frikha, Noufel; Pagès, Gilles
2
2009
all top 5

Cited by 91 Authors

5 Frikha, Noufel
3 Fort, Gersende
3 Pagès, Gilles
2 Costa, Manon
2 Crepey, Stephane
2 Dereich, Steffen
2 Gadat, Sébastien
2 Gobet, Emmanuel
2 Honoré, Igor
2 Jourdain, Benjamin
2 Krumscheid, Sebastian
2 Nobile, Fabio
2 Prashanth, L. A.
2 Saraev, Aleksandr Leonidovich
2 Saraev, Leonid Aleksandrovich
2 Stazhynski, Uladzislau
1 Alfonsi, Aurélien
1 Ankirchner, Stefan
1 Bardou, Olivier
1 Barrera, David
1 Beck, Nicholas
1 Bercu, Bernard
1 Bhat, Sanjay P.
1 Borkar, Vivek Shripad
1 Botev, Zdravko I.
1 Carmona, René A.
1 Chaudru De Raynal, Paul-Eric
1 Chow, Yinlam
1 Coulon, Michael
1 Cui, Zhenyu
1 Diallo, Babacar
1 Ding, Kailin
1 Étoré, Pierre
1 Foster, Adam
1 Fraysse, Philippe
1 Gamboa, Fabrice
1 Garivier, Aurélien
1 Ghavamzadeh, Mohammad
1 Giles, Michael B.
1 Gloter, Arnaud
1 Goda, Takashi
1 Guéant, Olivier
1 Haji-Ali, Abdul-Lateef
1 Hironaka, Tomohiko
1 Hong, Liu Jeff
1 Hu, Zhaolin
1 Huang, Lorick
1 Jagannathan, Krishna
1 Janson, Lucas
1 Jiang, Daniel R.
1 Kebaier, Ahmed
1 Kim, Sojung
1 Kitade, Wataru
1 Kolla, Ravi Kumar
1 Korda, Nathaniel
1 Kruse, Thomas
1 Labopin-Richard, Tatiana
1 Laruelle, Sophie
1 Li, Libo
1 Liu, Guangwu
1 Lloyd, Chris J.
1 Loukianova, Dasha
1 Mailhot, Mélina
1 Martin, Matthieu
1 Martinez, Miguel
1 Menozzi, Stéphane
1 Moulines, Eric
1 Müller-Gronbach, Thomas
1 Munos, Rémi
1 Neuenkirch, Andreas
1 Niklitschek-Soto, Sebastian
1 Ohashi, Alberto Masayoshi F.
1 Panloup, Fabien
1 Pavone, Marco
1 Powell, Warren Buckler
1 Reutenauer, Victor
1 Romito, Marco
1 Sagna, Abass
1 Schreck, Amandine
1 Schwarz, Daniel C.
1 Stenger, Jérôme
1 Szölgyenyi, Michaela
1 Szpruch, Lukasz
1 Taguchi, Dai
1 Tanaka, Akihiro
1 Teixeira, Alan
1 Thoppe, Gugan C.
1 Urusov, Mikhail A.
1 Vihola, Matti
1 Wang, Yongjin
1 Weber, Stefan
all top 5

Cited in 33 Serials

3 Stochastic Processes and their Applications
3 Electronic Journal of Probability
3 SIAM/ASA Journal on Uncertainty Quantification
2 The Annals of Applied Probability
2 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
2 Electronic Journal of Statistics
2 Vestnik Samarskogo Gosudarstvennogo Tekhnicheskogo Universiteta. Seriya Fiziko-Matematicheskie Nauki
1 Journal of Mathematical Analysis and Applications
1 Journal of Computational and Applied Mathematics
1 Journal of Statistical Planning and Inference
1 Mathematics of Operations Research
1 Numerische Mathematik
1 SIAM Journal on Control and Optimization
1 SIAM Journal on Numerical Analysis
1 Operations Research Letters
1 Machine Learning
1 European Journal of Operational Research
1 Journal de Mathématiques Pures et Appliquées. Neuvième Série
1 SIAM Journal on Scientific Computing
1 Applied Mathematical Finance
1 ACM Transactions on Modeling and Computer Simulation
1 Mathematical Finance
1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings
1 Quantitative Finance
1 Journal of Machine Learning Research (JMLR)
1 Comptes Rendus. Mathématique. Académie des Sciences, Paris
1 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis
1 Mathematics and Financial Economics
1 Journal of Statistical Theory and Practice
1 Stochastic Systems
1 Modern Stochastics. Theory and Applications
1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys

Citations by Year