Edit Profile (opens in new tab) Frikha, Noufel Compute Distance To: Compute Author ID: frikha.noufel Published as: Frikha, Noufel; Frikha, N. External Links: MGP Documents Indexed: 18 Publications since 2009 1 Further Contribution Co-Authors: 11 Co-Authors with 15 Joint Publications 175 Co-Co-Authors all top 5 Co-Authors 3 single-authored 3 Bardou, Olivier 3 Li, Libo 3 Menozzi, Stéphane 3 Pagès, Gilles 2 Chaudru De Raynal, Paul-Eric 1 Anger, René 1 Belgrade, Nabyl 1 Benhamou, Eric 1 Ciucă, Marian G. 1 Croissant, Olivier 1 Ezzine, Mostafa 1 Fathi, Max 1 Guillemot, Richard 1 Huang, Lorick 1 Kabbaj, Othman 1 Khlif, Tosr 1 Koehler, Etienne 1 Kohatsu-Higa, Arturo 1 Konakov, Valentin 1 Korbosli, Leila 1 Lemaire, Vincent 1 Miri, Mohammed 1 Prié, Jean 1 Sagna, Abass 1 Schauly, Arnaud 1 Triki, Amine all top 5 Serials 2 Journal de Mathématiques Pures et Appliquées. Neuvième Série 2 Stochastic Processes and their Applications 2 Monte Carlo Methods and Applications 2 Electronic Journal of Probability 2 Electronic Communications in Probability 1 The Annals of Applied Probability 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 Applied Mathematical Finance 1 Bernoulli 1 Discrete and Continuous Dynamical Systems 1 Mathematical Finance 1 SIAM Journal on Financial Mathematics all top 5 Fields 15 Probability theory and stochastic processes (60-XX) 9 Numerical analysis (65-XX) 7 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 5 Partial differential equations (35-XX) 4 Systems theory; control (93-XX) 3 Calculus of variations and optimal control; optimization (49-XX) 3 Statistics (62-XX) 2 Operations research, mathematical programming (90-XX) Publications by Year all cited Publications top 5 cited Publications 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 1185.91091Bardou, O.; Frikha, N.; Pagès, G. 17 2009 Concentration bounds for stochastic approximations. Zbl 1252.60065Frikha, Noufel; Menozzi, Stéphane 9 2012 Multi-level stochastic approximation algorithms. Zbl 1344.93111Frikha, Noufel 6 2016 On the weak approximation of a skew diffusion by an Euler-type scheme. Zbl 1429.60052Frikha, Noufel 6 2018 Transport-entropy inequalities and deviation estimates for stochastic approximation schemes. Zbl 1284.60137Fathi, Max; Frikha, Noufel 4 2013 CVaR hedging using quantization-based stochastic approximation algorithm. Zbl 1331.91199Bardou, O.; Frikha, N.; Pagès, G. 4 2016 Weak uniqueness and density estimates for SDEs with coefficients depending on some path-functionals. Zbl 1451.35073Frikha, Noufel; Li, Libo 3 2020 Shortfall risk minimization in discrete time financial market models. Zbl 1308.91081Frikha, N. 2 2014 Recursive computation of value-at-risk and conditional value-at-risk using MC and QMC. Zbl 1182.91089Bardou, Olivier; Frikha, Noufel; Pagès, Gilles 2 2009 Joint modelling of gas and electricity spot prices. Zbl 1457.91278Frikha, Noufel; Lemaire, Vincent 1 2013 A multi-step Richardson-Romberg extrapolation method for stochastic approximation. Zbl 1336.60137Frikha, N.; Huang, Lorick 1 2015 Integration by parts formula for killed processes: a point of view from approximation theory. Zbl 1466.60133Frikha, Noufel; Kohatsu-Higa, Arturo; Li, Libo 1 2019 Quantization based recursive importance sampling. Zbl 1272.65004Frikha, Noufel; Sagna, Abass 1 2012 Weak uniqueness and density estimates for SDEs with coefficients depending on some path-functionals. Zbl 1451.35073Frikha, Noufel; Li, Libo 3 2020 Integration by parts formula for killed processes: a point of view from approximation theory. Zbl 1466.60133Frikha, Noufel; Kohatsu-Higa, Arturo; Li, Libo 1 2019 On the weak approximation of a skew diffusion by an Euler-type scheme. Zbl 1429.60052Frikha, Noufel 6 2018 Multi-level stochastic approximation algorithms. Zbl 1344.93111Frikha, Noufel 6 2016 CVaR hedging using quantization-based stochastic approximation algorithm. Zbl 1331.91199Bardou, O.; Frikha, N.; Pagès, G. 4 2016 A multi-step Richardson-Romberg extrapolation method for stochastic approximation. Zbl 1336.60137Frikha, N.; Huang, Lorick 1 2015 Shortfall risk minimization in discrete time financial market models. Zbl 1308.91081Frikha, N. 2 2014 Transport-entropy inequalities and deviation estimates for stochastic approximation schemes. Zbl 1284.60137Fathi, Max; Frikha, Noufel 4 2013 Joint modelling of gas and electricity spot prices. Zbl 1457.91278Frikha, Noufel; Lemaire, Vincent 1 2013 Concentration bounds for stochastic approximations. Zbl 1252.60065Frikha, Noufel; Menozzi, Stéphane 9 2012 Quantization based recursive importance sampling. Zbl 1272.65004Frikha, Noufel; Sagna, Abass 1 2012 Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling. Zbl 1185.91091Bardou, O.; Frikha, N.; Pagès, G. 17 2009 Recursive computation of value-at-risk and conditional value-at-risk using MC and QMC. Zbl 1182.91089Bardou, Olivier; Frikha, Noufel; Pagès, Gilles 2 2009 all cited Publications top 5 cited Publications 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 all top 5 Cited in 14 Fields 25 Probability theory and stochastic processes (60-XX) 19 Numerical analysis (65-XX) 16 Statistics (62-XX) 13 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 6 Partial differential equations (35-XX) 6 Operations research, mathematical programming (90-XX) 5 Systems theory; control (93-XX) 3 Calculus of variations and optimal control; optimization (49-XX) 2 Ordinary differential equations (34-XX) 2 Computer science (68-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Approximations and expansions (41-XX) 1 Biology and other natural sciences (92-XX) 1 Information and communication theory, circuits (94-XX) Citations by Year