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Lejay, Antoine

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Author ID: lejay.antoine Recent zbMATH articles by "Lejay, Antoine"
Published as: Lejay, A.; Lejay, Antoine
Documents Indexed: 63 Publications since 2001, including 8 Books

Publications by Year

Citations contained in zbMATH

46 Publications have been cited 438 times in 288 Documents Cited by Year
On the constructions of the skew Brownian motion. Zbl 1189.60145
Lejay, Antoine
69
2006
Young integrals and SPDEs. Zbl 1103.60062
Gubinelli, Massimiliano; Lejay, Antoine; Tindel, Samy
44
2006
An introduction to rough paths. Zbl 1041.60051
Lejay, Antoine
38
2003
A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients. Zbl 1094.60056
Lejay, Antoine; Martinez, Miguel
24
2006
Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift. Zbl 1370.65003
Kohatsu-Higa, Arturo; Lejay, Antoine; Yasuda, Kazuhiro
19
2017
Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps. Zbl 1284.65007
Lejay, Antoine; Pichot, Géraldine
17
2012
On \((p,q)\)-rough paths. Zbl 1097.60048
Lejay, Antoine; Victoir, Nicolas
15
2006
Controlled differential equations as Young integrals: a simple approach. Zbl 1216.34058
Lejay, Antoine
14
2010
Semi-martingales and rough paths theory. Zbl 1109.60035
Coutin, Laure; Lejay, Antoine
14
2005
A probabilistic representation of the solution of some quasi-linear PDE with a divergence form operator. Application to existence of weak solutions of FBSDE. Zbl 1075.60070
Lejay, Antoine
14
2004
A random walk on rectangles algorithm. Zbl 1104.60046
Deaconu, Madalina; Lejay, Antoine
12
2006
BSDE driven by Dirichlet process and semi-linear parabolic PDE. Application to homogenization. Zbl 1058.60045
Lejay, Antoine
10
2002
Global solutions to rough differential equations with unbounded vector fields. Zbl 1254.60059
Lejay, Antoine
9
2012
On the importance of the Lévy area for studying the limits of functions of converging stochastic processes. Application to homogenization. Zbl 1199.60292
Lejay, Antoine; Lyons, Terry
9
2005
On rough differential equations. Zbl 1190.60044
Lejay, Antoine
8
2009
Stochastic differential equations driven by processes generated by divergence form operators. I: A Wong-Zakai theorem. Zbl 1181.60085
Lejay, Antoine
8
2006
Perturbed linear rough differential equations. Zbl 1322.60084
Coutin, Laure; Lejay, Antoine
7
2014
Simulating a diffusion on a graph. Application to reservoir engineering. Zbl 1072.76062
Lejay, Antoine
7
2003
Simulation of a stochastic process in a discontinuous layered medium. Zbl 1243.60062
Lejay, Antoine
6
2011
Yet another introduction to rough paths. Zbl 1198.60002
Lejay, Antoine
6
2009
A donsker theorem to simulate one-dimensional processes with measurable coefficients. Zbl 1181.60123
Étoré, Pierre; Lejay, Antoine
6
2007
Monte Carlo methods for fissured porous media: a gridless approach. Zbl 1109.76378
Lejay, Antoine
6
2004
Statistical estimation of the oscillating Brownian motion. Zbl 1415.62008
Lejay, Antoine; Pigato, Paolo
5
2018
The snapping out Brownian motion. Zbl 1345.60088
Lejay, Antoine
5
2016
New Monte Carlo schemes for simulating diffusions in discontinuous media. Zbl 1307.65004
Lejay, Antoine; Maire, Sylvain
5
2013
Estimation of the Brownian dimension of a continuous Itô process. Zbl 1155.62059
Jacod, Jean; Lejay, Antoine; Talay, Denis
5
2008
A Monte Carlo method without grid for a fractured porous domain model. Zbl 1116.76445
Campillo, Fabien; Lejay, Antoine
5
2002
A probabilistic approach to the homogenization of divergence-form operators in periodic media. Zbl 0999.60065
Lejay, Antoine
5
2001
Sensitivity of rough differential equations: an approach through the omega lemma. Zbl 1423.60088
Coutin, Laure; Lejay, Antoine
4
2018
Is a Brownian motion skew? Zbl 06298506
Lejay, Antoine; Mordecki, Ernesto; Torres, Soledad
4
2014
Simulation of diffusions by means of importance sampling paradigm. Zbl 1204.60075
Deaconu, Madalina; Lejay, Antoine
4
2010
Computing the principal eigenvalue of the Laplace operator by a stochastic method. Zbl 1110.65105
Lejay, Antoine; Maire, Sylvain
4
2007
On the decomposition of excursions measures of processes whose generators have diffusion coefficients discontinuous at one point. Zbl 0997.60085
Lejay, A.
4
2002
Homogenization of divergence-form operators with lower-order terms in random media. Zbl 0987.35018
Lejay, Antoine
4
2001
Simulating diffusions with piecewise constant coefficients using a kinetic approximation. Zbl 1231.76241
Lejay, Antoine; Maire, Sylvain
3
2010
Stochastic differential equations driven by processes generated by divergence form operators. II: Convergence results. Zbl 1185.60061
Lejay, Antoine
3
2008
The non-linear sewing lemma I: weak formulation. Zbl 07088997
Brault, Antoine; Lejay, Antoine
2
2019
A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. Zbl 1411.91645
Lejay, Antoine; Pigato, Paolo
2
2019
Simulating diffusion processes in discontinuous media: benchmark tests. Zbl 1349.65019
Lejay, Antoine; Pichot, Géraldine
2
2016
Computing the principal eigenelements of some linear operators using a branching Monte Carlo method. Zbl 1157.65303
Lejay, Antoine; Maire, Sylvain
2
2008
Random matrices: asymptotic eigenvalue statistics. Zbl 1175.15029
Pastur, Leonid; Lejay, Antoine
2
2003
On the convergence of stochastic integrals driven by processes converging on account of a homogenization property. Zbl 1007.60018
Lejay, Antoine
2
2002
Approximation of CVaR minimization for hedging under exponential-Lévy models. Zbl 1367.91201
Deaconu, Madalina; Lejay, Antoine; Salhi, Khaled
1
2017
45th seminar on probability. Including papers of the conference on stochastic filtrations, Strasbourg, France, September 20–22, 2011. Zbl 1270.60005
Donati-Martin, Catherine (ed.); Lejay, Antoine (ed.); Rouault, Alain (ed.)
1
2013
Rough paths. Zbl 1365.60037
Lejay, Antoine
1
2012
An efficient algorithm to simulate a Brownian motion over irregular domains. Zbl 1364.60099
Zein, S.; Lejay, A.; Deaconu, M.
1
2010
The non-linear sewing lemma I: weak formulation. Zbl 07088997
Brault, Antoine; Lejay, Antoine
2
2019
A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. Zbl 1411.91645
Lejay, Antoine; Pigato, Paolo
2
2019
Statistical estimation of the oscillating Brownian motion. Zbl 1415.62008
Lejay, Antoine; Pigato, Paolo
5
2018
Sensitivity of rough differential equations: an approach through the omega lemma. Zbl 1423.60088
Coutin, Laure; Lejay, Antoine
4
2018
Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift. Zbl 1370.65003
Kohatsu-Higa, Arturo; Lejay, Antoine; Yasuda, Kazuhiro
19
2017
Approximation of CVaR minimization for hedging under exponential-Lévy models. Zbl 1367.91201
Deaconu, Madalina; Lejay, Antoine; Salhi, Khaled
1
2017
The snapping out Brownian motion. Zbl 1345.60088
Lejay, Antoine
5
2016
Simulating diffusion processes in discontinuous media: benchmark tests. Zbl 1349.65019
Lejay, Antoine; Pichot, Géraldine
2
2016
Perturbed linear rough differential equations. Zbl 1322.60084
Coutin, Laure; Lejay, Antoine
7
2014
Is a Brownian motion skew? Zbl 06298506
Lejay, Antoine; Mordecki, Ernesto; Torres, Soledad
4
2014
New Monte Carlo schemes for simulating diffusions in discontinuous media. Zbl 1307.65004
Lejay, Antoine; Maire, Sylvain
5
2013
45th seminar on probability. Including papers of the conference on stochastic filtrations, Strasbourg, France, September 20–22, 2011. Zbl 1270.60005
Donati-Martin, Catherine (ed.); Lejay, Antoine (ed.); Rouault, Alain (ed.)
1
2013
Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps. Zbl 1284.65007
Lejay, Antoine; Pichot, Géraldine
17
2012
Global solutions to rough differential equations with unbounded vector fields. Zbl 1254.60059
Lejay, Antoine
9
2012
Rough paths. Zbl 1365.60037
Lejay, Antoine
1
2012
Simulation of a stochastic process in a discontinuous layered medium. Zbl 1243.60062
Lejay, Antoine
6
2011
Controlled differential equations as Young integrals: a simple approach. Zbl 1216.34058
Lejay, Antoine
14
2010
Simulation of diffusions by means of importance sampling paradigm. Zbl 1204.60075
Deaconu, Madalina; Lejay, Antoine
4
2010
Simulating diffusions with piecewise constant coefficients using a kinetic approximation. Zbl 1231.76241
Lejay, Antoine; Maire, Sylvain
3
2010
An efficient algorithm to simulate a Brownian motion over irregular domains. Zbl 1364.60099
Zein, S.; Lejay, A.; Deaconu, M.
1
2010
On rough differential equations. Zbl 1190.60044
Lejay, Antoine
8
2009
Yet another introduction to rough paths. Zbl 1198.60002
Lejay, Antoine
6
2009
Estimation of the Brownian dimension of a continuous Itô process. Zbl 1155.62059
Jacod, Jean; Lejay, Antoine; Talay, Denis
5
2008
Stochastic differential equations driven by processes generated by divergence form operators. II: Convergence results. Zbl 1185.60061
Lejay, Antoine
3
2008
Computing the principal eigenelements of some linear operators using a branching Monte Carlo method. Zbl 1157.65303
Lejay, Antoine; Maire, Sylvain
2
2008
A donsker theorem to simulate one-dimensional processes with measurable coefficients. Zbl 1181.60123
Étoré, Pierre; Lejay, Antoine
6
2007
Computing the principal eigenvalue of the Laplace operator by a stochastic method. Zbl 1110.65105
Lejay, Antoine; Maire, Sylvain
4
2007
On the constructions of the skew Brownian motion. Zbl 1189.60145
Lejay, Antoine
69
2006
Young integrals and SPDEs. Zbl 1103.60062
Gubinelli, Massimiliano; Lejay, Antoine; Tindel, Samy
44
2006
A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients. Zbl 1094.60056
Lejay, Antoine; Martinez, Miguel
24
2006
On \((p,q)\)-rough paths. Zbl 1097.60048
Lejay, Antoine; Victoir, Nicolas
15
2006
A random walk on rectangles algorithm. Zbl 1104.60046
Deaconu, Madalina; Lejay, Antoine
12
2006
Stochastic differential equations driven by processes generated by divergence form operators. I: A Wong-Zakai theorem. Zbl 1181.60085
Lejay, Antoine
8
2006
Semi-martingales and rough paths theory. Zbl 1109.60035
Coutin, Laure; Lejay, Antoine
14
2005
On the importance of the Lévy area for studying the limits of functions of converging stochastic processes. Application to homogenization. Zbl 1199.60292
Lejay, Antoine; Lyons, Terry
9
2005
A probabilistic representation of the solution of some quasi-linear PDE with a divergence form operator. Application to existence of weak solutions of FBSDE. Zbl 1075.60070
Lejay, Antoine
14
2004
Monte Carlo methods for fissured porous media: a gridless approach. Zbl 1109.76378
Lejay, Antoine
6
2004
An introduction to rough paths. Zbl 1041.60051
Lejay, Antoine
38
2003
Simulating a diffusion on a graph. Application to reservoir engineering. Zbl 1072.76062
Lejay, Antoine
7
2003
Random matrices: asymptotic eigenvalue statistics. Zbl 1175.15029
Pastur, Leonid; Lejay, Antoine
2
2003
BSDE driven by Dirichlet process and semi-linear parabolic PDE. Application to homogenization. Zbl 1058.60045
Lejay, Antoine
10
2002
A Monte Carlo method without grid for a fractured porous domain model. Zbl 1116.76445
Campillo, Fabien; Lejay, Antoine
5
2002
On the decomposition of excursions measures of processes whose generators have diffusion coefficients discontinuous at one point. Zbl 0997.60085
Lejay, A.
4
2002
On the convergence of stochastic integrals driven by processes converging on account of a homogenization property. Zbl 1007.60018
Lejay, Antoine
2
2002
A probabilistic approach to the homogenization of divergence-form operators in periodic media. Zbl 0999.60065
Lejay, Antoine
5
2001
Homogenization of divergence-form operators with lower-order terms in random media. Zbl 0987.35018
Lejay, Antoine
4
2001
all top 5

Cited by 355 Authors

27 Lejay, Antoine
8 Friz, Peter Karl
8 Gubinelli, Massimiliano
8 Tindel, Samy
7 Garrido-Atienza, María José
7 Klimsiak, Tomasz
7 Victoir, Nicolas B.
6 Martinez, Miguel
5 Coutin, Laure
5 Hairer, Martin
5 Maire, Sylvain
5 Schmalfuß, Björn
5 Taguchi, Dai
5 Zili, Mounir
4 Bailleul, Ismaël F.
4 Inahama, Yuzuru
4 Li, Yingqiu
4 Marie, Nicolas
4 Nualart, David
4 Sabelfeld, Karl Karlovich
4 Song, Shiyu
4 Tudor, Ciprian A.
4 Unterberger, Jérémie M.
4 Wang, Suxin
4 Wang, Yongjin
4 Waymire, Edward C.
3 Appuhamillage, Thilanka A.
3 Besalú, Mireia
3 Bokil, Vrushali A.
3 Brault, Antoine
3 Chen, Ye
3 Chevyrev, Ilya
3 Delarue, François
3 Deya, Aurélien
3 Hinz, Michael
3 Issoglio, Elena
3 Karatzas, Ioannis
3 Lyons, Terence John
3 Marty, Renaud
3 Mordecki, Ernesto
3 Neamţu, Alexandra
3 Oberhauser, Harald
3 Perkowski, Nicolas
3 Pichot, Géraldine
3 Pigato, Paolo
3 Pilipenko, Andrey Yu.
3 Podolskij, Mark
3 Przybyłowicz, Paweł
3 Rovira, Carles
3 Russo, Francesco
3 Salminen, Paavo H.
3 Szölgyenyi, Michaela
3 Thomann, Enrique A.
3 Zähle, Martina
3 Zhou, Xiaowen
3 Zougar, Eya
2 Ankirchner, Stefan
2 Bahlali, Khaled
2 Benabdallah, Mohsine
2 Bobrowski, Adam
2 Butko Kinderknecht, Yana A.
2 Capitanelli, Raffaela
2 Catellier, Rémi
2 Csáki, Endre
2 Csörgő, Miklós
2 Deaconu, Madalina
2 Diop, Mamadou Abdoul
2 D’Ovidio, Mirko
2 Duc, Luu Hoang
2 Elouaflin, Abouo
2 Étoré, Pierre
2 Fernholz, Erhard Robert
2 Földes, Antónia
2 Gloter, Arnaud
2 Hesse, Robert
2 Hiderah, Kamal
2 Hong, Phan Thanh
2 Hu, Yaozhong
2 Ichiba, Tomoyuki
2 Jacod, Jean
2 Kohatsu-Higa, Arturo
2 Kruse, Thomas
2 Leobacher, Gunther
2 Lopusanschi, Olga
2 Lu, Kening
2 Lyulko, Ya. A.
2 Magnen, Jacques
2 Manson, Charles
2 Neuenkirch, Andreas
2 Ngo, Hoang-Long
2 Pajor-Gyulai, Zsolt
2 Pardoux, Etienne
2 Prömel, David J.
2 Quer-Sardanyons, Lluís
2 Ramirez, Jorge M.
2 Rascanu, Aurel
2 Révész, Pál
2 Riedel, Sebastian
2 Salins, Michael
2 Scheutzow, Michael K. R.
...and 255 more Authors
all top 5

Cited in 107 Serials

34 Stochastic Processes and their Applications
14 The Annals of Probability
12 Journal of Differential Equations
9 Probability Theory and Related Fields
9 Potential Analysis
7 Journal of Computational and Applied Mathematics
7 Journal of Theoretical Probability
7 The Annals of Applied Probability
6 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
6 Monte Carlo Methods and Applications
6 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
5 Journal of Computational Physics
5 Electronic Journal of Probability
5 Bernoulli
4 Journal of Mathematical Analysis and Applications
4 Journal of Functional Analysis
4 Statistics & Probability Letters
4 Stochastic Analysis and Applications
4 Electronic Communications in Probability
4 Journal of Evolution Equations
3 Journal of Mathematical Physics
3 Journal of Statistical Physics
3 Journal of Scientific Computing
3 Journal of Dynamics and Differential Equations
3 Infinite Dimensional Analysis, Quantum Probability and Related Topics
3 International Journal of Theoretical and Applied Finance
3 Statistical Inference for Stochastic Processes
3 Comptes Rendus. Mathématique. Académie des Sciences, Paris
3 Stochastics and Dynamics
3 Frontiers of Mathematics in China
3 Modern Stochastics. Theory and Applications
2 Scandinavian Journal of Statistics
2 Applied Mathematics and Computation
2 Journal of Applied Probability
2 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
2 Proceedings of the American Mathematical Society
2 Transactions of the American Mathematical Society
2 SIAM Journal on Mathematical Analysis
2 Annales de la Faculté des Sciences de Toulouse. Mathématiques. Série VI
2 Theory of Probability and Mathematical Statistics
2 Annales Henri Poincaré
2 Discrete and Continuous Dynamical Systems. Series B
2 Stochastics
2 Proceedings of the Steklov Institute of Mathematics
2 ALEA. Latin American Journal of Probability and Mathematical Statistics
2 Stochastic and Partial Differential Equations. Analysis and Computations
1 Applicable Analysis
1 Communications in Mathematical Physics
1 Computer Methods in Applied Mechanics and Engineering
1 Communications on Pure and Applied Mathematics
1 Moscow University Mathematics Bulletin
1 Nonlinearity
1 Physica A
1 Ukrainian Mathematical Journal
1 The Annals of Statistics
1 Applied Mathematics and Optimization
1 BIT
1 Czechoslovak Mathematical Journal
1 Journal of the American Statistical Association
1 Journal of Combinatorial Theory. Series A
1 Journal of the Mathematical Society of Japan
1 Journal of Statistical Planning and Inference
1 Mathematics and Computers in Simulation
1 Numerische Mathematik
1 Proceedings of the Edinburgh Mathematical Society. Series II
1 Quarterly of Applied Mathematics
1 Results in Mathematics
1 SIAM Journal on Numerical Analysis
1 Insurance Mathematics & Economics
1 Bulletin of the Korean Mathematical Society
1 Annales de l’Institut Henri Poincaré. Analyse Non Linéaire
1 Applied Numerical Mathematics
1 Statistical Science
1 Applied Mathematics Letters
1 Forum Mathematicum
1 M\(^3\)AS. Mathematical Models & Methods in Applied Sciences
1 Communications in Partial Differential Equations
1 Journal de Mathématiques Pures et Appliquées. Neuvième Série
1 SIAM Journal on Applied Mathematics
1 Computational Optimization and Applications
1 Journal of Mathematical Sciences (New York)
1 Electronic Journal of Differential Equations (EJDE)
1 Annales Mathématiques Blaise Pascal
1 Computational and Applied Mathematics
1 NoDEA. Nonlinear Differential Equations and Applications
1 Bulletin des Sciences Mathématiques
1 Discrete and Continuous Dynamical Systems
1 Finance and Stochastics
1 Mathematical Methods of Operations Research
1 Acta Mathematica Sinica. English Series
1 Computational Geosciences
1 Methodology and Computing in Applied Probability
1 Journal of Machine Learning Research (JMLR)
1 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis
1 Mathematics and Financial Economics
1 International Journal of Biomathematics
1 SIAM Journal on Financial Mathematics
1 Science China. Mathematics
1 International Journal of Stochastic Analysis
1 Journal of Probability and Statistics
...and 7 more Serials
all top 5

Cited in 38 Fields

258 Probability theory and stochastic processes (60-XX)
61 Partial differential equations (35-XX)
45 Numerical analysis (65-XX)
28 Ordinary differential equations (34-XX)
26 Statistics (62-XX)
15 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
14 Dynamical systems and ergodic theory (37-XX)
12 Operator theory (47-XX)
7 Statistical mechanics, structure of matter (82-XX)
7 Biology and other natural sciences (92-XX)
7 Systems theory; control (93-XX)
6 Real functions (26-XX)
6 Potential theory (31-XX)
6 Fluid mechanics (76-XX)
5 Measure and integration (28-XX)
5 Functional analysis (46-XX)
4 Associative rings and algebras (16-XX)
4 Global analysis, analysis on manifolds (58-XX)
3 Combinatorics (05-XX)
3 Approximations and expansions (41-XX)
3 Calculus of variations and optimal control; optimization (49-XX)
3 Quantum theory (81-XX)
3 Geophysics (86-XX)
2 Special functions (33-XX)
2 Integral equations (45-XX)
2 General topology (54-XX)
2 Computer science (68-XX)
2 Mechanics of deformable solids (74-XX)
2 Operations research, mathematical programming (90-XX)
2 Information and communication theory, circuits (94-XX)
1 Linear and multilinear algebra; matrix theory (15-XX)
1 Topological groups, Lie groups (22-XX)
1 Functions of a complex variable (30-XX)
1 Difference and functional equations (39-XX)
1 Harmonic analysis on Euclidean spaces (42-XX)
1 Differential geometry (53-XX)
1 Optics, electromagnetic theory (78-XX)
1 Classical thermodynamics, heat transfer (80-XX)

Citations by Year