1. D. TALAY, M. TOMASEVIC. A new McKean-Vlasov stochastic interpretation of the parabolic-parabolic Keller-Segel model: The one-dimensional case. Submitted for publication. 2017. (Hal Inria) PDF
  2. J-F. JABIR, D. TALAY, M. TOMASEVIC. Mean--field limit of a particle approximation of the one-dimensional parabolic--parabolic Keller-Segel model without smoothing. Submitted for publication. 2017. (Hal Inria) PDF
  3. A. RICHARD, D. TALAY. Noise sensitivity of functionals of fractional Brownian motion driven stochastic differential equations: Results and perspectives. To appear in `Modern Problems of Stochastic Analysis and Statistics', V. Panov (Ed.),Springer, 2017. (Hal Inria) PDF
  4. J. BION-NADAL and D. TALAY On a Wasserstein-type distance between solutions to stochastic differential equations. Submitted for publication. 2017. (Hal Inria) PDF
  5. J. CLAISSE, D. TALAY, X. TAN. A pseudo-Markov property for controlled diffusion processes. SIAM J. Control Optimization, 54:2, 1017-1029, 2016. PDF
  6. C. MICHEL, V. REUTENAUER, D. TALAY, E. TANRÉ. Liquidity costs: a new numerical methodology and an empirical study. To appear in Applied Mathematical Finance, 2016. PDF or (Hal Inria) PDF
  7. J. INGLIS, D. TALAY. Mean-field limit of a stochastic particle system smoothly interacting through threshold hitting-times and applications to neural networks with dendritic component. SIAM J. Mathematical Analysis (SIMA) , 47-5, 3884-3916, 2015. PDF or (Hal Inria) PDF
  8. M. BOSSY, O. FAUGERAS, D. TALAY. Clarification and complement to Mean-field description and propagation of chaos in networks of Hodgkin-Huxley and FitzHugh-Nagumo neurons. Journal of Mathematical Neuroscience (JMN) 5:19, 2015. PDF
  9. D. TALAY. Singular stochastic computational models, stochastic analysis, PDE analysis, and numerics. Proc. International Congress of Mathematicians, Seoul, 2014.
  10. D. TALAY. On probabilistic approaches for divergence form operators with discontinuous coefficient. In: Advances in Numerical Simulation in Physics and Engineering, SEMA SIMAI Springer Series, Vol. 3. C. Parés, C. Vazquez Cendon, F. Coquel (Eds.), 2014.
  11. M. MARTINEZ, D. TALAY. One-dimensional parabolic diffraction equations: Pointwise estimates and discretization of related stochastic differential equations with weighted local times. Electronic Journal Probab. 17(27),1-30, 2012. PDF
  12. M. BOSSY, J-F. JABIR, D. TALAY. On conditional McKean Lagrangian stochastic models. Probab. Theory Related Fields, 151, 319-351, 2011. PDF
  13. M. BOSSY, M. CISSE, D. TALAY. Stochastic representations of derivatives of solutions of one dimensional parabolic variational inequalities with Neumann boundary conditions. Ann. Inst. H. Poincaré Probab. Stat. 47(2), 395-424, 2011. PDF
  14. C. GRAHAM, D. TALAY Simulation Stochastique et Méthodes de Monte-Carlo. Éditions de l'École Polytechnique, 2011.
  15. R. GIBSON, F-S. LHABITANT, D. TALAY. Modeling The Term Structure Of Interest Rates: A Survey. Foundations and Trends in Finance vol. 5(1-2), 2010.
  16. M. BOSSY, N. CHAMPAGNAT, S. MAIRE, D. TALAY. Probabilistic interpretation and random walk on spheres algorithms for the Poisson-Boltzmann equation in Molecular Dynamics. ESAIM:M2AN, 44(5), 997-1048, 2010. PDF
  17. C. BLANCHET-SCALLIET, R. GIBSON, B. de SAPORTA, D. TALAY , E. TANRE. Viscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs. Advanced Financial Modelling. H. Albrecher, W. Runggaldier, W. Schachermayer (Eds). Radon Series on Computational and Applied Mathematics 8. De Gruyter, 2009. PDF (Finrisk Working Papers 552)
  18. F. BERNARDIN, M. BOSSY, M. MARTINEZ , D. TALAY. On mean discounted numbers of passage times in small balls of Ito processes observed at discrete times. Elec. Comm. Prob. 14, 302-316, 2009. PDF
  19. D. TALAY. Around model risk in finance. Courses of the 2007 CIMPA-UNESCO-MAROCCO School on Stochastic Models in Mathematical Finance, M. Eddahbi, S. Hamadéne, Y. Ouknine (Eds.), 161-229, Travaux en Cours 77, Hermann, 2009. PDF
  20. D. TALAY. Model Risk in Finance: Some Modelling and Numerical Analysis Issues. Mathematical Modeling and Numerical Methods in Finance, Special Volume (Bensoussan and Zhang, Guest Eds.) of Handbook of Numerical Analysis (P.G. Ciarlet, Ed.), vol. XV, 3-28, Elsevier, 2008.
  21. J. JACOD, A. LEJAY, D. TALAY. Estimation of the Brownian dimension of a continuous It\^o process. Bernoulli 14(2), 469-498, 2008. PDF
  22. C. BLANCHET-SCALLIET, A. DIOP, R. GIBSON, D. TALAY , E. TANRE. Technical analysis compared to mathematical models based methods under parameters mis-specification. Journal of Banking & Finance 31(5), 1351-1373, 2007. PDF
  23. S. MAIRE, D. TALAY. On a Monte Carlo method for neutron transport criticality computations. IMA Journal Numerical Analysis 26(4), 657-685, 2006. PDF
  24. M. BOSSY, R. GIBSON, F-S. LHABITANT, N. PISTRE, D. TALAY. Model misspecification analysis for bond options and Markovian hedging strategies. Review of Derivatives Research 9(2), 109-135, 2006. PS
  25. M. MARTINEZ, D. TALAY. Discrétisation d'équations difféerentielles stochastiques unidimensionnelles à générateur sous forme divergence avec coefficient discontinu. C.R. Acad. Sci. Paris, Ser. I, 342, 51-56, 2006.
  26. F. MALRIEU, D. TALAY. Concentration inequalities for Euler schemes. In Monte Carlo and Quasi Monte Carlo Methods 2004. H. Niederreiter, D. Talay (Eds.), 355-372. Springer, 2005. PDF
  27. C. BLANCHET-SCALLIET, R. GIBSON, D. TALAY, E. TANRE. Technical Analysis Techniques versus Mathematical Models: Boundaries of Their Validity Domains. In Monte Carlo and Quasi Monte Carlo Methods 2004. H. Niederreiter, D. Talay (Eds.), 15-30. Springer, 2005. PDF
  28. M. BOSSY, E. GOBET, D. TALAY. Symmetrized Euler scheme for an efficient approximation of reflected diffusions. J. Appl. Prob. 41, 877-889, 2004. PDF
  29. C. BERTHELOT, M. BOSSY, D. TALAY. Numerical analysis and misspecifications in Finance: From model risk to localization error estimates for nonlinear PDEs. In Proceedings of 2003 Ritsumeikan Symposium on Stochastic Processes and its Applications to Mathematical Finance, J. Akahori, S. Ogawa and S. Watanabe (Eds.), World Scientific Publishing Co., 1-25, 2004. PDF
  30. H. REGNIER, D. TALAY. Convergence rate of the Sherman and Peskin branching stochastic particle method. Special Edition of the Proceedings of the Royal Society on Stochastic Analysis A(460), 199-220, 2004. PDF
  31. D. TALAY, Z. ZHENG. Approximation of quantiles of components of diffusion processes. Stoch. Proc. Appl. 109, 23-46, 2004. PDF
  32. D. TALAY, Z. ZHENG. Quantiles of the Euler scheme for diffusion processes and financial applications. Mathematical Finance 13(1), 187-199, 2003.
  33. D. TALAY, O. VAILLANT. A stochastic particle method with random weights for the computation of statistical solutions of McKean-Vlasov equations. Annals Applied Probability 13(1), 140-180, 2003. PDF
  34. D. TALAY. Stochastic Hamiltonian dissipative systems: exponential convergence to the invariant measure, and discretization by the implicit Euler scheme. Markov Processes and Related Fields 8(2), 163-198, 2002. PDF
  35. E. PEIRANO, D. TALAY. Domain decomposition by stochastic methods. Proceedings of the 14th  International Domain Decomposition Conference, 2002. PDF
  36. D. TALAY, Z. ZHENG. Worst case model risk management. Finance and Stochastics, 6(4), 517-537, 2002. PDF
  37. H. REGNIER, D. TALAY. Vitesse de convergence d'une méthode particulaire stochastique avec branchements. Note aux Comptes-Rendus de l'Académie des Sciences t.332, S\érie I, 933-938, 2001.
  38. D. TALAY. Discretization of Stochastic Differential Equations. Application to Simulation. Stochastic Numerical Methods for Partial Differential Equations. In ENUMATH 99 - Proceedings of the 3rd European Conference on Numerical Mathematics and Advanced Applications, Jyväskylä, Finland, , P. Neittaanmäki, T. Tiihonen and P. Tarvainen (Eds.), World Scientific, Singapore, 2000.
  39. D. TALAY. Simulation of Stochastic Processes and Applications. In Proceedings of  FOCM 99, R. DeVore and A. Isarles (Eds.), Cambridge University Press, 2000.
  40. D. TALAY, Z. ZHENG. A Hamilton Jacobi Bellman Isaacs Equation for a Financial Risk Model. In Optimal Control and PDEs, IOS Press, 2000.
  41. D. TALAY, O. VAILLANT. Vitesse de convergence d'une méthode particulaire stochastique avec poids d'interaction aléatoires. Note aux Comptes-Rendus de l'Académie des Sciences,, t. 330, Série I, 821-824, 2000.
  42. M. BOSSY, R. GIBSON, F-S. LHABITANT, N. PISTRE, D. TALAY, Z. ZHENG. Volatility model risk measurement and strategies against worst case volatilities. Journal de la Société Française de Statistiques, 141(1-2), 73-86, 2000.
  43. D. TALAY. Approximation of invariant measures of nonlinear Hamiltonian and dissipative stochastic differential equations. In R.Bouc and C.Soize (Eds.), Progress in Stochastic Structural Dynamics, volume 152 of Publication du L.M.A.-C.N.R.S., 139-169, 1999.
  44. D. TALAY. The Upper Lyapunov Exponent of the Euler Scheme for Stochastic Differential Equations. In Stochastic Dynamics, P. Crauel and M. Gundlach (Eds.), 241-258, Springer, 1999.
  45. R. GIBSON, F-S. LHABITANT, N. PISTRE, D. TALAY. Interest Rate Model Risk: An overview. The Journal of Risk, 1(3): 37-62, 1999.
  46. R. GIBSON, F-S. LHABITANT, N. PISTRE, D. TALAY. Interest Rate Model Risk. Asset and Liability Management, Risk Books, 67-87, 1999.
  47. S. BENACHOUR, B. ROYNETTE, D. TALAY, P. VALLOIS. Nonlinear selfstabilizing processes (I). Stoch. Proc. Appl., 75:173-201, 1998. PDF
  48. P. PROTTER, D. TALAY. Convergence rate of the Euler scheme for stochastic differential equations driven by Lévy processes. Annals of Probability , 25(1):393-423, 1997. PDF
  49. M. BOSSY, D. TALAY. A stochastic particle method for the McKean-Vlasov and the Burgers equation. Mathematics of Computation, 66(217): 157-192, 1997. PDF
  50. M. BOSSY, M. PICASSO, D. TALAY. Probabilistic numerical methods for physical and financial problems. Computers in Physics, 11(4): 325-330, 1997.
  51. M. BOSSY, N. PISTRE, D. TALAY. Etude numérique de sensibilités du bilan d'une compagnie d'assurance dans le cadre d'un contrat avec option de sortie. Banques et Marché, 28:21-31, 1997.
  52. D. TALAY. Probabilistic numerical methods for partial differential equations: elements of analysis. In D. Talay and L. Tubaro (Eds.), Probabilistic Models for Nonlinear Partial Differential Equations, Lecture Notes in Mathematics 1627, 48-196, 1996.
  53. M. BOSSY, D. TALAY. Convergence rate for the approximation of the limit law of weakly interacting particles: application to the Burgers equation. Annals of Applied Probability, 6:818-861, 1996. PDF
  54. V. BALLY, D. TALAY. The law of the Euler scheme for stochastic differential equations (II): convergence rate of the density. Monte Carlo Methods and Applications, 2:93-128, 1996. PDF
  55. A. GRORUD, D. TALAY. Approximation of Lyapunov exponents of nonlinear stochastic differential systems. SIAM J. Applied Math., 56(2), 627-650, 1996. PDF
  56. V. BALLY, D. TALAY. The law of the Euler scheme for stochastic differential equations (I):convergence rate of the distribution function. Probability Theory and Related Fields, 104:43-60, 1995. PDF
  57. M. BOSSY, D. TALAY. Vitesse de convergence d'un algorithme particulaire stochastique pour l'équation de Burgers. Note aux Comptes-Rendus de l'Académie des Sciences, 1995.
  58. K. SABELFELD, D. TALAY. Integral formulation of the boundary value problems and the method of random walk on spheres. Monte Carlo Methods and Applications, 1, 1995.
  59. V. BALLY, D. TALAY. The Euler scheme for Stochastic Differential Equations: Error analysis with Malliavin Calculus. Mathematics and Computers in Simulation, 38, 1995.
  60. M. BOSSY, D. TALAY. A stochastic particle method for some one-dimensional nonlinear PDE. Mathematics and Computers in Simulation, 38, 1995.
  61. P. BERNARD, D. TALAY, L.TUBARO. Rate of convergence of a stochastic particle method for the Kolmogorov equation with variable coefficients. Mathematics of Computation, 63, 555-587 and S11-S17, 1994. PDF and the supplement PDF
  62. D. TALAY. Presto: a software package for the simulation of diffusion processes. Statistics and Computing Journal, 4(4), 1994.
  63. P. BERNARD, D. TALAY, L. TUBARO. Vitesse de convergence d'une méthode particulaire stochastique pour équations de convection-diffusion-réaction. Note aux Comptes-Rendus de l'Académie des Sciences, 317:381--384, 1993.
  64. É. FOURNIÉ, D. TALAY. Application de la statistique des diffusions à un modèle de taux d'intérêt. Finance, 12(2):79-111, 1991. PDF
  65. D. TALAY. Approximation of upper Lyapunov exponents of bilinear stochastic differential systems. SIAM Journal on Numerical Analysis, 28(4):1141--1164, 1991. PDF
  66. D. TALAY. Second order discretization schemes of stochastic differential systems for the computation of the invariant law. Stochastics and Stochastic Reports, 29(1):13--36, 1990. PDF
  67. D. TALAY, L. TUBARO. Expansion of the global error for numerical schemes solving stochastic differential equations. Stochastic Analysis and Applications, 8(4):94--120, 1990. PDF
  68. D. TALAY, L. TUBARO. Romberg extrapolations for numerical schemes solving stochastic differential equations. Structural Safety, 8, 1990.
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