Mireille Bossy Publications

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New preprints

[Pre1] Instantaneous turbulent kinetic energy modelling based on Lagrangian stochastic approach in CFD and application to wind energy Mireille Bossy, Jean-Francois Jabir, Kerlyns Martinez Rodriguez https://arxiv.org/pdf/2101.03260 BibTex

[Pre2] Particle agglomeration in flows: fast D2SD algorithm for CFD simulations Kerlyns Martinez Rodriguez, Mireille Bossy, Christophe Henry https://hal.inria.fr/hal-03180740/file/hal-preprint.pdf BibTex

Journals

[J31] New spatial decomposition method for accurate, mesh-independent agglomeration predictions in particle-laden flows. Kerlyns Martinez Rodriguez, Mireille Bossy, Radu Maftei, Seyedafshin Shekarforush, Christophe Henry. Applied Mathematical Modelling, Elsevier, 2021, 90, pp.582-614. ⟨10.1016/j.apm.2020.08.064⟩ BibTex https://hal.inria.fr/hal-02497721/file/hal-version_article_AMM.pdf

[J30] On the weak convergence rate of an exponential Euler scheme for SDEs governed by coefficients with superlinear growth. 2019. ⟨hal-02282168⟩ https://arxiv.org/pdf/1904.09441 M. Bossy, J-F. Francois Jabir, K. Martinez. Bernoulli, Bernoulli Society for Mathematical Statistics and Probability, 2021, 27 (1), pp.312-347. ⟨10.3150/20-BEJ1241⟩ BibTex

[J29] New particle representations for ergodic McKean-Vlasov SDEs.H. Alrachid, M. Bossy, C. Ricci, L. Szpruch. ESAIM: Proceedings and Surveys, EDP Sciences, 2019, CEMRACS 2017 - Numerical methods for stochastic models: control, uncertainty quantification, mean-field, 65, pp.68-83. ⟨10.1051/proc/201965068 ⟩. ⟨hal-02059785⟩ https://arxiv.org/pdf/1901.05507 BibTex

[J28] Synchronization of stochastic mean field networks of Hodgkin-Huxley neurons with noisy channels. Mireille Bossy, Joaquin Fontbona, Hector Olivero Quinteros. Journal of Mathematical Biology, Springer Verlag (Germany), 2019, ⟨10.1007/s00285-019-01326-7⟩. ⟨hal-01678710v3⟩ https://hal.inria.fr/hal-01678710/file/Synchronization_Mean_Field_HH_network.pdf BibTex

[J27] Strong convergence of the symmetrized Milstein scheme for some CEV-like SDEs. M. Bossy, H. Olivero Quinteros. Bernoulli, Bernoulli Society for Mathematical Statistics and Probability, 2018, 24 (3), pp.1995-2042. ⟨10.3150/16-BEJ918⟩. ⟨hal-01185353⟩ https://hal.archives-ouvertes.fr/hal-01185353/file/BEJ918-final.pdf BibTex

[J26] Particle approximation for Lagrangian Stochastic Models with specular boundary condition. M. Bossy, J-F. Jabir. Electron. Commun. Probab., 23:1--14, 2018.

[J25] Modeling the wind circulation around mills with a Lagrangian stochastic approach. M. Bossy, J. Espina, J. Morice, C. Paris, A. Rousseau. Volume 2, 2016, p. 177-214, SMAI-Journal of Computational Mathematics

[J24] Clarification and Complement to "Mean-Field Description and Propagation of Chaos in Networks of Hodgkin-Huxley and FitzHugh-Nagumo Neurons. M. Bossy, O. Faugeras and D. Talay. Volume 5, Number 1, 2015, The Journal of Mathematical Neuroscience

[J23] Lagrangian stochastic models with specular boundary condition. M. Bossy, J-F. Jabir. Volume 268, Issue 6, 15 March 2015, Pages 1309-1381, Journal of Functional Analysis

[J22] Monte carlo methods for linear and non-linear poisson-boltzmann equation.Mireille Bossy, N. Champagnat, H. Leman, S. Maire, L. Violeau, M. Yvinec. ESAIM: Proceedings and Surveys, 48, Decembre 2014.

[J21] Local existence of analytical solutions to an incompressible Lagrangian stochastic model in a periodic domain. M. Bossy, J. Fontbona, J-F. Jabir and P-E. Jabin. Communications in Partial Differential Equations, 38(7):1141--1182, 2013.

[J20] On confined McKean Langevin processes satisfying the mean no-permeability boundary condition. M. Bossy and J-F. Jabir Stochastic Process and their Applications (2011), 121 (2011) 2751-2775; doi:10.1016/j.spa.2011.07.006.

[J19] On conditional McKean Lagrangian stochastic models. M. Bossy, J-F. Jabir, and D. Talay. Probab. Theory Relat. Fields. (2011) 151:319--351, doi:10.1007/s00440-010-0301-z.

[J18] Stochastic representations of derivatives of solutions of one dimensional parabolic variational inequalities with Neumann boundary conditions. M. Bossy, M. Cisse, and D. Talay. Ann. Inst. H. Poincaré Probab. Statist. Volume 47, Number 2 (2011), 395-424.

[J17] Parallel pricing algorithms for multi-dimensional Bermudan/American options using Monte Carlo methods. V. Dung Doan, A. Gaiwad, M. Bossy, F. Baude, and I. Stokes-Rees. Math. Comput. Simulation, 81(3):568--577, 2010.

[J16] Propabilistic interpretation and random walk on spheres algorithms for the Poisson-Boltzmann equation in molecular dynamics. M. Bossy, N. Champagnat, S. Maire, and D. Talay. ESAIM M2AN, Volume 44, Number 5, September-October 2010, Special Issue on Probabilistic methods and their applications, 997-1048.

[J15] Stochastic Lagrangian Method for Downscaling Problems in Computational Fluid Dynamics. F. Bernardin, M. Bossy, C. Chauvin, J.F. Jabir, and A. Rousseau. ESAIM: Mathematical Modelling and Numerical Analysis, EDP Sciences, 2010, Special Issue on Probabilistic methods and their applications, 44 (5), pp.885-920. (10.1051/m2an/2010050)

[J14] On mean numbers of passage times in small balls of discretized Itô processes. F. Bernardin, M. Bossy, M. Martinez, and D. Talay. Elect. Comm. in Probab., 14 :302-316, 2009.

[J13] Stochastic Downscaling Methods: Application to Wind Refinement. F. Bernardin, M. Bossy, C. Chauvin, P. Drobinski, A. Rousseau, and T. Salameh. Stochastic Environmental Research and Risk Assessment, Springer Verlag (Germany), 2009, 23 (6), pp.851-859. (10.1007/s00477-008-0276-9) BibTex https://hal.inria.fr/inria-00337526/file/Serra08.pdf

[J12] Euler sheme for SDEs with non-Lipschitz diffusion coeffcient : strong convergence. A. Berkaoui, M. Bossy, and A. Diop. ESAIM Probability and Statistics, 12 :1-11, 2008.

[J11] Model misspecification analysis for bond options and Markovian hedging strategies. M. Bossy, R. Gibson, F-S. Lhabitant, N. Pistre, and D. Talay. Rev. Deriv. Res.,9(2) :109-135, 2006.

[J10] A symmetrized Euler scheme for an efficient approximation of reflected diffusions. M. Bossy, E. Gobet, and D. Talay. J. Appl. Probab., 41(3) :877-889, 2004.

[J9] Optimal rate of convergence of a stochastic particle method to solutions of 1D viscous scalar conservation laws. M. Bossy. Mathematics of Computation, 73(246) :777-812, 2004.

[J8] Rate of convergence of a particle method for the solution of a 1D viscous scalar conservation law in a bounded interval. M. Bossy and B. Jourdain. Ann. Probab., 30(4) :1797-1832, 2002.

[J7] Risque associé au contrat d'assurance-vie pour la compagnie d'assurance. C. Berthelot, M. Bossy, and N. Pistre. Économie et Prévision,3(149 juillet-septembre), 2001.

[J6] Volatility model risk measurement and strategies against worst case volatilities. M. Bossy, R. Gibson, F-S.Lhabitant, N. Pistre, D. Talay, and Z. Zheng. Journal de la Société Française de Statistique, 141, 2000.

[J5] A stochastic particle method for the McKean-Vlasov and the Burgers equation. M. Bossy and D. Talay. Mathematics of Computation, 66(217) :157-192, 1997.

[J4] Comparison of a stochastic particle method and a finite volume deterministic method applied to Burgers equation. M. Bossy, L. Fezoui, and S. Piperno. Monte Carlo Methods and Appl., 3(2):113-140, 1997.

[J3] Etude numérique de sensibilité d'un bilan de société d'assurance dans le cadre de contrats avec option de sortie. M. Bossy, N. Pistre, and D. Talay. Banque & Marchés, (28) :21-31, 1997.

[J2] Convergence rate for the approximation of the limit law of weakly interacting particles : application to the Burgers equation. M. Bossy and D. Talay. Ann. Appl.Probab., 6 :818-61, 1996.

[J1] A stochastic particle method for some one-dimensional nonlinear PDE. M. Bossy and D. Talay. Mathematics and Computer in Simulation, 38 :43-50, 1995.

Preprints and working papers

[WP1] Weak convergence analysis of the symmetrized Euler scheme for one dimensional SDEs with diffusion coefficient |x|^a, a in [1/2,1). M. Bossy and A. Diop. Research report RR-5396, INRIA. arXiv:1508.04573

[WP2] Mireille Bossy, Jean-Francois Jabir, Radu Maftei. Convergence rate analysis of time discretization scheme for confined Lagrangian processes. 2017. ⟨hal-01656716⟩ https://hal.inria.fr/hal-01656716/file/prprnt.pdf BibTex

[WP3] Maxime Bonelli, Mireille Bossy. Portfolio Management with Drawdown Constraint: An Analysis of Optimal Investment. 2017. ⟨hal-02282162⟩ BibTex

Book Chapters

[C7] On the wellposedness of some McKean models with moderated or singular diffusion coefficient. Mireille Bossy, Jean-Francois Jabir. Frontiers in Stochastic Analysis-- BSDEs, SPDEs and their Applications, 2019, 978-3-030-22285-7. ⟨hal-02283803⟩ https://arxiv.org/pdf/1809.01742 BibTex

[C6] Cyril Mokrani, Mireille Bossy, Marcos Di Iorio, Antoine Rousseau. Numerical Modelling of Hydrokinetic Turbines Immersed in Complex Topography using Non-Rotative Actuator Discs. Three Years Promoting the Development of Marine Renewable Energy in Chile 2015 - 2018, MERIC-Marine Energy and Innovation Center, 2019, 978-956-09327-0-9. ⟨hal-01966351⟩ https://hal.inria.fr/hal-01966351/file/article.pdf BibTex

[C5] Stochastic Lagrangian approach for wind farm simulation Mireille Bossy, Aurore Dupre, Philippe Drobinski, Laurent Violeau, Christian Briard In Forecasting and Risk Management of Renewable Energy, pages 45--71. Springer International Publishing, 2018.

[C4] Game theory analysis for carbon auction market through electricity market coupling. M. Bossy, N. Maïzi, O. Pourtallier. In: Aid R., Ludkovski M., Sircar R. (eds) Commodities, Energy and Environmental Finance. Fields Institute Communications, vol 74. Springer, New York, NY.

[C3] Markov processes and parabolic partial differential equations. M. Bossy and N. Champagnat. In Encyclopedia of Quantitative Finance. Cont R. (Ed). John Wiley & Sons Ltd. Chichester, UK. pp.1142-1159, 2010.

[C2] Electricity prices in a game theory context. M. Bossy, N. Maïzi, G.J. Olsder, O. Pourtallier, and E. Tanre. In Dynamics Games : Theory and Applications, volume 10 of GERAD 25th Anniv. Ser., pages 135-159. Springer, 2005.

[C1] Numerical analysis and misspecifications in finance : from model risk to localization error estimates for nonlinear PDEs. C. Berthelot, M. Bossy, and D. Talay. In Stochastic processes and applications to mathematical finance, pages 1-25. World Sci. Publ., River Edge, NJ, 2004. 

Conference Proceedings

[P14] A stochastic approach to colloidal particle collision/agglomeration. R.E. Maftei, M. Bossy, J-P. Minier and C. Profeta. In ICMF-2016 - 9th International Conference on Multiphase Flow, May 22nd-27th 2016, Firenze, Italy.

[P13] Nash equilibria for coupling of CO2 allowances and electricity markets. M. Bossy, N. MAÏZI, O. Pourtallier. In ESAIM: Proceedings, EDP Sciences, 2014, Congres SMAI 2013, volume 45, pages 98 -- 107, September 2014.

[P12] Superquant financial benchmark suite for performance analysis of grid middlewares. A. Gaikwad, V.D. Doan, M. Bossy, F. Abergel, and F. Baude. In Modeling, Simulation and Optimization of Complex Processes, Proceedings of the Fourth International Conference on High Performance Scientific Computing, March 2-6, 2009, Hanoi, Vietnam. 103--113, Springer 2012.

[P11] Wind Simulation Reffinement: some New Challenges for Particle Methods C. Chauvin, F. Bernardin, M. Bossy and A. Rousseau. In Progress in industrial mathematics at ECMI 2008, 765--770, Math. Ind., 15 Springer, Berlin, 2010.

[P10] Managing parallel and distributed Monte Carlo simulations for computational finance in a Grid environment. I. Stokes-Rees, F. Baude, V. Dung Doan, and M. Bossy. In Simon Lin, editor, Proceedings of the International Symposium on Grid Computing 2007, Taipei, Taiwan, 2008. Springer Verlag.

[P9] Gridifying Classification-Monte Carlo algorithm for pricing high-dimensional American options. V. Dung Doan, A. Gaikwad, F. Baude, and M. Bossy. In Workshop on High Performance Computational Finance, IEEE/ACM Supercomputing November 2008, IEEE Xplore http ://ieeexplore. ieee.org/stamp/stamp.jsp ?arnumber=4745402&isnumber=4745391, Austin, Texas, 2008.

[P8] Solving the uniform density constraint in a downscaling stochastic model. C. Chauvin, S. Hirstoaga, P. Kabelikova, A. Rousseau, F. Bernardin, and M. Bossy. In CEMRACS 2007, volume 24 of ESAIM Proc., pages 97-110, 2008.

[P7] Stochastic particle method applied to local wind simulation. A. Rousseau, F. Bernardin, M. Bossy, P. Drobinski, and T. Salameh. In Proc. IEEE International Conference on Clean Electrical Power, Capri, Italy, 2007. IEEE.

[P6] A fault tolerant and multi-paradigm grid architecture for time constrained problems. Application to financial option pricing. S. Bezinne, V. Galtier, S. Vialle, F. Baude, M. Bossy, V. Dung Doan, and L. Henrio. In IEEE Digital Libray, editor, In 2nd IEEE International Conference on e-Science and Grid Computing, December 2006.

[P5] Stochastic resonance for the lif model : a stochastic approach. M. Bossy, A. Grorud, K. Pakdaman, D. Talay, and E. Tanre. In Neurocomp 2006. 23-24 octobre 2006.

[P4] The statistics of spikes trains for some types of neuron models. O. Faugeras, T. Papadopoulos, J. Touboul, M. Bossy, D. Talay, and E. Tanre. In Neurocomp 2006. 23-24 octobre 2006.

[P3] Some stochastic particle methods for nonlinear parabolic PDEs. M. Bossy. In Proceedings of 2005 GRIP Summer School, volume 15 of ESAIM Proc., pages 18-57. EDP Sci., Les Ulis, 2003.

[P2] A particle method for the solution of a 1D viscous scalar conservation law in a bounded interval. M. Bossy and B. Jourdain. In Monte Carlo Methods Appl., pages 45-53. Proc. Internat. Conf. on Monte Carlo and Probabilistic methods for PDEs, Monaco, July 2000, 2001.

[P1] A Stochastic Particle Method for McKean-Vlasov PDE's and the Burgers Equation. M. Bossy and D. Talay. In O. Mahrenholtz, K. Marti, and R. Mennicken, editors, Applied Stochastics and Optimisation, proceedings of ICIAM 95, number 3 in Special issue of Zeitschrift für Angewandte Mathematik und Mechanik, pages 319-322. Akademie Verlag, 1996.

International Conferences and Workshops

[W1] Picsougrid, a framework for financial computations on the grid. F. Baude, M. Bossy, V.D. Doan, and I. Stokes-Rees. In International Symposium of Grid Computing, Taiwan, 2007, march. 2007.

[W2] Local wind simulation using a stochastic particle method. F. Bernardin, M. Bossy, A. Rousseau, T. Salameh, and P. Drobinski. In SciCADE 2007, International Conference on Scientific Computation and Differential Equations, Saint-Malo, France, 2007.

[W3] Comparison of parallel distributed american option pricing : Through continuation values classification versus optimal exercise boundary computation. V. Dung Doan, M. Bossy, F. Baude, and I. Stokes-Rees. In Sixth IMACS Seminar on Monte Carlo Methods (MCM 2007), Extended abstarct, Reading, UK, 2007.

[W4] Optimal dynamic cross pricing of CO2 market. C. Durville, D. Varone, M. Bossy, N. Maïzi, and O. Pourtallier.In EURO XXII, 22nd European Conference on operational Research, Prague, Ceská Republika, 2007.

Short papers

[S6] Social Distancing: The Sensitivity of Numerical Simulations Christophe Henry, Kerlyns Martinez-Rodriguez, Mireille Bossy, Herve Guillard, Nicolas Rutard, Angelo Murrone ERCIM News, ERCIM, In press. https://hal.inria.fr/hal-03041624/file/Spreading_Factors.pdf BibTex

[S5] Bèves de maths, chapter Combien pour ma tonne de CO2 ? Mireille Bossy, Odile Pourtallier, and Nadia Maïzi. Nouveau Monde Éditions, 2014.

[S4] Valuing CO2 emission allowances with stochastic control. O. Davidau, M. Bossy, N. Maïzi, and O. Pourtallier. ERCIM NEWS, special Mathematics for finance and economy, (78), July 2009.

[S3] Life insurance contract simulations. M. Bossy. ERCIM NEWS, special Financial Mathematics, (38), July 1999.

[S2] Probabilistic numerical methods for physical and financial problems. M. Bossy, M. Picasso, and D. Talay. Computer in Physics, 11(4) :325-330, 1997.

[S1] Vitesse de convergence d'un algorithme particulaire stochastique pour l'équation de Burgers. M. Bossy and D. Talay. C.R. Acad Sci. Paris, 1(320) :1129-1134, 1995.

Research reports and Internal reports

[R1] Rapport de Contrat d'étude EDF/INRIA (Projet Oméga). Marché de l'électricité M. Bossy, M. Deaconu, and E. Tanre. Rapport final de collaboration INRIA-EDF, 2004.

[R2] Using game theory for the electricity market.M. Bossy, N. MAÏZI, G.J. Olsder, O. Pourtallier, and E. Tanre. Research report RR-5274, INRIA, 2005.

[R3] Rapport de contrat de collaboration INRIA-EDF. J-F. Jabir, M. Bossy, and D. Talay. 39 pages, Décembre 2005.

span style="font-weight: bold;">[R4] Rapport final de contrat de collaboration INRIA-ADEME. F. Bernardin, M. Bossy, J-F. Jabir, and A. Rousseau. 45 pages, Décembre 2006.

[R5] A financial engineering benchmark for performance analysis of grid middlewares. V. Dung Doan, A. Gaikwad, M. Bossy, F. Baude, and F. ABERGEL. Technical Report RT-365, INRIA, 2009.

Theses

[T1] Vitesse de Convergence d'Algorithmes Particulaires Stochastiques et Application à l'Equation de Burgers. M. Bossy. PhD thesis, Université de Provence, 1995.

[T2] Méthodes particulaires stochastiques et modèles stochastiques lagrangiens; Discrétisation d'EDS avec condition de bord; Quelques modélisations et méthodes numériques pour la finance. M. Bossy. Habilitation à Diriger des Recherches, Université de Nice Sophia Antipolis, 2010.

(Last modified: January,  2021)