Liste de publications

Publications sur ArXiv. Publications sur HaL. Publications sur Google Scholar

Revues à comité de lecture

  • [25] Ludovic Goudenège, Andrea Molent, et Antonino Zanette.
        Moving average options: Machine Learning and Gauss-Hermite quadrature for a double non-Markovian problem.
    European Journal of Operational Research, 303(2), December 2022.
    doi: 10.1016/j.ejor.2022.03.002
    ArXiv: 2108.11141

  • [24] Jad Doghman et Ludovic Goudenège
        Numerical and convergence analysis of the stochastic Lagrangian averaged Navier-Stokes equations.
    Journal of Computational and Applied Mathematics, 414, November 2022.
    doi: 10.1016/j.cam.2022.114446
    Hal: hal-03406041
    ArXiv: 2110.15611

  • [23] Hadrien Vroylandt, Ludovic Goudenège, Pierre Monmarché, Fabio Pietrucci, et Benjamin Rotenberg
        Likelihood-based non-Markovian models from molecular dynamics.
    PNAS, 119(13), March 2022.
    doi: 10.1073/pnas.2117586119
    Hal: hal-03621742

  • [22] Roxane Letournel, Ludovic Goudenège, Rémi Zamansky, Aymeric Vié et Marc Massot
        Revisiting the framework for intermittency in Lagrangian stochastic models for turbulent flows: a way to an original and versatile numerical approach
    Phys. Rev. E, 104(1), July 2021.
    doi: 10.1103/PhysRevE.104.015104
    Hal: hal-03177667

  • [21] Ludovic Goudenège, Andrea Molent, et Antonino Zanette.
        Gaussian Process Regression for Pricing Variable Annuities with Stochastic Volatility and Interest Rate.
    Decisions in Economics and Finance, 44:57-72, June 2020.
    doi: 10.1007/s10203-020-00287-7
    ArXiv: 1903.00369

  • [20] Ludovic Goudenège et Bin Xie.
        Ergodicity of stochastic Cahn-Hilliard equations with logarithmic potentials driven by degenerate or nondegenerate noises.
    Journal of Differential Equations, 269(9):6988--7014, October 2020.
    doi: 10.1016/j.jde.2020.04.047

  • [19] Ludovic Goudenège, Andrea Molent, et Antonino Zanette.
        Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models.
    Quantitative Finance, 20(4):571-593, 2020
    doi: 10.1080/14697688.2019.1701698
    ArXiv: 1905.09474

  • [18] Charles-Edouard Bréhier et Ludovic Goudenège.
        Weak convergence rates of splitting schemes for the stochastic Allen-Cahn equation.
    Bit Numerical Mathematics, 60:543--582, September 2020.
    doi: 10.1007/s10543-019-00788-x
    ArXiv: 1804.04061

  • [17] Luigi Manca et Ludovic Goudenège.
        Stochastic phase field $\alpha$-Navier-Stokes vesicle-fluid interaction model.
    Journal of Mathematical Analysis and Applications, 496(1), April 2021.
    doi: 10.1016/j.jmaa.2020.124805
    ArXiv: 1901.01335

  • [16] Ludovic Goudenège, Andrea Molent, et Antonino Zanette.
        Computing Credit Valuation Adjustment solving coupled PIDEs in the Bates model.
    Computational Management Science, 17:163--178, June 2020.
    doi: 10.1007/s10287-020-00365-6
    ArXiv: 1809.05328

  • [15] Charles-Edouard Bréhier et Ludovic Goudenège.
        Analysis of some splitting schemes for the stochastic Allen-Cahn equation.
    Discrete & Continuous Dynamical Systems - B, 24(8):4169-4190, August 2019.
    doi: 10.3934/dcdsb.2019077
    ArXiv: 1801.06455

  • [14] Ludovic Goudenège, Adam Larat, Julie Llobell, Marc Massot, David Mercier, Olivier Thomine et Aymeric Vié.
        Statistical and probabilistic modeling of a cloud of particles coupled with a turbulent fluid.
    ESAIM ProcS, 65 (2019) 401-424. CEMRACS Proceedings.
    doi: 10.1051/proc/201965401
    ArXiv: 1810.01173

  • [13] Ludovic Goudenège, Andrea Molent, et Antonino Zanette.
        Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models.
    Computational Management Science, 16:217–248, February 2019.
    doi: 10.1007/s10287-018-0304-2
    ArXiv: 1602.09078

  • [12] Ludovic Goudenège, Andrea Molent, Xiao Wei et Antonino Zanette.
        Fourier-cosine method for pricing and hedging insurance derivatives.
    Theoretical Economics Letters, 8(3):282-291, February 2018.
    doi: 10.4236/tel.2018.83020

  • [11] Ludovic Goudenège, Robert Eymard, Christiane Cocozza-Thivent, et Michel Roussignol.
        Numerical methods for piecewise deterministic Markov processes with boundary.
    IMAJNA, 37(1):170-208, 2017.
    doi: 10.1093/imanum/drv069

  • [10] Ludovic Goudenège, Andrea Molent, et Antonino Zanette.
        Variable Annuities: New Solution to Long-Term Investment Problem.
    Journal Global Policy and Governance, 5(2):35-49, December 2016.
    doi: 10.14666/2194-7759-5-2-003

  • [9] Charles-Edouard Bréhier, Maxime Gazeau, Ludovic Goudenège, Mathias Rousset, et Tony Lelièvre.
        Unbiasedness of some generalized Adaptive Multilevel Splitting algorithms.
    Annals of Applied Probability, 26(6):3559--3601, 2016.
    doi: 10.1214/16-AAP1185

  • [8] Ludovic Goudenège, Andrea Molent, et Antonino Zanette.
        Pricing and Hedging GLWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models.
    Insurance : Mathematics and Economics, 70:38–57, September 2016.
    doi: 10.1016/j.insmatheco.2016.05.018
    ArXiv: 1509.02686

  • [7] Ludovic Goudenège et Pierre-André Zitt.
        A Wright-Fisher model with indirect selection.
    Journal of Mathematical Biology, 71(6) :1411–1450, December 2015.
    doi: 10.1007/s00285-015-0859-2
    ArXiv: 1401.4040

  • [6] Luigi Manca et Ludovic Goudenège.
        Asymptotic properties of stochastic Cahn-Hilliard equation with singular nonlinearity and degenerate noise.
    Stochastic Processes and their Applications, 125(10):3785-3800, October 2015.
    doi: 10.1016/j.spa.2015.05.006
    ArXiv: 1412.2642

  • [5] Ludovic Goudenège.
        Numerical methods for piecewise deterministic Markov processes with boundary.
    ESAIM : ProcS, 45 :338–348, September 2014.
    doi: 10.1051/proc/201445035
    ArXiv: 1810.10215

  • [4] Ludovic Goudenège, Aymeric Kalife, et Saad Mouti.
        Managing gap risks in iCPPI for life insurance companies : a risk/return/cost analysis.
    Insurance Markets and Companies: Analyses and Actuarial Computations, 5(2), 2014.
    doi: link to website of IMC

  • [3] Ludovic Goudenège, Daniel Martin, et Grégory Vial.
        High order finite element calculations for the Cahn-Hilliard equation.
    Journal of Scientific Computing, 52(2):294–321, 2012.
    doi: 10.1007/s10915-011-9546-7
    ArXiv: 1003.1077

  • [2] Arnaud Debussche et Ludovic Goudenège.
        Stochastic Cahn-Hilliard equation with double singular nonlinearities and two reflections.
    SIAM Journal on Mathematical Analysis, 43(3):1473–1494, 2011.
    doi: 10.1137/090769636
    ArXiv: 0908.4295

  • [1] Ludovic Goudenège.
        Stochastic Cahn-Hilliard equation with singular nonlinearity and reflection.
    Stochastic Processes and their Applications, 119(10) :3516–3548, 2009.
    doi: 10.1016/j.spa.2009.06.008
    ArXiv: 0811.0580

Communications, symposium, proceedings.

  • [3] Charles-Edouard Bréhier, Ludovic Goudenège, et Loïc Tudela.
        Central Limit Theorem for Adaptive Multilevel Splitting Estimators in an Idealized Setting.
    Monte Carlo and Quasi-Monte Carlo Methods. Springer Proceedings in Mathematics & Statistics, 2014.
    doi: 10.1007/978-3-319-33507-0_10
    ArXiv: 1501.01399

  • [2] Charles-Edouard Bréhier, Maxime Gazeau, Ludovic Goudenège, et Mathias Rousset.
        Analysis and simulation of rare events for SPDE.
    ESAIM Proceedings, CEMRACS, January 2014.
    doi: 10.1051/proc/201448017
    ArXiv: 1401.1380

  • [1] Ludovic Goudenège, Robert Eymard, Christiane Cocozza-Thivent, et Michel Roussignol.
        Numerical methods for piecewise deterministic Markov processes with boundary.
    ESAIM Proceedings, SMAI, 2013.
    doi: 10.1051/proc/201445035
    ArXiv: 1810.10215

Livres et ouvrages

  • [9-BOOK] Mounir Bellmane, Ludovic Goudenège, Aymeric Kalife, Saad Mouti et Xiaolu Tan.
        Sustainable Life Insurance: Managing Risk Appetite for Insurance Savings and Retirement Products.
    Chapman and Hall/CRC. ISBN 9781003218371. 392 pages.
    lien vers site éditeur

  • [8-CHAP] Ludovic Goudenège, Andrea Molent et Antonino Zanette.
        Variance Reduction Applied to Machine Learning for Pricing Bermudan/American Options in High Dimension.
    Chapitre d'ouvrage. Applications of Lévy Processes, Nova Science Publishers, 2021, 978-1-53619-525-5.

  • [7-HDR] Ludovic Goudenège.
        Algorithmes numériques pour des problèmes stochastiques.
    Habilitation à Diriger des Recherches, Diplôme de l'Université Paris-Sud - Université Paris-Saclay, December 2018. lien vers pdf

  • [6-POLY] Ludovic Goudenège et Adam Larat.
        Partial and Stochastic Differential Equations: Theoretical and Numerical Aspects. lien vers pdf
    Cours donné à l'IHES, 2014.

  • [5-CHAP] Christiane Cocozza-Thivent et Ludovic Goudenège. (Chapitre numérique de la version anglaise)
        Processus de renouvellement markovien ; Processus de Markov déterministes par morceaux.
    Version anglaise publiée chez Springer.
    Part of the Probability Theory and Stochastic Modelling book series (PTSM, volume 100).
    Version française disponible sur internet.

  • [4-POLY] Ludovic Goudenège
        Méthodes numériques et produits structurés en actuariat.
    Polycopié de cours de l'université Paris-Est - Marne-la-Vallée, 2018.

  • [3-POLY] Ludovic Goudenège.
        Introduction aux équations différentielles stochastiques et équations aux dérivées partielles stochastiques.
    Polycopié de cours de CentraleSupélec, 2016.

  • [2-POLY] Ludovic Goudenège, Mathieu Leroy-Lerêtre, et Grégory Vial.
        TP d’initiation à LaTeX. lien vers pdf
    École Normale Supérieure de Cachan - Antenne de Bretagne, March 2010.

  • [1-PHD] Ludovic Goudenège.
        Quelques résultats sur l’équation de Cahn-Hilliard stochastique et déterministe.
    Thèse, École Normale Supérieure de Cachan - Antenne de Bretagne, November 2009.

Logiciels

  • [3] Bibliothèque C++ de calcul éléments finis XLIFE++, 2012-2016.
  • [2] Logiciel PREMIA de l’équipe recherche INRIA MathRisk, 2010-2020.
  • [1] Bibliothèque FORTRAN de calcul éléments finis MELINA, 2006-2009.

Préprints

  • [Preprint10] Ludovic Goudenège, El Mehdi Haress et Alexandre Richard.
        Numerical approximation of the stochastic heat equation with a distributional reaction term.
    ArXiv: 2405.08201, 2024.

  • [Preprint9] Ludovic Goudenège, et Liviu Iulian Palade.
        A New Non-Linear Density Fluctuations Stochastic Partial Differential Equation With a Singular Coefficient of Relevance to Polymer Dynamics and Rheology.
    ArXiv: 2306.0580, 2023. Soumis.

  • [Preprint8] Ludovic Goudenège, Andrea Molent, et Antonino Zanette.
        Backward Hedging for American Options with Transaction Costs.
    ArXiv: 2305.06805, 2023. Soumis. Revision demandée.

  • [Preprint7] Ludovic Goudenège, Andrea Molent, et Antonino Zanette.
        Computing XVA for American basket derivatives by Machine Learning techniques.
    ArXiv: 2209.06485, 2022. Soumis.

  • [Preprint6] Ludovic Goudenège, El Mehdi Haress et Alexandre Richard
        Numerical approximation of SDEs with fractional noise and distributional drift.
    ArXiv: 2302.11455. Hal: hal-03715427v1, 2023. Soumis.

  • [Preprint5] Jad Doghman et Ludovic Goudenège
        Convergence of the stochastic Navier-Stokes-alpha solutions toward the stochastic Navier-Stokes solutions.
    ArXiv: 2210.02232 Hal: hal-03794814, 2022. Soumis.

  • [Preprint4] Ludovic Goudenège et Luigi Manca
        alpha-Navier-Stokes perturbed by space-time noise of trace class.
    ArXiv: 2005.11482, 2020. Soumis.

Préprints (disponible en version alternative à la version publiée)

  • [Preprint3] Ludovic Goudenège, Andrea Molent, et Antonino Zanette.
        Machine Learning Tree and Exact Integration for Pricing American Options in High Dimension.
    ArXiv: 1905.09474v2, 2019.
    Version préliminaire à celle publié dans Quantitative Finance, 2020, 20(4). doi:10.1080/14697688.2019.1701698

  • [Preprint2] Ludovic Goudenège, Andrea Molent, et Antonino Zanette.
        The Impact of Taxation on GMWB Contract in a Stochastic Interest Rate Framework.
    ArXiv: 1901.11296, 2019.
    Version préliminaire à celle publiée dans ASTIN Bulletin, 2020, 50(3). doi:10.1017/asb.2020.29.

  • [Preprint1] Charles-Edouard Bréhier, Maxime Gazeau, Ludovic Goudenège, Tony Lelièvre et Matthias Rousset.
        Unbiasedness of some generalized adaptive multilevel splitting algorithms.
    ArXiv: 1505.02674, 2015. Version étendue de la version publiée dans Annals of Applied Probability.

Exportation depuis HaL.