Stephane Menozzi

Personal Details

First Name:	Stephane
Middle Name:
Last Name:	Menozzi
Suffix:
RePEc Short-ID:	pme651
	[This author has chosen not to make the email address public]

Affiliation

International Laboratory of Stochastic Analysis
National Research University Higher School of Economics (HSE)

Moscow, Russia
http://lsa.hse.ru/
RePEc:edi:sahseru (more details at EDIRC)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Articles

1. Gobet, Emmanuel & Menozzi, Stéphane, 2010. "Stopped diffusion processes: Boundary corrections and overshoot," Stochastic Processes and their Applications, Elsevier, vol. 120(2), pages 130-162, February.

   Cited by:

   1. Rey Clément, 2017. "Convergence in total variation distance of a third order scheme for one-dimensional diffusion processes," Monte Carlo Methods and Applications, De Gruyter, vol. 23(1), pages 1-12, March.
   2. Christian Meier & Lingfei Li & Gongqiu Zhang, 2021. "Simulation of Multidimensional Diffusions with Sticky Boundaries via Markov Chain Approximation," Papers 2107.04260, arXiv.org.
   3. Cameron Martin & Hongyuan Zhang & Julia Costacurta & Mihai Nica & Adam R Stinchcombe, 2022. "Solving Elliptic Equations with Brownian Motion: Bias Reduction and Temporal Difference Learning," Methodology and Computing in Applied Probability, Springer, vol. 24(3), pages 1603-1626, September.
   4. Florian Bourgey & Emmanuel Gobet & Ying Jiao, 2022. "Bridging socioeconomic pathways of CO2 emission and credit risk," Post-Print hal-03458299, HAL.
   5. Herrmann, Samuel & Massin, Nicolas, 2023. "Exact simulation of the first passage time through a given level of jump diffusions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 203(C), pages 553-576.
   6. Meier, Christian & Li, Lingfei & Zhang, Gongqiu, 2023. "Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation," European Journal of Operational Research, Elsevier, vol. 305(3), pages 1292-1308.
   7. Rey, Clément, 2019. "Approximation of Markov semigroups in total variation distance under an irregular setting: An application to the CIR process," Stochastic Processes and their Applications, Elsevier, vol. 129(2), pages 539-571.
   8. Sheng-Feng Luo & Hsin-Chieh Wong, 2023. "Continuity correction: on the pricing of discrete double barrier options," Review of Derivatives Research, Springer, vol. 26(1), pages 51-90, April.
   9. Matoussi Anis & Sabbagh Wissal, 2016. "Numerical computation for backward doubly SDEs with random terminal time," Monte Carlo Methods and Applications, De Gruyter, vol. 22(3), pages 229-258, September.

2. Gobet, Emmanuel & Menozzi, Stéphane, 2004. "Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme," Stochastic Processes and their Applications, Elsevier, vol. 112(2), pages 201-223, August.

   Cited by:

   1. Aurélien Alfonsi & Benjamin Jourdain & Arturo Kohatsu-Higa, 2014. "Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme," Post-Print hal-00727430, HAL.
   2. Pagès Gilles, 2007. "Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity," Monte Carlo Methods and Applications, De Gruyter, vol. 13(1), pages 37-70, April.
   3. Lucia Caramellino & Barbara Pacchiarotti & Simone Salvadei, 2015. "Large Deviation Approaches for the Numerical Computation of the Hitting Probability for Gaussian Processes," Methodology and Computing in Applied Probability, Springer, vol. 17(2), pages 383-401, June.
   4. Cetin, Umut, 2018. "Diffusion transformations, Black-Scholes equation and optimal stopping," LSE Research Online Documents on Economics 87261, London School of Economics and Political Science, LSE Library.
   5. Emmanuel Gobet, 2009. "Advanced Monte Carlo methods for barrier and related exotic options," Post-Print hal-00319947, HAL.
   6. Lejay, Antoine & Maire, Sylvain, 2007. "Computing the principal eigenvalue of the Laplace operator by a stochastic method," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 73(6), pages 351-363.
   7. Gobet, Emmanuel & Menozzi, Stéphane, 2010. "Stopped diffusion processes: Boundary corrections and overshoot," Stochastic Processes and their Applications, Elsevier, vol. 120(2), pages 130-162, February.

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