Publications

• Article dans une revue

Numerical approximation for options pricing of a stochastic volatility jump-diffusion model

Rajae Aboulaich, Fouzia Baghery, Abdelilah Jraifi

In this paper, we are interested in pricing options (European and Quanto) by a Model in which the asset prices follow a jump-diffusion model with a stochastic volatility in n dimensions. The stochastic volatility also follows the jump-diffusion in d dimensions. We've already stated the…

International Journal of Applied Mathematics and statistics, 2013, 50 (20), pp.69-82. ⟨hal-03134982⟩

• Article dans une revue

Animation réaliste d’une caméra pour la stop motion : de la modélisation à la prise de vue

Laura Saini, Gudrun Albrecht, Nicolas Lissarrague, Lucia Romani

L’article présente un nouveau système permettant de produire des mouvements de caméra réalistes pour l’animation stop motion. Le système permettra d’enrichir les logiciels d’animation 3D classiques (comme par exemple Maya et 3D Studio Max) afin de leur faire contrôler des mouvements de caméra pour…, The article presents a new system that allows to create realistic camera movements for a stop motion animation. The system improves traditional 3D software animation programs (for example Maya and 3D Studio Max) for creating stop motion camera movements by using a haptic interface. After describing…

Revue Electronique Francophone d'Informatique Graphique, 2013, 7 (1), pp.51-65. ⟨hal-03184668⟩

• Article dans une revue

Convergence order of a numerical scheme for sweeping process

Frederic Bernicot, Juliette Venel

In a previous paper, an implementable algorithm was introduced to compute discrete solutions of sweeping processes (i.e. specific first order differential inclusions). The convergence of this numerical scheme was proved thanks to compactness arguments. Here we establish that this algorithm is of…

SIAM Journal on Control and Optimization, 2013, 51 (4), pp.3075-3092. ⟨10.1137/120882044⟩. ⟨hal-00517485v2⟩

• Article dans une revue

Polynomial decay rate for a wave equation with general acoustic boundary feedback laws

Serge Nicaise, Zainab Abbas

We consider the stabilization of the wave equation by a general class of acoustic boundary feedback laws at one extremity. This system is not uniformly stable but we furnish sufficient conditions that guarantee a polynomial stability. Our method combines the use of an observability inequality for…

SeMA Journal: Boletin de la Sociedad Española de Matemática Aplicada, 2013, 61 (1), pp.19-48. ⟨10.1007/s40324-013-0002-5⟩. ⟨hal-03134810⟩

• Article dans une revue

Dispersive waves with multiple tunnel effect on star shaped networks

Felix Ali Mehmeti, Robert Haller-Dintelmann, Virginie Régnier

We consider the Klein-Gordon equation on a star-shaped network composed of n half-axes connected at their origins. We add a potential which is constant but dierent on each branch. The corresponding spatial operator is self-adjoint and we state explicit expressions for its resolvent and its…

Discrete and Continuous Dynamical Systems - Series S, 2013, 6 (3), pp.783-791. ⟨10.3934/dcdss.2013.6.783⟩. ⟨hal-03227666⟩

• Communication dans un congrès

Courbes algébriques-trigonométriques à holographe pythagorien et leur utilisation pour résoudre le problème d'interpolation de Hermite

Laura Saini, Lucia Romani, Gudrun Albrecht

Journées de modélisation géométrique, 2013, Marseille, France. ⟨hal-03187567⟩

• Article dans une revue

Lower and upper solutions for the heat equation on a polygonal domain of R2

Colette De Coster, Serge Nicaise

We consider the nonlinear periodic-Dirichlet heat equation on a polygonal domain of the plane in weighted Lp-Sobolev spaces equation presented Here f is Lp(0; T;Lpμ(Ω)-Caratheodory, where L pμ(Ω) = {v ε Lploc(Ω) : rμv ε Lp(Ω)}, with a real parameter μ and r(x) the distance from x to the set of…

Differential and integral equations, 2013, 26 (5/6), pp.603-622. ⟨hal-03137717⟩

• Chapitre d'ouvrage

Energy flow above the threshold of tunnel effect

Felix Ali Mehmeti, Virginie Régnier, R. Haller-Dintelmann

Almeida, Alexandre; Castro, Luís; Speck, Frank-Olme. Advances in Harmonic Analysis and Operator Theory, 229, Springer Verlag, pp.65-76, 2013, Operator Theory: Advances and Applications, 978-3-0348-0515-5. ⟨hal-03227696⟩

• Article dans une revue

Option pricing with constant elasticity of variance (CEV) model

Rajae Aboulaich, M. L. Hadji, Abdelilah Jraifi

In this work we propose an approximate numerical method for pricing of options for the constant elasticity of variance (CEV) diffusion model. We prove firstly the existence and uniqueness of the solution in weighted Sobolev space, and then we propose the finite element method and finite difference…

Applied Mathematical Sciences, 2013, 7 (109), pp.5443-5456. ⟨10.12988/ams.2013.36339⟩. ⟨hal-03135010⟩

• Article dans une revue

Spectral analysis and exponential or polynomial stability of some indefinite sign damped problems

F. Abdallah, D. Mercier, Serge Nicaise

In this paper, we consider two damped wave problems for which the damping terms are allowed to change their sign. Using a careful spectral analysis, we find critical values of the damping coefficients for which the problem becomes exponentially or polynomially stable up to these critical values.

Evolution Equations and Control Theory, 2013, 2, pp.1-33. ⟨10.3934/eect.2013.2.1⟩. ⟨hal-03134858⟩