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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

Stabilization by switching time–delay

Kaïs Ammari, Serge Nicaise, Cristina Pignotti

In this paper we consider some stabilization problems for the wave equation with switching time-delay. We prove exponential stability results for appropriate damping coefficients. The proof of the main results is based on D'Alembert formula, observability inequality and some energy estimates.…

Asymptotic Analysis, 2013, 83 (3), pp.263-283. ⟨10.3233/ASY-131163⟩. ⟨hal-03138782⟩

Article dans une revue

Mechanical Properties of Porosity-Free Beta Tricalcium Phosphate (<i>β</i>-TCP) Ceramic by Sharp and Spherical Indentations

Didier Chicot, Arnaud Tricoteaux, J. Lesage, Anne Leriche, Michel Descamps, E. Rguiti-Constantin

Instrumented indentation has been developed for determining the mechanical properties of materials but an accurate determination of these properties requires attention on contact stiffness analysis, indentation size effect, elastic modulus mode of calculation, role of stress distribution around the…

New Journal of Glass and Ceramics, 2013, 03 (01), pp.16-28. ⟨10.4236/njgc.2013.31004⟩. ⟨hal-03586273⟩

Article dans une revue

Uniformly exponentially or polynomially stable approximations for second order evolution equations and some applications

Farah Abdallah, Serge Nicaise, Julie Valein, Ali Wehbe

In this paper, we consider the approximation of second order evolution equations. It is well known that the approximated system by finite element or finite difference is not uniformly exponentially or polynomially stable with respect to the discretization parameter, even if the continuous system…

ESAIM: Control, Optimisation and Calculus of Variations, 2013, 19 (3), pp.844-887. ⟨10.1051/cocv/2012036⟩. ⟨hal-00755744⟩

Article dans une revue

On the asymptotic behavior of transmission thin shell problems

Ismail Merabet, Serge Nicaise, D.A. Chacha

In this paper we study the asymptotic behavior of two-dimensional transmission problems for the linear Koiter model of an elastic multi-structure composed of two thin shells with the same thickness ε<<1. Contrary to the case of membrane shells, the formal limit problem, i.e., for ε=0, fails…

Asymptotic Analysis, 2013, 82 (1-2), p. 163-185. ⟨10.3233/ASY-121144⟩. ⟨hal-03163628⟩

Article dans une revue

Realizable Galois module classes over the group ring for non abelian extensions, Classes galoisiennes réalisables sur l’anneau de groupe d’extensions non abéliennes

Nigel Byott, Bouchaïb Sodaïgui

Given an algebraic number field k and a finite group T, we write R(Ok[T]) for the subset of the locally free classgroup Cl(Ok[T]) consisting of the classes of rings of integers ON in tame Galois extensions N/k with Gal(N/k) T = T. We determine R(Ok[T]), and show it is a subgroup of Cl(Ok[T]) by…

Annales de l'Institut Fourier, 2013, 63 (1), p. 303-371. ⟨10.5802/aif.2762⟩. ⟨hal-03165412⟩

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⟩