| A regression-based Monte Carlo method to solve backward stochastic differential equations E Gobet, JP Lemor, X Warin | 526 | 2005 |
| Weak approximation of killed diffusion using Euler schemes E Gobet Stochastic processes and their applications 87 (2), 167-197, 2000 | 254 | 2000 |
| Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations JP Lemor, E Gobet, X Warin Bernoulli 12 (5), 889-916, 2006 | 230 | 2006 |
| Time dependent Heston model E Benhamou, E Gobet, M Miri SIAM Journal on Financial Mathematics 1 (1), 289-325, 2010 | 203 | 2010 |
| LAN property for ergodic diffusions with discrete observations E Gobet Annales de l'Institut Henri Poincare (B) Probability and Statistics 38 (5 …, 2002 | 162 | 2002 |
| Nonparametric estimation of scalar diffusions based on low frequency data E Gobet, M Hoffmann, M Reiß | 153 | 2004 |
| Sensitivity analysis using Itô--Malliavin calculus and martingales, and application to stochastic optimal control E Gobet, R Munos SIAM Journal on control and optimization 43 (5), 1676-1713, 2005 | 141 | 2005 |
| A symmetrized Euler scheme for an efficient approximation of reflected diffusions M Bossy, E Gobet, D Talay Journal of applied probability 41 (3), 877-889, 2004 | 130 | 2004 |
| Numerical methods for the pricing of swing options: a stochastic control approach C Barrera-Esteve, F Bergeret, C Dossal, E Gobet, A Meziou, R Munos, ... Methodology and computing in applied probability 8, 517-540, 2006 | 127 | 2006 |
| Euler schemes and half-space approximation for the simulation of diffusion in a domain E Gobet ESAIM: Probability and Statistics 5, 261-297, 2001 | 121 | 2001 |
| Local asymptotic mixed normality property for elliptic diffusion: a Malliavin calculus approach E Gobet Bernoulli, 899-912, 2001 | 119 | 2001 |
| Error expansion for the discretization of backward stochastic differential equations E Gobet, C Labart Stochastic processes and their applications 117 (7), 803-829, 2007 | 114 | 2007 |
| Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions E Gobet, P Turkedjiev Mathematics of Computation 85 (299), 1359-1391, 2016 | 113 | 2016 |
| Smart expansion and fast calibration for jump diffusions E Benhamou, E Gobet, M Miri Finance and stochastics 13 (4), 563-589, 2009 | 102 | 2009 |
| Discrete time hedging errors for options with irregular payoffs E Gobet, E Temam Finance and Stochastics 5 (3), 357-367, 2001 | 100 | 2001 |
| Monte-Carlo methods and stochastic processes: from linear to non-linear E Gobet Chapman and Hall/CRC, 2016 | 98 | 2016 |
| Stopped diffusion processes: boundary corrections and overshoot E Gobet, S Menozzi Stochastic Processes and Their Applications 120 (2), 130-162, 2010 | 93 | 2010 |
| Computation of Greeks for barrier and lookback options using Malliavin calculus E Gobet, A Kohatsu-Higa | 87 | 2003 |
| Solving BSDE with adaptive control variate E Gobet, C Labart SIAM Journal on Numerical Analysis 48 (1), 257-277, 2010 | 84 | 2010 |
| Discretization and simulation of the Zakai equation E Gobet, G Pages, H Pham, J Printems SIAM Journal on Numerical Analysis 44 (6), 2505-2538, 2006 | 67 | 2006 |
Xavier WarinEDFVerified email at edf.fr
