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ORCIDEmmanuel Gobet
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- affiliation: École Polytechnique, Paris, France
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2020 – today
- 2025
[j35]Michaël Allouche, Stéphane Girard, Emmanuel Gobet:
Learning extreme expected shortfall and conditional tail moments with neural networks. Application to cryptocurrency data. Neural Networks 182: 106903 (2025)- 2024
- [j34]Emmanuel Gobet
, Clara Lage:
Optimal ecological transition path of a credit portfolio distribution, based on multidate Monge-Kantorovich formulation. Ann. Oper. Res. 336(1-2): 1161-1195 (2024) - [j33]Florian Bourgey, Emmanuel Gobet, Ying Jiao:
Bridging socioeconomic pathways of rmCO2 emission and credit risk. Ann. Oper. Res. 336(1-2): 1197-1218 (2024) - [j32]Michaël Allouche, Emmanuel Gobet, Clara Lage, Edwin Mangin:
Structured dictionary learning of rating migration matrices for credit risk modeling. Comput. Stat. 39(6): 3431-3456 (2024) - [j31]Célia Escribe, Josselin Garnier, Emmanuel Gobet:
A Mean Field Game Model for Renewable Investment Under Long-Term Uncertainty and Risk Aversion. Dyn. Games Appl. 14(5): 1093-1130 (2024) - [j30]Michaël Allouche, Stéphane Girard, Emmanuel Gobet:
Estimation of extreme quantiles from heavy-tailed distributions with neural networks. Stat. Comput. 34(1): 12 (2024) - [i3]Emmanuel Gobet, Adrien Richou, Lukasz Szpruch:
Numerical approximation of ergodic BSDEs using non linear Feynman-Kac formulas. CoRR abs/2407.09034 (2024) - [i2]Emmanuel Gobet, José G. López-Salas, Carlos Vázquez:
Quasi-Regression Monte-Carlo scheme for semi-linear PDEs and BSDEs with large scale parallelization on GPUs. CoRR abs/2407.21084 (2024) - [i1]Emmanuel Gobet, José G. López-Salas, Plamen Turkedjiev, Carlos Vázquez:
Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs. CoRR abs/2407.21085 (2024) - 2022
- [j29]Michaël Allouche, Stéphane Girard, Emmanuel Gobet:
A generative model for fBm with deep ReLU neural networks. J. Complex. 73: 101667 (2022) - [j28]Michaël Allouche, Stéphane Girard, Emmanuel Gobet:
EV-GAN: Simulation of extreme events with ReLU neural networks. J. Mach. Learn. Res. 23: 150:1-150:39 (2022) - [j27]Florian Bourgey, Emmanuel Gobet, Clément Rey:
A Comparative Study of Polynomial-Type Chaos Expansions for Indicator Functions. SIAM/ASA J. Uncertain. Quantification 10(4): 1350-1383 (2022) - [j26]Emmanuel Gobet, Maxime Grangereau:
Newton Method for Stochastic Control Problems. SIAM J. Control. Optim. 60(5): 2996-3025 (2022) - 2020
- [j25]Linda Chamakh, Emmanuel Gobet, Zoltán Szabó:
Orlicz Random Fourier Features. J. Mach. Learn. Res. 21: 145:1-145:37 (2020) - [j24]Stéphane Crépey, Gersende Fort, Emmanuel Gobet, Uladzislau Stazhynski:
Uncertainty Quantification for Stochastic Approximation Limits Using Chaos Expansion. SIAM/ASA J. Uncertain. Quantification 8(3): 1061-1089 (2020) - [j23]Florian Bourgey, Stefano De Marco, Emmanuel Gobet, Alexandre Zhou:
Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations. Monte Carlo Methods Appl. 26(2): 131-161 (2020) - [j22]Florian Bourgey, Emmanuel Gobet, Clément Rey:
Metamodel of a Large Credit Risk Portfolio in the Gaussian Copula Model. SIAM J. Financial Math. 11(4): 1098-1136 (2020)
2010 – 2019
- 2019
- [j21]David Barrera, Emmanuel Gobet:
Quantitative bounds for concentration-of-measure inequalities and empirical regression: The independent case. J. Complex. 52: 45-81 (2019) - 2018
- [j20]Ankush Agarwal, Stefano De Marco, Emmanuel Gobet, Gang Liu:
Study of new rare event simulation schemes and their application to extreme scenario generation. Math. Comput. Simul. 143: 89-98 (2018) - [j19]Emmanuel Gobet, Gang Liu, Jorge P. Zubelli:
A Nonintrusive Stratified Resampler for Regression Monte Carlo: Application to Solving Nonlinear Equations. SIAM J. Numer. Anal. 56(1): 50-77 (2018) - 2017
- [j18]Gersende Fort, Emmanuel Gobet, Eric Moulines:
MCMC design-based non-parametric regression for rare event. Application to nested risk computations. Monte Carlo Methods Appl. 23(1): 21-42 (2017) - [c1]Ankush Agarwal, Emmanuel Gobet:
Finite variance unbiased estimation of stochastic differential equations. WSC 2017: 1950-1961 - 2016
- [j17]Achref Bachouch, Emmanuel Gobet, Anis Matoussi:
Empirical Regression Method for Backward Doubly Stochastic Differential Equations. SIAM/ASA J. Uncertain. Quantification 4(1): 358-379 (2016) - [j16]Emmanuel Gobet, Plamen Turkedjiev:
Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions. Math. Comput. 85(299): 1359-1391 (2016) - [j15]Emmanuel Gobet, José G. López-Salas, Plamen Turkedjiev, Carlos Vázquez:
Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs. SIAM J. Sci. Comput. 38(6) (2016) - 2015
- [j14]Emmanuel Gobet, Stefano Pagliarani:
Analytical Approximations of BSDEs with Nonsmooth Driver. SIAM J. Financial Math. 6(1): 919-958 (2015) - [j13]Emmanuel Gobet, Gang Liu:
Rare Event Simulation Using Reversible Shaking Transformations. SIAM J. Sci. Comput. 37(5) (2015) - 2014
- [j12]Emmanuel Gobet:
A correction note to "Discrete time hedging errors for options with irregular payoffs". Finance Stochastics 18(2): 483-485 (2014) - [j11]Romain Bompis, Emmanuel Gobet:
Stochastic Approximation Finite Element Method: Analytical Formulas for Multidimensional Diffusion Process. SIAM J. Numer. Anal. 52(6): 3140-3164 (2014) - 2013
- [j10]Tarik Ben Zineb, Emmanuel Gobet:
Preliminary control variates to improve empirical regression methods. Monte Carlo Methods Appl. 19(4): 331-354 (2013) - 2010
- [j9]Eric Benhamou, Emmanuel Gobet, Mohammed Miri:
Time Dependent Heston Model. SIAM J. Financial Math. 1(1): 289-325 (2010) - [j8]Emmanuel Gobet, Céline Labart:
Solving BSDE with Adaptive Control Variate. SIAM J. Numer. Anal. 48(1): 257-277 (2010)
2000 – 2009
- 2009
- [j7]Eric Benhamou, Emmanuel Gobet, Mohammed Miri:
Smart expansion and fast calibration for jump diffusions. Finance Stochastics 13(4): 563-589 (2009) - 2006
- [j6]Emmanuel Gobet, Gilles Pagès, Huyên Pham, Jacques Printems:
Discretization and Simulation of the Zakai Equation. SIAM J. Numer. Anal. 44(6): 2505-2538 (2006) - 2005
- [j5]Emmanuel Gobet, Rémi Munos:
Sensitivity Analysis Using It[o-circumflex]--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control. SIAM J. Control. Optim. 43(5): 1676-1713 (2005) - [j4]Emmanuel Gobet, Sylvain Maire:
Sequential Control Variates for Functionals of Markov Processes. SIAM J. Numer. Anal. 43(3): 1256-1275 (2005) - 2004
- [j3]Emmanuel Gobet, Sylvain Maire:
A spectral Monte Carlo method for the Poisson equation. Monte Carlo Methods Appl. 10(3-4): 275-285 (2004) - 2001
- [j2]Emmanuel Gobet, Emmanuel Temam:
Discrete time hedging errors for options with irregular payoffs. Finance Stochastics 5(3): 357-367 (2001) - [j1]Emmanuel Gobet:
Efficient schemes for the weak approximation of reflected diffusions. Monte Carlo Methods Appl. 7(1-2): 193-202 (2001)
Coauthor Index
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