We propose new weak error bounds and expansion in dimension one for optimal quantization-based cubature formula for different classes of functions, such that piecewise affine functions, Lipschitz convex functions or differentiable function with piecewise-defined locally Lipschitz or α-Hölder...

We propose and analyze a Multilevel Richardson-Romberg ($MLRR$) estimator which combines the higher order bias cancellation of the Multistep Richardson-Romberg ($MSRR$) method introduced in [Pag07] and the variance control resulting from the stratification in the Multilevel Monte Carlo ($MLMC$)...

The recent liberalization of the electricity and gas markets has resulted in the growth of energy exchanges and modelling problems. In this paper, we modelize jointly gas and electricity spot prices using a mean-reverting model which fits the correlations structures for the two commodities. The...

The recent liberalization of the electricity and gas markets has resulted in the growth of energy exchanges and modelling problems. In this paper, we modelize jointly gas and electricity spot prices using a mean-reverting model which fits the correlations structures for the two commodities. The...

The recent liberalization of electricity and gas markets has resulted in the growth of energy exchanges and modelling problems. In this article, we jointly model gas and electricity spot prices using a mean-reverting model that fits the correlation structures for the two commodities. The...

We propose a new scheme for the long time approximation of a diffusion when the drift vector field is not globally Lipschitz. Under this assumption, a regular explicit Euler scheme-with constant or decreasing step-may explode and implicit Euler schemes are CPU-time expensive. The algorithm we...