Fingerprint
Dive into the research topics where Clément Rey is active. These topic labels come from the works of this person. Together they form a unique fingerprint.
- 1 Similar Profiles
Collaborations and top research areas from the last five years
Recent external collaboration on country/territory level. Dive into details by clicking on the dots or
Research output
- 11 Article
-
Deterministic computation of quantiles in a Lipschitz framework
Gu, Y. & Rey, C., 1 Apr 2025, In: Journal of Computational and Applied Mathematics. 458, 116344.Research output: Contribution to journal › Article › peer-review
Open Access -
Discretization of the Ergodic Functional Central Limit Theorem
Pagès, G. & Rey, C., 1 Mar 2023, In: Journal of Theoretical Probability. 36, 1, p. 1-44 44 p.Research output: Contribution to journal › Article › peer-review
-
A Comparative Study of Polynomial-Type Chaos Expansions for Indicator Functions
Bourgey, F., Gobet, E. & Rey, C., 1 Jan 2022, In: SIAM-ASA Journal on Uncertainty Quantification. 10, 4, p. 1350-1383 34 p.Research output: Contribution to journal › Article › peer-review
Open Access -
Metamodel of a large credit risk portfolio in the Gaussian copula model
Bourgey, F., Gobet, E. & Rey, C., 1 Jan 2020, In: SIAM Journal on Financial Mathematics. 11, 4, p. 1098-1136 39 p.Research output: Contribution to journal › Article › peer-review
Open Access -
Recursive computation of invariant distributions of Feller processes
Pagès, G. & Rey, C., 1 Jan 2020, In: Stochastic Processes and their Applications. 130, 1, p. 328-365 38 p.Research output: Contribution to journal › Article › peer-review
Open Access -
Approximation of Markov semigroups in total variation distance under an irregular setting: An application to the CIR process
Rey, C., 1 Feb 2019, In: Stochastic Processes and their Applications. 129, 2, p. 539-571 33 p.Research output: Contribution to journal › Article › peer-review
Open Access -
Recursive computation of the invariant distributions of Feller processes: Revisited examples and new applications
Pagès, G. & Rey, C., 1 Mar 2019, In: Monte Carlo Methods and Applications. 25, 1, p. 1-36 36 p.Research output: Contribution to journal › Article › peer-review
Open Access -
Convergence in total variation distance of a third order scheme for one-dimensional diffusion processes
Rey, C., 1 Mar 2017, In: Monte Carlo Methods and Applications. 23, 1, p. 1-12 12 p.Research output: Contribution to journal › Article › peer-review
-
Approximation of Markov semigroups in total variation distance
Bally, V. & Rey, C., 1 Jan 2016, In: Electronic Journal of Probability. 21Research output: Contribution to journal › Article › peer-review
Open Access -
Maximum likelihood estimation for Wishart processes
Alfonsi, A., Kebaier, A. & Rey, C., 1 Nov 2016, In: Stochastic Processes and their Applications. 126, 11, p. 3243-3282 40 p.Research output: Contribution to journal › Article › peer-review
Open Access