Results for "Aurélien Alfonsi"

total 491took 0.14s
A generic construction for high order approximation schemes of semigroups using random gridsMay 21 2019Our aim is to construct high order approximation schemes for general semigroups of linear operators $P_{t},t\geq 0$. In order to do it, we fix a time horizon $T $ and the discretization steps $h_{l}=\frac{T}{n^{l}},l\in \mathbb{N}$ and we suppose that ... More
Optimal execution strategies in limit order books with general shape functionsAug 13 2007Feb 03 2010We consider optimal execution strategies for block market orders placed in a limit order book (LOB). We build on the resilience model proposed by Obizhaeva and Wang (2005) but allow for a general shape of the LOB defined via a given density function. ... More
Multivariate transient price impact and matrix-valued positive definite functionsOct 16 2013Sep 09 2015We consider a model for linear transient price impact for multiple assets that takes cross-asset impact into account. Our main goal is to single out properties that need to be imposed on the decay kernel so that the model admits well-behaved optimal trade ... More
Approximation of Optimal Transport problems with marginal moments constraintsMay 14 2019Optimal Transport (OT) problems arise in a wide range of applications, from physics to economics. Getting numerical approximate solution of these problems is a challenging issue of practical importance. In this work, we investigate the relaxation of the ... More
A simple proof for the convexity of the Choquet integralJan 07 2015This note presents an elementary and direct proof for the convexity of the Choquet integral when the corresponding set function is submodular.
Strong convergence of some drift implicit Euler scheme. Application to the CIR processJun 18 2012We study the convergence of a drift implicit scheme for one-dimensional SDEs that was considered by Alfonsi for the Cox-Ingersoll-Ross (CIR) process. Under general conditions, we obtain a strong convergence of order 1. In the CIR case, Dereich, Neuenkirch ... More
Extension and calibration of a Hawkes-based optimal execution modelJun 29 2015We provide some theoretical extensions and a calibration protocol for our former dynamic optimal execution model. The Hawkes parameters and the propagator are estimated independently on financial data from stocks of the CAC40. Interestingly, the propagator ... More
Lifted and geometric differentiability of the squared quadratic Wasserstein distanceNov 19 2018Dec 21 2018In this paper, we remark that any optimal coupling for the quadratic Wasserstein distance $W^2_2(\mu,\nu)$ between two probability measures $\mu$ and $\nu$ with finite second order moments on $\mathbb{R}^d$ is the composition of a martingale coupling ... More
A Mean-Reverting SDE on Correlation matricesAug 26 2011Feb 13 2012We introduce a mean-reverting SDE whose solution is naturally defined on the space of correlation matrices. This SDE can be seen as an extension of the well-known Wright-Fisher diffusion. We provide conditions that ensure weak and strong uniqueness of ... More
Dynamic optimal execution in a mixed-market-impact Hawkes price modelApr 02 2014Jun 09 2015We study a linear price impact model including other liquidity takers, whose flow of orders either follows a Poisson or a Hawkes process. The optimal execution problem is solved explicitly in this context, and the closed-formula optimal strategy describes ... More
Capacitary measures for completely monotone kernels via singular controlJan 13 2012Feb 25 2013We give a singular control approach to the problem of minimizing an energy functional for measures with given total mass on a compact real interval, when energy is defined in terms of a completely monotone kernel. This problem occurs both in potential ... More
Exact and high order discretization schemes for Wishart processes and their affine extensionsJun 11 2010Mar 13 2013This work deals with the simulation of Wishart processes and affine diffusions on positive semidefinite matrices. To do so, we focus on the splitting of the infinitesimal generator, in order to use composition techniques as Ninomiya and Victoir or Alfonsi. ... More
Optimal execution and price manipulations in time-varying limit order booksApr 12 2012This paper focuses on an extension of the Limit Order Book (LOB) model with general shape introduced by Alfonsi, Fruth and Schied. Here, the additional feature allows a time-varying LOB depth. We solve the optimal execution problem in this framework for ... More
Stochastic Local Intensity Loss Models with Interacting Particle SystemsFeb 08 2013It is well-known from the work of Sch\"onbucher (2005) that the marginal laws of a loss process can be matched by a unit increasing time inhomogeneous Markov process, whose deterministic jump intensity is called local intensity. The Stochastic Local Intensity ... More
Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricingJun 18 2018We prove a large deviations principle for the class of multidimensional affine stochastic volatility models considered in (Gourieroux, C. and Sufana, R., J. Bus. Econ. Stat., 28(3), 2010), where the volatility matrix is modelled by a Wishart process. ... More
Evolution of the Wasserstein distance between the marginals of two Markov processesJun 09 2016In this paper, we are interested in the time derivative of the Wasserstein distance between the marginals of two Markov processes. As recalled in the introduction, the Kantorovich duality leads to a natural candidate for this derivative. Up to the sign, ... More
Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler schemeMay 27 2014Mar 19 2015In this paper, we prove that the time supremum of the Wasserstein distance between the time-marginals of a uniformly elliptic multidimensional diffusion with coefficients bounded together with their derivatives up to the order $2$ in the spatial variables ... More
Sampling of probability measures in the convex order by Wasserstein projectionSep 15 2017Feb 08 2019In this paper, for $\mu$ and $\nu$ two probability measures on $\mathbb{R}^d$ with finite moments of order $\rho\ge 1$, we define the respective projections for the $W_\rho$-Wasserstein distance of $\mu$ and $\nu$ on the sets of probability measures dominated ... More
Evolution of the Wasserstein distance between the marginals of two Markov processesJun 09 2016Dec 08 2016In this paper, we are interested in the time derivative of the Wasserstein distance between the marginals of two Markov processes. As recalled in the introduction, the Kantorovich duality leads to a natural candidate for this derivative. Up to the sign, ... More
Maximum Likelihood Estimation for Wishart processesAug 13 2015Apr 15 2016In the last decade, there has been a growing interest to use Wishart processes for modelling, especially for financial applications. However, there are still few studies on the estimation of its parameters. Here, we study the Maximum Likelihood Estimator ... More
Smile with the Gaussian term structure modelDec 23 2014Nov 04 2015We propose an affine extension of the Linear Gaussian term structure Model (LGM) such that the instantaneous covariation of the factors is given by an affine process on semidefinite positive matrices. First, we set up the model and present some important ... More
A many-body overview of low-energy optical excitations in armchair graphene nanoribbonsJul 13 2012Excitonic spectra of armchair graphene nanoribbons (AGNRs) obtained from a full many-body exact diagonalization of the Hubbard model are reported for both longitudinally and transversely polarized photons, thus providing a complete survey of low-energy ... More
Étienne Bézout : Analyse algébrique au siècle des LumièresOct 19 2009The topic of this paper is, on the one hand to introduce algebraic analysis results of \'Etienne B\'ezout (1730- 1783) not as we know them today but as he found them in his time, and on the other hand to emphasize his innovating viewpoints. We will be ... More
Décomposition de Hodge pour l'homologie stable des groupes d'automorphismes des groupes libresOct 13 2015Jul 29 2016We establish a decomposition of stable homology of automorphism groups of free groups with polynomial contravariant coefficients in term of functor homology. This allows several explicit computations, intersecting results obtained by independant methods ... More
Groupes d'extensions et foncteurs polynomiauxJul 15 2014G\'en\'eralisant un article de Pirashvili, nous caract\'erisons les petites cat\'egories additives A telles que l'inclusion dans la cat\'egorie des foncteurs de A vers les groupes ab\'eliens de la sous-cat\'egorie pleine des foncteurs analytiques induise ... More
Adaptation of a population to a changing environment under the light of quasi-stationarityMar 25 2019We consider a model of diffusion with jumps intended to illustrate the adaptation of a population to the variation of its environment. Assuming that our deterministic environment is changing regularly towards a constant direction, we obtain the existence ... More
Stock-flow consistent macroeconomic model with nonuniform distributional constraintAug 02 2017We report on results concerning a partially aggregated Stock Flow Consistent (SFC) macroeconomic model in the stationary state where the sectors of banks and firms are aggregated, the sector of households is dis-aggregated, and the probability density ... More
Le foncteur V -> $F_2[V]^{otimes 3}$ entre F2-espaces vectoriels est noethérienFeb 22 2007Sep 01 2008We prove that in the category F of functors between F2-vector spaces, the tensor product between three copies of the standard projective object P : V -> F2[V] and a functor of finite length is noetherian. The only case known to date was the noetherian ... More
The PBR theorem seen from the eyes of a BohmianSep 11 2014The aim of this paper is to present an analysis of the new theorem by Pusey, Barrett and Rudolph (PBR) concerning ontic and epistemic hidden variables in quantum mechanics [Nature Phys. 8, 476 (2012)]. This is a kind of review and defense of my previous ... More
Construction and Skorohod representation of a fractional K-rough pathJul 19 2016We go ahead with the study initiated in [3] about a heat-equation model with non-linear perturbation driven by a space-time fractional noise. Using general results from Hairer's theory of regularity structures, the analysis reduces to the construction ... More
Informational Confidence Bounds for Self-Normalized Averages and ApplicationsSep 13 2013We present deviation bounds for self-normalized averages and applications to estimation with a random number of observations. The results rely on a peeling argument in exponential martingale techniques that represents an alternative to the method of mixture. ... More
The evaporation spectrum of black holes from a local quantum gravity perspectiveMay 21 2016We revisit the hypothesis of a possible line structure in the Hawking evaporation spectrum of black holes, due to non-perturbative quantum gravity effects, even arbitrarily far away from the Planck mass. We show that this naive prediction might in fact ... More
Lorentz-invariant, retrocausal, and deterministic hidden variablesApr 17 2019We review several no-go theorems attributed to Gisin and Hardy, Conway and Kochen purporting the impossibility of Lorentz-invariant deterministic hidden-variable model for explaining quantum nonlocality. Those theorems claim that the only known solution ... More
On stable homology of congruence groupsJul 25 2017Dec 11 2017We show in this work that homology in degree d of a congruence group, in a very general framework, defines a weakly polynomial functor of degree at most 2d and we describe this functor modulo polynomial functors of smaller degree. Our main tool is a spectral ... More
Catégories de foncteurs en grassmanniennesOct 19 2006Nov 07 2006Soit F la cat\'{e}gorie des foncteurs entre espaces vectoriels sur un corps fini. Les cat\'{e}gories de foncteurs en grassmanniennes sont obtenues en rempla\c{c}ant la source de cette cat\'{e}gorie par la cat\'{e}gorie des couples form\'{e}s d'un espace ... More
On finiteness properties of polynomial functorsAug 21 2013Jul 29 2015We study finiteness properties, especially the noetherian property, the Krull dimension and a variation of finite presentation, in categories of polynomial functors from a small symmetric monoidal category whose unit is an initial object to an abelian ... More
Quantizing polaritons in inhomogeneous dissipative systemsDec 01 2016In this article we provide a a general analysis of canonical quantization for polaritons in dispersive and dissipative electromagnetic media. We compare several approaches based either on the Huttner Barnett model [B. Huttner, S. M. Barnett, Phys. Rev. ... More
Autour des résultats d'annulation cohomologique de ScorichenkoAug 31 2009The ain of this note is to make available the unpublished proof of Scorichenko of the isomorphism between stable K-theory and functor homology for polynomial coefficients over an arbitrary ring.
Catégories de foncteurs en grassmanniennes et filtration de KrullNov 28 2006Soit F la cat\'{e}gories des foncteurs entre espaces vectoriels sur le corps \`{a} deux \'{e}l\'{e}ments. \`{A} l'aide des cat\'{e}gories de foncteurs en grassmanniennes, nous avons \'{e}mis dans [Dja06a] une conjecture d\'{e}crivant la filtration de ... More
Solutions globales pour des équations de Schrödinger sur-critiques en toutes dimensionsJul 15 2012In \cite{poiret}, we explain how we can construct global solutions for the cubic Schr\"odinger equation in three dimensional with initial data in $ L^2(\mathds{R}^3) $. The main ingredient of this proof is the existence of the bilinear estimate for the ... More
Solutions globales pour l'équation de Schrödinger cubique en dimension 3Jul 06 2012The purpose of this article is to construct global solutions for some super-crtical Schrodinger equations using the theory of random data introduced by N.Burq and N.Tzvetkov. We begin our study by the cubic equation in three dimension. Thanks to the lens ... More
Volume of the steady-state space of financial flows in a monetary stock-flow-consistent modelJan 05 2016Jan 09 2017We show that a steady-state stock-flow consistent macro-economic model can be represented as a Constraint Satisfaction Problem (CSP).The set of solutions is a polytope, which volume depends on the constraintsapplied and reveals the potential fragility ... More
Foncteurs de division et structure de I tenseur 2 tenseur Lambda n dans la catégorie FJul 24 2006We prove that, in the category F of functors between F\_2-vector spaces, the tensor product between the second non constant standard injective functor and an exterior power functor is artinian. The only cas known to date was the artinian character of ... More
Sur l'homologie des groupes unitaires à coefficients polynomiauxApr 08 2011Jan 04 2012We extend the results of the author with C. Vespa (Ann. Sci. ENS 2010) to stable homology of unitary groups over an arbitrary ring twisted by a polynomial functor : we show that it can be computed from the homology with constant coefficients and functor ... More
Volume of the steady-state space of financial flows in a monetary stock-flow-consistent modelJan 05 2016Sep 02 2016We show that a steady-state stock-flow consistent macro-economic model can be represented as a Constraint Satisfaction Problem (CSP).The set of solutions is a polytope, which volume depends on the constraintsapplied and reveals the potential fragility ... More
Supervised Metric Learning with Generalization GuaranteesJul 17 2013Jul 23 2013The crucial importance of metrics in machine learning algorithms has led to an increasing interest in optimizing distance and similarity functions, an area of research known as metric learning. When data consist of feature vectors, a large body of work ... More
Two level natural selection under the light of Quasi-Stationary DistributionsMar 25 2019In a view for a simple model where natural selection at the individual level is confronted to selection effects at the group level, we consider some individual-based models of some large population subdivided in a large number of groups. We then obtain ... More
Integration with respect to the Hermitian fractional Brownian motionApr 13 2018For every $d\geq 1$, we consider the $d$-dimensional Hermitian fractional Brownian motion (HfBm), that is the process with values in the space of $(d\times d)$-Hermitian matrices and with upper-diagonal entries given by complex fractional Brownian motions ... More
Perfect Simulation Of Processes With Long Memory: A `Coupling Into And From The Past' AlgorithmJun 29 2011Oct 14 2013We describe a new algorithm for the perfect simulation of variable length Markov chains and random systems with perfect connections. This algorithm, which generalizes Propp and Wilson's simulation scheme, is based on the idea of coupling into and from ... More
Exponential quasi-ergodicity for processes with discontinuous trajectoriesFeb 04 2019Some new results provide opportunities to ensure the exponential convergence to a unique quasistationary distribution in the total variation norm, for quite general strong Markov processes. Specifically, non-reversible processes with discontinuous trajectories ... More
Invariance principles for homogeneous sums of free random variablesJan 09 2012Mar 10 2014We extend, in the free probability framework, an invariance principle for multilinear homogeneous sums with low influences recently established in [E. Mossel, R. O'Donnell and K. Oleszkiewicz (2010). Noise stability of functions with low influences: invariance ... More
Distribution of spectral linear statistics on random matrices beyond the large deviation function -- Wigner time delay in multichannel disordered wiresFeb 10 2016Oct 27 2016An invariant ensemble of $N\times N$ random matrices can be characterised by a joint distribution for eigenvalues $P(\lambda_1,\cdots,\lambda_N)$. The study of the distribution of linear statistics, i.e. of quantities of the form $L=(1/N)\sum_if(\lambda_i)$ ... More
Binding bigraphs as symmetric monoidal closed theoriesOct 24 2008Jun 08 2009Milner's bigraphs are a general framework for reasoning about distributed and concurrent programming languages. Notably, it has been designed to encompass both the pi-calculus and the Ambient calculus. This paper is only concerned with bigraphical syntax: ... More
Weakly polynomial functorsAug 19 2013Jun 01 2017We introduce and study a general notion of polynomial functor from a small monoidal symmetric category whose unit is an initial object and give a classification result of polynomial functors of degree smaller of equal to n modulo those of degree smaller ... More
A bound for the torsion on subvarieties of abelian varietiesOct 12 2017We give a uniform bound on the degree of the maximal torsion cosets for subvarieties of an abelian variety. The proof combines algebraic interpolation and a theorem of Serre on homotheties in the Galois representation associated to the torsion subgroup ... More
A minimax and asymptotically optimal algorithm for stochastic banditsFeb 23 2017Sep 20 2017We propose the kl-UCB ++ algorithm for regret minimization in stochastic bandit models with exponential families of distributions. We prove that it is simultaneously asymptotically optimal (in the sense of Lai and Robbins' lower bound) and minimax optimal. ... More
Code injection attacks on harvard-architecture devicesJan 22 2009Harvard architecture CPU design is common in the embedded world. Examples of Harvard-based architecture devices are the Mica family of wireless sensors. Mica motes have limited memory and can process only very small packets. Stack-based buffer overflow ... More
Robustness and Generalization for Metric LearningSep 05 2012Sep 29 2014Metric learning has attracted a lot of interest over the last decade, but the generalization ability of such methods has not been thoroughly studied. In this paper, we introduce an adaptation of the notion of algorithmic robustness (previously introduced ... More
Free products, Orbit Equivalence and Measure Equivalence RigidityJun 17 2008Feb 18 2009We study the analogue in orbit equivalence of free product decomposition and free indecomposability for countable groups. We introduce the (orbit equivalence invariant) notion of freely indecomposable ({\FI}) standard probability measure preserving equivalence ... More
Runaway gas accretion and gap opening versus type~I migrationOct 18 2016Growing planets interact with their natal protoplanetary disc, which exerts a torque onto them allowing them to migrate in the disc. Small mass planets do not affect the gas profile and migrate in the fast type~I migration. Although type~I migration can ... More
Late-time cosmology of scalar-tensor theories with universal multiplicative coupling between the scalar field and the matter LagrangianApr 16 2014Jul 15 2014We investigate the late-time cosmological behaviour of scalar-tensor theories with a universal multiplicative coupling between the scalar field and the matter Lagrangian in the matter era. This class of theory encompasses the case of the massless string ... More
Intrinsic Solar System decoupling of a scalar-tensor theory with a universal coupling between the scalar field and the matter LagrangianAug 13 2013In this communication, we present a class of Brans-Dicke-like theories with a universal coupling between the scalar field and the matter Lagrangian. We show this class of theories naturally exhibits a decoupling mechanism between the scalar field and ... More
A rational parametrization of Bézier like curvesApr 27 2018In this paper, we construct a family of Bernstein functions using a class of rational parametrization. The new family of rational Bernstein basis on an index $\alpha \in {\left(-\infty \, , \, 0 \right)}\cup {\left(1 \, , \, +\infty\right)}$, and for ... More
Sur l'homologie des groupes d'automorphismes des groupes libres à coefficients polynomiauxOct 15 2012Sep 09 2013We study in this article stable homology of automorphism groups of free groups with coefficients twisted by a poynomial functor. We show that this homology is zero for a reduced covariant polynomial functor. For a reduced contravariant functor, we compute ... More
Cycle-based Cluster Variational Method for Direct and Inverse InferenceFeb 09 2016We elaborate on the idea that loop corrections to belief propagation could be dealt with in a systematic way on pairwise Markov random fields, by using the elements of a cycle basis to define region in a generalized belief propagation setting. The region ... More
On stochastic calculus with respect to q-Brownian motionDec 17 2016Mar 13 2018Following the approach and the terminology introduced in [A. Deya and R. Schott, On the rough paths approach to non-commutative stochastic calculus, J. Funct. Anal., 2013], we construct a product L{\'e}vy area above the $q$-Brownian motion (for $q\in ... More
Radiation condition at infinity for the high-frequency Helmholtz equation: optimality of a non-refocusing criterionApr 06 2012We consider the high frequency Helmholtz equation with a variable refraction index $n^2(x)$ ($x \in \R^d$), supplemented with a given high frequency source term supported near the origin $x=0$. A small absorption parameter $\alpha_{\varepsilon}>0$ is ... More
Convergence of Wigner integrals to the tetilla lawJul 18 2011Jan 06 2012If x and y are two free semicircular random variables in a non-commutative probability space (A,E) and have variance one, we call the law of 2^{-1/2}(xy+yx) the tetilla law (and we denote it by T), because of the similarity between the form of its density ... More
On dilatons with intrinsic decouplingsDec 16 2015Jul 29 2016In this paper, we show that there exists a class of dilaton models with non-trivial scalar-Ricci and scalar-matter couplings that strongly reduces observational deviations from general relativity in the dust limit. Essentially, depending on the coupling ... More
Basics of the pressuronMay 04 2015May 07 2015The pressuron is a specific case of a dilaton-like field that leads to a decoupling of the scalar-field in the field equation for pressureless fluids. Hence, the pressuron recovers general relativity in the limit of weak pressure. Here we review its basics. ... More
Context Tree Selection: A Unifying ViewNov 10 2010Jun 29 2011The present paper investigates non-asymptotic properties of two popular procedures of context tree (or Variable Length Markov Chains) estimation: Rissanen's algorithm Context and the Penalized Maximum Likelihood criterion. First showing how they are related, ... More
On the rough-paths approach to non-commutative stochastic calculusJan 26 2013Mar 08 2016We study different possibilities to apply the principles of rough paths theory in a non-commutative probability setting. First, we extend previous results obtained by Capitaine, Donati-Martin and Victoir in Lyons' original formulation of rough paths theory. ... More
Sur l'homologie des groupes orthogonaux et symplectiques à coefficients tordusAug 29 2008Oct 19 2009We compute the stable homology of orthogonal and symplectic groups over a finite field k with coefficients coming from an usual endofunctor F of k-vector spaces (exterior, symmetric, divided powers...), that is, for all natural integer i, we compute the ... More
Non-Asymptotic Sequential Tests for Overlapping Hypotheses and application to near optimal arm identification in bandit modelsMay 09 2019In this paper, we study sequential testing problems with \emph{overlapping} hypotheses. We first focus on the simple problem of assessing if the mean $\mu$ of a Gaussian distribution is $\geq -\epsilon$ or $\leq \epsilon$; if $\mu\in(-\epsilon,\epsilon)$, ... More
Inference of the sparse kinetic Ising model using the decimation methodFeb 05 2015Jun 29 2016In this paper we study the inference of the kinetic Ising model on sparse graphs by the decimation method. The decimation method, which was first proposed in [Phys. Rev. Lett. 112, 070603] for the static inverse Ising problem, tries to recover the topology ... More
Rough Volterra equations 2: convolutional generalized integralsOct 10 2008We define and solve Volterra equations driven by an irregular signal, by means of a variant of the rough path theory allowing to handle generalized integrals weighted by an exponential coefficient. The results are applied to the fractional Brownian motion ... More
Duality Approach to Bilevel Programs with a Convex Lower LevelAug 10 2016Sep 18 2016Bilevel programs can be reformulated as a single-level program by replacing the lower level problem with an optimality condition. This paper studies the optimality condition of upper-bounding the lower level objective by a new dual function constructed ... More
Computing integral points on X_ns^+(p)Dec 04 2012We describe an algorithm for computing integral points on the modular curve of prime level p associated to the normalizer of a non-split Cartan subgroup of GL_2(F_p). Using our method, we show that for 7<p<71 the only integral points on this curve are ... More
Belief-Propagation Guided Monte-Carlo SamplingJul 30 2013Jun 19 2014A Monte-Carlo algorithm for discrete statistical models that combines the full power of the Belief Propagation algorithm with the advantages of a detailed-balanced heat bath approach is presented. A sub-tree inside the factor graph is first extracted ... More
Capacitance and charge relaxation resistance of chaotic cavities - Joint distribution of two linear statistics in the Laguerre ensemble of random matricesJul 11 2014Mar 12 2015We consider the AC transport in a quantum RC circuit made of a coherent chaotic cavity with a top gate. Within a random matrix approach, we study the joint distribution for the mesoscopic capacitance $C_\mu=(1/C+1/C_q)^{-1}$ and the charge relaxation ... More
Weakly polynomial functorsAug 19 2013Dec 22 2015We introduce and study a general notion of polynomial functor from a small monoidal symmetric category whose unit is an initial object and give a classification result of polynomial functors of degree smaller of equal to n modulo those of degree smaller ... More
Primordial power spectra from an emergent universe: basic results and clarificationsDec 13 2018Emergent cosmological models, together with the Big Bang and bouncing scenarios, are among the possible descriptions of the early Universe. This work aims at clarifying some general features of the primordial tensor power spectrum in this specific framework. ... More
The KL-UCB Algorithm for Bounded Stochastic Bandits and BeyondFeb 12 2011Aug 29 2013This paper presents a finite-time analysis of the KL-UCB algorithm, an online, horizon-free index policy for stochastic bandit problems. We prove two distinct results: first, for arbitrary bounded rewards, the KL-UCB algorithm satisfies a uniformly better ... More
Rough Volterra equations 1: the algebraic integration settingSep 11 2008We define and solve Volterra equations driven by an irregular signal, by means of a variant of the rough path theory called algebraic integration. In the Young case, that is for a driving signal with H\"older exponent greater than 1/2, we obtain a global ... More
Spin-Orbit angle distribution and the origin of (mis)aligned hot JupitersMay 05 2014Jun 13 2014For 61 transiting hot Jupiters, the projection of the angle between the orbital plane and the stellar equator (called the spin-orbit angle) has been measured. For about half of them, a significant misalignment is detected, and retrograde planets have ... More
Topological phase transitions in the 1D multichannel Dirac equation with random mass and a random matrix modelJun 17 2015Jul 04 2016We establish the connection between a multichannel disordered model --the 1D Dirac equation with $N\times N$ matricial random mass-- and a random matrix model corresponding to a deformation of the Laguerre ensemble. This allows us to derive exact determinantal ... More
Optimal Best Arm Identification with Fixed ConfidenceFeb 15 2016Jun 01 2016We give a complete characterization of the complexity of best-arm identification in one-parameter bandit problems. We prove a new, tight lower bound on the sample complexity. We propose the `Track-and-Stop' strategy, which we prove to be asymptotically ... More
A new class of curves of rational B-spline typeMay 11 2018A new class of rational parametrization has been developed and it was used to generate a new family of rational functions B-splines $\displaystyle{{\left({}^{\alpha}{\mathbf B}_{i}^{k} \right)}_{i=0}^{k}}$ which depends on an index $\alpha \in (-\infty,0)\cup ... More
Integration with respect to the non-commutative fractional Brownian motionMar 13 2018We study the issue of integration with respect to the non-commutative fractional Brownian motion, that is the analog of the standard fractional Brownian in a non-commutative probability setting.When the Hurst index $H$ of the process is stricly larger ... More
Modeling micro-heterogeneity in mixtures: the role of many body termsOct 16 2018Feb 12 2019A two-component interaction model is introduced herein, which allows to describe macroscopic miscibility with various modes of tunable micro-segregation, ranging from phase separation to micro-segregation, and in excellent agreement for structural quantities ... More
Stein's method and Papangelou intensity for Poisson or Cox process approximationJul 06 2018In this paper, we apply the Stein's method in the context of point processes, namely when the target measure is the distribution of a finite Poisson point process. We show that the so-called Kantorovich-Rubinstein distance between such a measure and another ... More
Actions affines isométriques propres des groupes hyperboliques sur des quotients d'espaces $\ell^p$Sep 30 2016We prove that any hyperbolic group admits a proper affine isometric action on a quotient space of a $\ell^p$ Banach space, for all $p>1$ sufficiently close to 1.
Actions affines isométriques propres des groupes hyperboliques sur des espaces $\ell^{p}$Sep 29 2016We give a simple and relatively short proof of the following fact: any hyperbolic group admits a proper affine isometric action on a $\ell^p$-space for $p$ large enough. A first proof of this result was given by Guoliang Yu.
A Schelling model with switching agents: decreasing segregation via random allocation and social mobilityDec 20 2012Sep 26 2013We study the behaviour of a Schelling-class system in which a fraction $f$ of spatially-fixed switching agents is introduced. This new model allows for multiple interpretations, including: (i) random, non-preferential allocation (\textit{e.g.} by housing ... More
Pseudolikelihood Decimation Algorithm Improving the Inference of the Interaction Network in a General Class of Ising ModelsApr 03 2013Feb 24 2014In this Letter we propose a new method to infer the topology of the interaction network in pairwise models with Ising variables. By using the pseudolikelihood method (PLM) at high temperature, it is generally possible to distinguish between zero and nonzero ... More
`Deterministic' quantum plasmonicsNov 10 2010We demonstrate `deterministic' launching of propagative quantum surface-plasmon polaritons at freely chosen positions on gold plasmonic receptacles. This is achieved by using as plasmon launcher a near-field scanning optical source made of a diamond nanocrystal ... More
Solving the inverse Ising problem by mean-field methods in a clustered phase space with many statesJan 13 2015Jun 29 2016In this work we explain how to properly use mean-field methods to solve the inverse Ising problem when the phase space is clustered, that is many states are present. The clustering of the phase space can occur for many reasons, e.g. when a system undergoes ... More
Un successeur de Bouguer : Étienne Bézout (1730 -- 1783) commissaire pour la marine à l'Académie royale des sciencesOct 20 2009Jan 05 2010\'Etienne B\'ezout, member of the Acad\'emie Royale des Sciences, have to study some works and books sended at the Acad\'emy. In this article, we will look at this responsibility for Navy, before and after 1764, which is the year of B\'ezout's nomination ... More
On the Complexity of Best Arm Identification in Multi-Armed Bandit ModelsJul 16 2014The stochastic multi-armed bandit model is a simple abstraction that has proven useful in many different contexts in statistics and machine learning. Whereas the achievable limit in terms of regret minimization is now well known, our aim is to contribute ... More
Numerical models for stationary superfluid neutron stars in general relativity with realistic equations of stateFeb 18 2016Nov 03 2016We present a numerical model for uniformly rotating superfluid neutron stars, for the first time with realistic microphysics including entrainment, in a fully general relativistic framework. We compute stationary and axisymmetric configurations of neutron ... More