Emmanuel GOBET - Personal Web Page
I am a Professor of Applied Mathematics at Ecole Polytechnique.
Research team: SIMPAS
Main research topics:
- Algorithms of probabilistic type and stochastic approximations
- Financial mathematics
- Malliavin calculus and stochastic analysis
- Monte Carlo simulations
- Statistics for stochastic processes, statistical learning
"Monte-Carlo methods and stochastic processes: from linear to
non-linear" (CRC Press). August 2016.
This book, published by CRC Press, is an extended version of the french version (see below), published by Editions de l'Ecole Polytechnique.
You can visit the webpage of the book (exercises with solutions, Python demos, extra links...).
Conference on Monte Carlo techniques, Paris, July 5-8th
2016, see website
grant 2016 (Data Analytics and Stochastic
Control for Optimal Management of Microgrid Generation and Storage
Resources), see website
- CEMRACS 2017: Numerical
methods for stochastic models: control, uncertainty
quantification, mean-field, July 17 - August 25, CIRM,
Marseille, see website
- ANR CAESARS 2016-2019
(Control and simulAtion of Electrical Systems, interAction and
RobustnesS), see website
- Special Thematic Semester on Monte-Carlo methods, see the website here, organized with B. Bouchard and B. Jourdain (october 2015-june 2016)
- Our group regularly opens PostDoc positions with research topics on numerics for stochastic processes and probabilistic algorithms. If you are interested, contact me by email.
|"Méthodes de Monte-Carlo et processus stochastiques: du
linéaire au non-linéaire". Sept. 2013.
|"Les outils stochastiques des marchés financiers: une
visite guidée de Einstein à Black-Scholes", with Nicole
El Karoui. Feb. 2011.
You can download a simplified version without figures and exercises here. Or you can buy the full version: