Ludovic Goudenege

CNRS

Laboratoire Énergétique Moléculaire et Macroscopique, Combustion

ludovic.goudenege [at] centralesupelec.fr

Résumé :

  • Chargé de Recherche CNRS en section 41 affecté à la Fédération de Mathématiques de CentraleSupélec.
  • Domaine de recherche : Équations aux dérivées partielles stochastiques, processus stochastiques, analyse numérique, simulations numériques, mathématiques financières, équations aux dérivées partielles, méthodes numériques, statistiques d'évènements rares.

Mots clés :

  • mathematiques, edp, stochastique, analyse, numérique, finance, assurance, statistiques, processus

En savoir plus sur Ludovic Goudenege

Publications :

  • Pre-submission / Working document - 7 documents
    • Ludovic Goudenège, Liviu Iulian Palade. A New Non-Linear Density Fluctuations Stochastic Partial Differential Equation With a Singular Coefficient of Relevance to Polymer Dynamics and Rheology, 2023-06-09. (https://hal.science/hal-04308655v1)
    • Ludovic Goudenège, Andrea Molent, Antonino Zanette. Backward Hedging for American Options with Transaction Costs, 2023-05-10. (https://hal.science/hal-04308637v1)
    • Ludovic Goudenège, El Mehdi Haress, Alexandre Richard. Numerical approximation of SDEs with fractional noise and distributional drift, 2023-02-23. (https://centralesupelec.hal.science/hal-03715427v2)
    • Jad Doghman, Ludovic Goudenège. Convergence of the stochastic Navier-Stokes-α solutions toward the stochastic Navier-Stokes solutions, 2022-10-03. (https://hal.science/hal-03794814v1)
    • Ludovic Goudenège, Andrea Molent, Antonino Zanette. Computing XVA for American basket derivatives by Machine Learning techniques, 2022-09-14. (https://hal.science/hal-04308564v1)
    • Ludovic Goudenège, Luigi Manca. $\alpha$-Navier-Stokes equation perturbed by space-time noise of trace class, 2020-05-23. (https://hal.science/hal-02615640v1)
    • Charles-Edouard Bréhier, Maxime Gazeau, Ludovic Goudenège, Mathias Rousset. Analysis and simulation of rare events for SPDE, 2014-01-07. (https://hal.science/hal-00921680v1)
  • Article in a review - 24 documents
    • Ludovic Goudenège, Andrea Molent, Antonino Zanette. Moving average options: Machine learning and Gauss-Hermite quadrature for a double non-Markovian problem, 2022-12. (https://hal.science/hal-03810106v1)
    • Jad Doghman, Ludovic Goudenège. Numerical and convergence analysis of the stochastic Lagrangian averaged Navier-Stokes equations, 2022-05-26. (https://hal.science/hal-03406041v3)
    • Hadrien Vroylandt, Ludovic Goudenège, Pierre Monmarché, Fabio Pietrucci, Benjamin Rotenberg. Likelihood-based non-Markovian models from molecular dynamics, 2022-03-24. (https://hal.science/hal-03621742v1)
    • Roxane Letournel, Ludovic Goudenège, Rémi Zamansky, Aymeric Vié, Marc Massot. Revisiting the framework for intermittency in Lagrangian stochastic models for turbulent flows: a way to an original and versatile numerical approach, 2021-07-07. (https://hal.science/hal-03177667v1)
    • Ludovic Goudenège, Andrea Molent, Antonino Zanette. Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate, 2021-05-01. (https://hal.science/hal-03013603v1)
    • Ludovic Goudenège, Luigi Manca. Stochastic phase field $\alpha$-Navier-Stokes vesicle-fluid interaction model., 2021-04-01. (https://hal.science/hal-01972807v1)
    • Ludovic Goudenège, Bin Xie. Ergodicity of stochastic Cahn-Hilliard equations with logarithmic potentials driven by degenerate or nondegenerate noises, 2020-10. (https://hal.science/hal-03101180v1)
    • Ludovic Goudenège, Andrea Molent, Antonino Zanette. Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models, 2020-04-02. (https://hal.science/hal-03013606v1)
    • Ludovic Goudenège, Andrea Molent, Antonino Zanette. Computing Credit Valuation Adjustment solving coupled PIDEs in the Bates model, 2020-04-01. (https://hal.science/hal-01873346v1)
    • Charles-Edouard Bréhier, Ludovic Goudenège. Weak convergence rates of splitting schemes for the stochastic Allen-Cahn equation, 2020. (https://hal.science/hal-01764290v2)
    • Ludovic Goudenège, Andrea Molent, Antonino Zanette. Pricing and hedging GMWB in the Heston and in the Black–Scholes with stochastic interest rate models, 2019-02-04. (https://hal.science/hal-01940715v1)
    • Charles-Edouard Bréhier, Ludovic Goudenège. Analysis of some splitting schemes for the stochastic Allen-Cahn equation, 2019. (https://hal.science/hal-01688333v1)
    • Ludovic Goudenège, Adam Larat, Julie Llobell, Marc Massot, David Mercier, Olivier Thomine, Aymeric Vié. Statistical and probabilistic modeling of a cloud of particles coupled with a turbulent fluid, 2018-10-01. (https://hal.science/hal-01884814v1)
    • Christiane Cocozza-Thivent, Robert Eymard, Ludovic Goudenège, Michel Roussignol. Numerical methods for piecewise deterministic Markov processes with boundary, 2017-01. (https://hal.science/hal-00917203v1)
    • Ludovic Goudenège, Molent Andrea, Antonino Zanette. Pricing and hedging GLWB in the Heston and in the Black–Scholes with stochastic interest rate models, 2016-09-01. (https://hal.science/hal-01390968v1)
    • Charles-Edouard Bréhier, Ludovic Goudenège, Loic Tudela. Central Limit Theorem for Adaptative Multilevel Splitting Estimators in an Idealized Setting, 2016-06-14. (https://hal.science/hal-01074155v1)
    • Charles-Edouard Bréhier, Maxime Gazeau, Ludovic Goudenège, Tony Lelièvre, Mathias Rousset. Unbiasedness of some generalized adaptive multilevel splitting algorithms, 2016. (https://hal.science/hal-01142704v1)
    • Ludovic Goudenège, Pierre-André Zitt. A Wright-Fisher model with indirect selection, 2015-12. (https://hal.science/hal-00925744v3)
    • Ludovic Goudenège, Luigi Manca. Asymptotic properties of stochastic Cahn–Hilliard equation with singular nonlinearity and degenerate noise, 2015-05-28. (https://hal.science/hal-01092481v1)
    • Charles-Edouard Bréhier, Maxime Gazeau, Ludovic Goudenège, Mathias Rousset. Analysis and simulation of rare events for SPDEs, 2015-01. (https://centralesupelec.hal.science/hal-02746493v1)
    • Ludovic Goudenège. Numerical methods for piecewise deterministic Markov processes with boundary, 2014-09. (https://hal.science/hal-01902024v1)
    • Ludovic Goudenège, Daniel Martin, Grégory Vial. High order finite element calculations for the deterministic Cahn-Hilliard equation, 2012-08-01. (https://hal.science/hal-00461231v1)
    • Arnaud Debussche, Ludovic Goudenège. Stochastic Cahn-Hilliard equation with double singular nonlinearities and two reflections, 2011. (https://hal.science/hal-00411599v1)
    • Ludovic Goudenège. Stochastic Cahn-Hilliard equation with singular nonlinearity and reflection, 2009. (https://hal.science/hal-00336601v1)
  • Work chapter - 1 document
    • Ludovic Goudenège, Andrea Molent, Antonino Zanette. Variance Reduction Applied to Machine Learning for Pricing Bermudan/American Options in High Dimension, 2021-08-27. (https://inria.hal.science/hal-03524108v1)
  • LECTURE - 1 document
  • Dissertation - 1 document