Edit Profile (opens in new tab) Oudjane, Nadia Co-Author Distance Author ID: oudjane.nadia Published as: Oudjane, Nadia External Links: MGP Documents Indexed: 39 Publications since 2001, including 13 Additional arXiv Preprints 1 Contribution as Editor Co-Authors: 37 Co-Authors with 40 Joint Publications 853 Co-Co-Authors all top 5 Co-Authors 0 single-authored 13 Russo, Francesco 7 Jacquot, Paulin 6 Beaude, Olivier 5 Del Moral, Pierre 5 Gaubert, Stéphane 5 Hu, Peng 4 Goutte, Stéphane 4 Le Cavil, Anthony 4 Le Gland, François 4 Wan, Cheng 3 Izydorczyk, Lucas 3 Liu, Kang 2 Benchimol, Pascal 2 Bonnans, Joseph Frédéric 2 Brégère, Margaux 2 Carmona, René A. 2 Moreno, Bianca Marin 2 Pfeiffer, Laurent 2 Seguret, Adrien 2 Warin, Xavier 1 Alasseur, Clemence 1 Bilenne, Olivier 1 Bourdais, Thibaut 1 De Paola, Antonio 1 Doumbia, Mahamadou 1 Franci, Barbara 1 Henry-Labordère, Pierre 1 Lieber, Jonas 1 Musso, Christian 1 Nguyen-Huu, Adrien 1 Rémillard, Bruno N. 1 Rubenthaler, Sylvain 1 Staudigl, Mathias 1 Tan, Xiaolu 1 Tessitore, Gianmario 1 Touzi, Nizar 1 Trovato, Vincenzo all top 5 Serials 2 Applied Mathematics and Optimization 2 Stochastic Analysis and Applications 2 SIAM Journal on Optimization 2 Monte Carlo Methods and Applications 2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 2 Stochastics 1 IEEE Transactions on Automatic Control 1 Mathematics of Operations Research 1 The Annals of Applied Probability 1 Stochastic Processes and their Applications 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 NoDEA. Nonlinear Differential Equations and Applications 1 Markov Processes and Related Fields 1 ALEA. Latin American Journal of Probability and Mathematical Statistics 1 SIAM Journal on Financial Mathematics 1 Springer Proceedings in Mathematics 1 Stochastic and Partial Differential Equations. Analysis and Computations all top 5 Fields 17 Probability theory and stochastic processes (60-XX) 11 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 10 Numerical analysis (65-XX) 9 Partial differential equations (35-XX) 8 Systems theory; control (93-XX) 6 Operations research, mathematical programming (90-XX) 4 Calculus of variations and optimal control; optimization (49-XX) 2 Statistics (62-XX) 2 Computer science (68-XX) 1 General and overarching topics; collections (00-XX) 1 Integral equations (45-XX) 1 Global analysis, analysis on manifolds (58-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 23 Publications have been cited 247 times in 171 Documents Cited by ▼ Year ▼ Stability and uniform approximation of nonlinear filters using the Hilbert metric and application to particle filters. Zbl 1060.93094 Le Gland, François; Oudjane, Nadia 53 2004 Branching diffusion representation of semilinear PDEs and Monte Carlo approximation. Zbl 1467.60067 Henry-Labordère, Pierre; Oudjane, Nadia; Tan, Xiaolu; Touzi, Nizar; Warin, Xavier 45 2019 Improving regularised particle filters. Zbl 1056.93588 Musso, Christian; Oudjane, Nadia; Le Gland, François 22 2001 Stability and uniform particle approximation of nonlinear filters in case of non ergodic signals. Zbl 1140.93485 Oudjane, Nadia; Rubenthaler, Sylvain 21 2005 A robustification approach to stability and to uniform particle approximation of nonlinear filters: the example of pseudo-mixing signals. Zbl 1075.93541 LeGland, François; Oudjane, Nadia 21 2003 Monte-Carlo algorithms for a forward Feynman-Kac-type representation for semilinear nonconservative partial differential equations. Zbl 1390.60211 Le Cavil, Anthony; Oudjane, Nadia; Russo, Francesco 14 2018 Probabilistic representation of a class of non-conservative nonlinear partial differential equations. Zbl 1355.60089 Le Cavil, Anthony; Oudjane, Nadia; Russo, Francesco 14 2016 Variance optimal hedging for continuous time additive processes and applications. Zbl 1306.60047 Goutte, Stéphane; Oudjane, Nadia; Russo, Francesco 10 2014 A sequential particle algorithm that keeps the particle system alive. Zbl 1130.93053 LeGland, François; Oudjane, Nadia 9 2006 Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations. Zbl 1368.65010 Le Cavil, Anthony; Oudjane, Nadia; Russo, Francesco 8 2017 Unbiased Monte Carlo estimate of stochastic differential equations expectations. Zbl 1372.65015 Doumbia, Mahamadou; Oudjane, Nadia; Warin, Xavier 6 2017 An introduction to particle methods with financial applications. Zbl 1248.91096 Carmona, René; Del Moral, Pierre; Hu, Peng; Oudjane, Nadia 3 2012 On the robustness of the Snell envelope. Zbl 1238.60048 Del Moral, Pierre; Hu, Peng; Oudjane, Nadia; Rémillard, Bruno 3 2011 On the well-posedness of a class of McKean Feynman-Kac equations. Zbl 1458.60069 Lieber, Jonas; Oudjane, Nadia; Russo, Francesco 3 2019 Forward Feynman-Kac type representation for semilinear non-conservative partial differential equations. Zbl 1492.60174 Le Cavil, Anthony; Oudjane, Nadia; Russo, Francesco 3 2019 Numerical methods in finance. Selected papers based on the presentations at the workshop, Bordeaux, France, June 2010. Zbl 1238.91005 2 2012 Fokker-Planck equations with terminal condition and related McKean probabilistic representation. Zbl 1490.60168 Izydorczyk, Lucas; Oudjane, Nadia; Russo, Francesco; Tessitore, Gianmario 2 2022 McKean Feynman-Kac probabilistic representations of non-linear partial differential equations. Zbl 1499.60189 Izydorczyk, Lucas; Oudjane, Nadia; Russo, Francesco 2 2021 On some expectation and derivative operators related to integral representations of random variables with respect to a PII process. Zbl 1288.60058 Goutte, Stéphane; Oudjane, Nadia; Russo, Francesco 2 2013 Decomposition of convex high dimensional aggregative stochastic control problems. Zbl 1512.93153 Seguret, Adrien; Alasseur, Clemence; Bonnans, J. Frédéric; De Paola, Antonio; Oudjane, Nadia; Trovato, Vincenzo 1 2023 A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems. Zbl 1480.60181 Izydorczyk, Lucas; Oudjane, Nadia; Russo, Francesco 1 2021 A privacy-preserving method to optimize distributed resource allocation. Zbl 1448.91130 Beaude, Olivier; Benchimol, Pascal; Gaubert, Stéphane; Jacquot, Paulin; Oudjane, Nadia 1 2020 Snell envelope with small probability criteria. Zbl 1256.93121 Del Moral, Pierre; Hu, Peng; Oudjane, Nadia 1 2012 Decomposition of convex high dimensional aggregative stochastic control problems. Zbl 1512.93153 Seguret, Adrien; Alasseur, Clemence; Bonnans, J. Frédéric; De Paola, Antonio; Oudjane, Nadia; Trovato, Vincenzo 1 2023 Fokker-Planck equations with terminal condition and related McKean probabilistic representation. Zbl 1490.60168 Izydorczyk, Lucas; Oudjane, Nadia; Russo, Francesco; Tessitore, Gianmario 2 2022 McKean Feynman-Kac probabilistic representations of non-linear partial differential equations. Zbl 1499.60189 Izydorczyk, Lucas; Oudjane, Nadia; Russo, Francesco 2 2021 A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems. Zbl 1480.60181 Izydorczyk, Lucas; Oudjane, Nadia; Russo, Francesco 1 2021 A privacy-preserving method to optimize distributed resource allocation. Zbl 1448.91130 Beaude, Olivier; Benchimol, Pascal; Gaubert, Stéphane; Jacquot, Paulin; Oudjane, Nadia 1 2020 Branching diffusion representation of semilinear PDEs and Monte Carlo approximation. Zbl 1467.60067 Henry-Labordère, Pierre; Oudjane, Nadia; Tan, Xiaolu; Touzi, Nizar; Warin, Xavier 45 2019 On the well-posedness of a class of McKean Feynman-Kac equations. Zbl 1458.60069 Lieber, Jonas; Oudjane, Nadia; Russo, Francesco 3 2019 Forward Feynman-Kac type representation for semilinear non-conservative partial differential equations. Zbl 1492.60174 Le Cavil, Anthony; Oudjane, Nadia; Russo, Francesco 3 2019 Monte-Carlo algorithms for a forward Feynman-Kac-type representation for semilinear nonconservative partial differential equations. Zbl 1390.60211 Le Cavil, Anthony; Oudjane, Nadia; Russo, Francesco 14 2018 Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations. Zbl 1368.65010 Le Cavil, Anthony; Oudjane, Nadia; Russo, Francesco 8 2017 Unbiased Monte Carlo estimate of stochastic differential equations expectations. Zbl 1372.65015 Doumbia, Mahamadou; Oudjane, Nadia; Warin, Xavier 6 2017 Probabilistic representation of a class of non-conservative nonlinear partial differential equations. Zbl 1355.60089 Le Cavil, Anthony; Oudjane, Nadia; Russo, Francesco 14 2016 Variance optimal hedging for continuous time additive processes and applications. Zbl 1306.60047 Goutte, Stéphane; Oudjane, Nadia; Russo, Francesco 10 2014 On some expectation and derivative operators related to integral representations of random variables with respect to a PII process. Zbl 1288.60058 Goutte, Stéphane; Oudjane, Nadia; Russo, Francesco 2 2013 An introduction to particle methods with financial applications. Zbl 1248.91096 Carmona, René; Del Moral, Pierre; Hu, Peng; Oudjane, Nadia 3 2012 Numerical methods in finance. Selected papers based on the presentations at the workshop, Bordeaux, France, June 2010. Zbl 1238.91005 2 2012 Snell envelope with small probability criteria. Zbl 1256.93121 Del Moral, Pierre; Hu, Peng; Oudjane, Nadia 1 2012 On the robustness of the Snell envelope. Zbl 1238.60048 Del Moral, Pierre; Hu, Peng; Oudjane, Nadia; Rémillard, Bruno 3 2011 A sequential particle algorithm that keeps the particle system alive. Zbl 1130.93053 LeGland, François; Oudjane, Nadia 9 2006 Stability and uniform particle approximation of nonlinear filters in case of non ergodic signals. Zbl 1140.93485 Oudjane, Nadia; Rubenthaler, Sylvain 21 2005 Stability and uniform approximation of nonlinear filters using the Hilbert metric and application to particle filters. Zbl 1060.93094 Le Gland, François; Oudjane, Nadia 53 2004 A robustification approach to stability and to uniform particle approximation of nonlinear filters: the example of pseudo-mixing signals. Zbl 1075.93541 LeGland, François; Oudjane, Nadia 21 2003 Improving regularised particle filters. Zbl 1056.93588 Musso, Christian; Oudjane, Nadia; Le Gland, François 22 2001 all cited Publications top 5 cited Publications all top 5 Cited by 250 Authors 14 Oudjane, Nadia 12 Jentzen, Arnulf 11 Russo, Francesco 9 Del Moral, Pierre 9 Hutzenthaler, Martin 8 Belopol’skaya, Yana Isaevna 7 Privault, Nicolas 6 Kruse, Thomas 6 Penent, Guillaume 6 Warin, Xavier 5 Doucet, Arnaud 5 E, Weinan 5 Whiteley, Nick 4 Beck, Christian 4 Crisan, Dan O. 4 Jasra, Ajay 4 Kleptsyna, Marina L. 4 Le Cavil, Anthony 4 Lee, Anthony J. T. 4 Míguez, Joaquín 4 Nguwi, Jiang Yu 4 Veretennikov, Alexander Yu. 3 Bouchard, Bruno 3 Chigansky, Pavel 3 Chopin, Nicolas 3 Douc, Randal 3 Han, Jiequn 3 Ionides, Edward L. 3 Le Gland, François 3 Moulines, Eric 3 Rubenthaler, Sylvain 3 Tan, Xiaolu 3 van Handel, Ramon 3 Vila, Jean-Pierre 2 Casarin, Roberto 2 Creal, Drew D. 2 Djurić, Petar M. 2 dos Reis, Gonçalo 2 Fang, Zhou 2 Fujimoto, Kazufumi 2 Goutte, Stéphane 2 Gupta, Ankit 2 Guyader, Arnaud 2 Heine, Kari 2 Henry-Labordère, Pierre 2 Hu, Peng 2 Izydorczyk, Lucas 2 Kantas, Nikolas 2 Khammash, Mustafa H. 2 King, Aaron A. 2 Künsch, Hans Rudolf 2 Ludkovski, Michael 2 Nagai, Hideo 2 Nguyen, Tuan-Anh 2 Olsson, Jimmy 2 Papavasiliou, Anastasia 2 Pham, Huyên 2 Ristic, Branko 2 Runggaldier, Wolfgang J. 2 Sabino, Piergiacomo 2 Singh, Sumeetpal Sidhu 2 Skaug, Hans Julius 2 Smith, Greig 2 Tadić, Vladislav Z. B. 2 Touzi, Nizar 2 von Wurstemberger, Philippe 1 Agarwal, Ankush 1 Aïd, René 1 Alziary, Bénédicte 1 Amzal, Billy 1 Andersson, Patrik 1 Andreasen, Martin Møller 1 Arai, Takuji 1 Barbu, Viorel 1 Baudel, Manon 1 Becker, Sebastian 1 Benth, Fred Espen 1 Bernal, Francisco 1 Billio, Monica 1 Bishop, Adrian N. 1 Blechschmidt, Jan 1 Bonnans, Joseph Frédéric 1 Bretó, Carles 1 Brusey, James 1 Bui, Van Bien 1 Campi, Luciano 1 Carmona, René A. 1 Cattiaux, Patrick 1 Ceci, Claudia 1 Cérou, Frédéric 1 Chau, Ki Wai 1 Chen, Junchao 1 Chen, Maoyin 1 Chen, Yuting 1 Cheridito, Patrick 1 Chessari, Jared 1 Chrétien, Stéphane 1 Claisse, Julien 1 Cloez, Bertrand 1 Coates, Mark J. ...and 150 more Authors all top 5 Cited in 92 Serials 16 Stochastic Processes and their Applications 11 The Annals of Applied Probability 7 Statistics and Computing 6 Stochastic Analysis and Applications 4 The Annals of Statistics 4 Journal of Mathematical Sciences (New York) 4 SIAM Journal on Financial Mathematics 3 Automatica 3 Journal of Applied Probability 3 Systems & Control Letters 3 Computational Statistics and Data Analysis 3 Monte Carlo Methods and Applications 3 Bernoulli 2 Journal of Computational Physics 2 Applied Mathematics and Optimization 2 SIAM Journal on Control and Optimization 2 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 2 SIAM Journal on Scientific Computing 2 Applied Mathematical Finance 2 Electronic Journal of Probability 2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 2 Methodology and Computing in Applied Probability 2 Comptes Rendus. Mathématique. Académie des Sciences, Paris 2 Journal of Numerical Mathematics 2 Stochastics 2 Communications in Mathematics and Statistics 2 Stochastic and Partial Differential Equations. Analysis and Computations 2 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys 1 Advances in Applied Probability 1 Nonlinearity 1 Mathematics of Computation 1 Chaos, Solitons and Fractals 1 Theory of Probability and its Applications 1 BIT 1 International Statistical Review 1 Journal of the American Statistical Association 1 Journal of Differential Equations 1 Journal of Econometrics 1 Mathematics and Computers in Simulation 1 SIAM Journal on Numerical Analysis 1 Acta Mathematicae Applicatae Sinica 1 Statistics & Probability Letters 1 Physica D 1 Applied Numerical Mathematics 1 Probability Theory and Related Fields 1 Statistical Science 1 Econometric Reviews 1 Journal of Economic Dynamics & Control 1 MCSS. Mathematics of Control, Signals, and Systems 1 Journal of Scientific Computing 1 European Journal of Applied Mathematics 1 Signal Processing 1 Japan Journal of Industrial and Applied Mathematics 1 Journal of Statistical Computation and Simulation 1 Pattern Recognition 1 Proceedings of the National Academy of Sciences of the United States of America 1 SIAM Journal on Mathematical Analysis 1 SIAM Journal on Optimization 1 Journal of Mathematical Imaging and Vision 1 Journal of Nonlinear Science 1 Mathematical Methods of Statistics 1 Statistical Papers 1 NoDEA. Nonlinear Differential Equations and Applications 1 Electronic Communications in Probability 1 Mathematical Problems in Engineering 1 Finance and Stochastics 1 Mathematical Finance 1 Statistical Inference for Stochastic Processes 1 Communications in Nonlinear Science and Numerical Simulation 1 Lobachevskii Journal of Mathematics 1 Journal of Evolution Equations 1 Foundations of Computational Mathematics 1 Discrete and Continuous Dynamical Systems. Series B 1 Stochastics and Dynamics 1 Communications on Pure and Applied Analysis 1 Asia-Pacific Financial Markets 1 GAMM-Mitteilungen 1 ALEA. Latin American Journal of Probability and Mathematical Statistics 1 Complex Analysis and Operator Theory 1 Communications in Computational Physics 1 Electronic Journal of Statistics 1 Probability Surveys 1 S\(\vec{\text{e}}\)MA Journal 1 Bayesian Analysis 1 East Asian Journal on Applied Mathematics 1 Mathematics 1 SIAM/ASA Journal on Uncertainty Quantification 1 Proceedings of the Royal Society of London. A. Mathematical, Physical and Engineering Sciences 1 Journal de la Société Française de Statistique & Revue de Statistique Appliquée 1 Probability, Uncertainty and Quantitative Risk 1 SN Partial Differential Equations and Applications 1 SN Operations Research Forum all top 5 Cited in 22 Fields 115 Probability theory and stochastic processes (60-XX) 85 Numerical analysis (65-XX) 54 Statistics (62-XX) 50 Systems theory; control (93-XX) 40 Partial differential equations (35-XX) 29 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 9 Computer science (68-XX) 7 Calculus of variations and optimal control; optimization (49-XX) 5 Dynamical systems and ergodic theory (37-XX) 5 Statistical mechanics, structure of matter (82-XX) 4 Operator theory (47-XX) 4 Biology and other natural sciences (92-XX) 4 Information and communication theory, circuits (94-XX) 3 Integral equations (45-XX) 3 Fluid mechanics (76-XX) 2 Global analysis, analysis on manifolds (58-XX) 2 Operations research, mathematical programming (90-XX) 1 Special functions (33-XX) 1 Ordinary differential equations (34-XX) 1 Integral transforms, operational calculus (44-XX) 1 Optics, electromagnetic theory (78-XX) 1 Quantum theory (81-XX) Citations by Year