Sophie LARUELLE

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Publications

Nom:	LARUELLE
Prénom:	Sophie
Site:	UPEC
Bureau:	P2 236
Téléphone:	+33 1 45 17 16 42
Situation:	Permanent
Statut:	Maître de conférences
Équipe de recherche:	Probabilités et statistiques
Courriel:	sophie.laruelle@u-pec.fr
Page personnelle:	http://perso.math.u-pem.fr/laruelle.sophie/

Nonlinear Randomized Urn Models: a Stochastic Approximation Viewpoint

auteur

Sophie Laruelle, Gilles Pagès

Electronic Journal of Probability 24 (2019) 1-47
Optimal posting price of limit orders: learning by trading

auteur

Sophie Laruelle, Charles-Albert Lehalle, Gilles Pagès

Mathematics and Financial Economics 7 (2013) 359-403
Optimal posting distance of limit orders: a stochastic algorithm approach

auteur

S. Laruelle, C.-A. Lehalle, G. Pagès

Mathematics and Financial Economics 7 (2013) 359-403
Randomized Urn Models revisited using Stochastic Approximation

auteur

Sophie Laruelle, Gilles Pagès

The Annals of Applied Probability 23 (2013) 1409-1436
Stochastic Approximation with Averaging Innovation Applied to Finance

auteur

Sophie Laruelle, Gilles Pagès

Monte Carlo Methods and Applications 18 (2012) 1-52
Urn Model-Based Adaptive Multi-Arm Clinical trials : A Stochastic Approximation Approach

auteur

S. Laruelle, G. Pagès

(2012) 45-59
Stochastic approximation using averaging innovations

auteur

S. Laruelle, G. Pagès

Monte Carlo Methods and Applications 18 (2012) 1-51
Optimal split of orders across liquidity pools: a stochastic algorithm approach

auteur

Sophie Laruelle, Charles-Albert Lehalle, Gilles Pagès

SIAM Journal on Financial Mathematics 2 (2011) 1042-1076
Analyse d'Algorithmes Stochastiques Appliqués à la Finance

auteur

Sophie Laruelle

(2011)
Optimal split of orders across liquidity pools: a stochastic algorithm approach

auteur

S. Laruelle, G. Pagès, C.-A. Lehalle

SIAM Journal on Financial Mathematics 2 (2011) 1042-1076