Ludovic Goudenege

Laboratory

Molecular and Macroscopic Energetics, Combustion

Key words

mathematics, edp, stochastics, analysis, digital, finance, insurance, statistics, process

Website

Summary

CNRS Research Fellow in section 41 assigned to the CentraleSupélec Mathematics Federation. Research area: Stochastic partial differential equations, stochastic processes, numerical analysis, numerical simulations, financial mathematics, partial differential equations, numerical methods, statistics of rare events.

Publications (38)

Article in a journal 13/02/2025

Convergence of the stochastic Navier-Stokes-α solutions toward the stochastic Navier-Stokes solutions

Ludovic Goudenege

Article in a journal 01/01/2025

Numerical approximation of SDEs with fractional noise and distributional drift

Ludovic Goudenege , Alexander Richard

Article in a journal 06/08/2024

Backward hedging for American options with transaction costs

Andrea Molent , Antonino Zanette , Ludovic Goudenege

13/05/2024

Numerical approximation of the stochastic heat equation with a distributional reaction term

Ludovic Goudenege , Alexander Richard

23/06/2023

Backward Hedging for American Options with Transaction Costs

Andrea Molent , Antonino Zanette , Ludovic Goudenege

12/06/2023

A New Non-Linear Density Fluctuations Stochastic Partial Differential Equation With a Singular Coefficient of Relevance to Polymer Dynamics and Rheology

Liviu Iulian Palade , Ludovic Goudenege

Communication at a conference 02/04/2023

Exploring differences in second order statistics for the simulation of multi-scale atomization process

Alberto Remigi , Petar Tomov , FX Demoulin , Benjamin Duret , Julien Reveillon , Marc Massot , Ludovic Goudenege

Article in a journal 01/12/2022

Moving average options: Machine learning and Gauss-Hermite quadrature for a double non-Markovian problem

Andrea Molent , Antonino Zanette , Ludovic Goudenege

14/09/2022

Computing XVA for American basket derivatives by Machine Learning techniques

Andrea Molent , Antonino Zanette , Ludovic Goudenege

Article in a journal 26/05/2022

Numerical and convergence analysis of the stochastic Lagrangian averaged Navier-Stokes equations

Ludovic Goudenege

Article in a journal 24/03/2022

Likelihood-based non-Markovian models from molecular dynamics

Hadrien Vroylandt , Pierre Monmarché , Fabio Pietrucci , Benjamin Rotenberg , Ludovic Goudenege

Chapter of the book 27/08/2021

Variance Reduction Applied to Machine Learning for Pricing Bermudan/American Options in High Dimension

Andrea Molent , Antonino Zanette , Ludovic Goudenege

Article in a journal 07/07/2021

Revisiting the framework for intermittency in Lagrangian stochastic models for turbulent flows: a way to an original and versatile numerical approach

Remi Zamansky , Ludovic Goudenege , Aymeric Vie , Marc Massot

Article in a journal 01/05/2021

Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate

Andrea Molent , Antonino Zanette , Ludovic Goudenege

Article in a journal 01/04/2021

Stochastic phase field $\alpha$-Navier-Stokes vesicle-fluid interaction model.

Luigi Manca , Ludovic Goudenege

Communication at a conference 01/01/2021

Numerical scheme for a coupled system in geomechanics

Adrien Beguinet , Danielle Hilhorst , Ludovic Goudenege

Article in a journal 01/10/2020

Ergodicity of stochastic Cahn-Hilliard equations with logarithmic potentials driven by degenerate or nondegenerate noises

Bin Xie , Ludovic Goudenege

23/05/2020

$\alpha$-Navier-Stokes equation perturbed by space-time noise of trace class

Luigi Manca , Ludovic Goudenege

Article in a journal 02/04/2020

Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models

Andrea Molent , Antonino Zanette , Ludovic Goudenege

Article in a journal 01/04/2020

Computing Credit Valuation Adjustment solving coupled PIDEs in the Bates model

Andrea Molent , Antonino Zanette , Ludovic Goudenege

Article in a journal 01/01/2020

Weak convergence rates of splitting schemes for the stochastic Allen-Cahn equation

Charles-Edouard Bréhier , Ludovic Goudenege

Article in a journal 04/02/2019

Pricing and hedging GMWB in the Heston and in the Black–Scholes with stochastic interest rate models

Andrea Molent , Antonino Zanette , Ludovic Goudenege

Article in a journal 01/01/2019

Analysis of some splitting schemes for the stochastic Allen-Cahn equation

Charles-Edouard Bréhier , Ludovic Goudenege

Article in a journal 01/10/2018

Statistical and probabilistic modeling of a cloud of particles coupled with a turbulent fluid

Adam Larat , Julie Llobell , David Mercier , Olivier Thomine , Ludovic Goudenege , Marc Massot , Aymeric Vie

Article in a journal 01/01/2017

Numerical methods for piecewise deterministic Markov processes with boundary

Christiane Cocozza-Thivent , Robert Eymard , Michel Roussignol , Ludovic Goudenege

Article in a journal 01/09/2016

Pricing and hedging GLWB in the Heston and in the Black–Scholes with stochastic interest rate models

Molent Andrea , Antonino Zanette , Ludovic Goudenege

Article in a journal 14/06/2016

Central Limit Theorem for Adaptive Multilevel Splitting Estimators in an Idealized Setting

Charles-Edouard Bréhier , Loic Tudela , Ludovic Goudenege

Article in a journal 01/01/2016

Unbiasedness of some generalized adaptive multilevel splitting algorithms

Charles-Edouard Bréhier , Maxime Gazeau , Tony Lelièvre , Mathias Rousset , Ludovic Goudenege

Article in a journal 01/12/2015

A Wright-Fisher model with indirect selection

Pierre-André Zitt , Ludovic Goudenege

Article in a journal 28/05/2015

Asymptotic properties of stochastic Cahn–Hilliard equation with singular nonlinearity and degenerate noise

Luigi Manca , Ludovic Goudenege