Encadrement de thèse

• Thèse de Kaouther Hajji, université Paris 13, "Accélaration de la méthode de Monte Carlo pour des processus de diffusions et applications en finance", soutenue le 12 décembre 2014.
  
  
• {\bf Th\`ese} de Thi Bao Tram NGO, université Paris 13, ``Application de La méthode Euler multilevel Monte Carlo pour des évènements rares et pour des EDS dirigées par des processus de Lévy'', depuis 01/11/2016.

Prépublications

• Ben Alaya, M. Kebaier, A. & Tran, N. K. LA(M)N Property for Cox-Ingersoll-Ross Process based on dicrete time observations. Soumis(2017).



• Ben Alaya, M. Hajji K. & Kebaier, A: Improved adaptive Multilevel Monte Carlo and applications to Finance. (soumis) (2017).



• Barczy, M. Ben Alaya, M. Kebaier, A. & Pap, G: Maximum likelihood estimators for a jump-type Heston model. {\em En révision}, (2016).

Publications

• Barczy, M. Ben Alaya, M. Kebaier, A. & Pap, G: Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations. Accepté à Stochastic Processes and their Applications (2017).



• Ben Alaya, M. Hajji K. & Kebaier, A: Importance Sampling and Statistical Romberg method for Lévy Processes. Stochastic Processes and their Applications, 126, no. 7, 1901-1931, (2016). , (2016).
  
  
  
  
• Ben Alaya, M. Hajji K. & Kebaier, A: Importance Sampling and Statistical Romberg method. Bernoulli Journal , 21, no. 4, 1947-1983 (2015).



• Ben Alaya, M & Kebaier, A: Central Limit Theorem for the Multilevel Monte Carlo Euler Method. Annals of Applied Probability. 25(1), 211-234, (2015).



• Ben Alaya, M & Kebaier, A: Multilevel Monte Carlo for Asian options and limit theorems. Monte Carlo Methods and Applications. 20(3), 181-194, (2014).



• Ben Alaya, M & Kebaier, A: Asymptotic Behavior of the Maximum Likelihood Estimator for Ergodic and Nonergodic Square-Root Diffusions. Stochastic Analysis and Applications. 31(4), 552-573, (2013).



• Ben Alaya, M & Kebaier, A: Parameter estimation for the square root diffusions: ergodic and nonergodic cases. Stochastic Models. 28(4), 609-634, (2012).



• Ben Alaya, M & Huillet, T & Porzio, A : On an extension of min-semistable distributions. Probab. Math. Statist. 27(2), 303-323, (2007).



• Ben Alaya, M & Jourdain, B : Probabilistic approximation of a nonlinear parabolic equation occuring in rheology. Journal of Applied Probability 44(2), 528-546, (2007).



• Ben Alaya, M & Huillet, T : On a functional equation genelatizing the class of semistable distributions. Annals of the Institute of Statistical Mathematics, 57(4), 817-831, (2005).



• Ben Alaya, M & Huillet, T : On max-multiscaling distributions as extended max-semistable ones. Stochastic Models, 20(4), 493-512, (2004).



• Ben Alaya, M & Huillet, T : On Lévy-Fréchet processes and related self-similar and semistable ones. Chaos, Solitons and Fractals, 14(5), 57-76, (2002).



• Ben Alaya, M & Huillet, T & Porzio, A : On Lévy stable and semistable distributions. Fractals, 9(3), 347-364, (2001).



• Ben Alaya, M & Huillet, T & Porzio, A : On the physical relevance of max- and log-max-selfsimilar distributions. Eur. Phys. J. B., 17, 147-158, (2000).



• Ben Alaya, M & Gilles Pagès : Rate of convergence for computing expectations of stopping functionals of an $\alpha-$mixing process . Advances in Applied Probability, 30, 425-448(1998).



• Ben Alaya, M : Résolution des équations elliptiques par la méthode du shift. Mathematics and computers in simulation, 38, 87--96(1995).



• Ben Alaya, M : On the simulation of random variables depending on a stopping time. Stochastic Analysis and Applications, 11(2), 133-153(1993).



• Ben Alaya, M : Sur la méthode du shift en simulation. N. Bouleau et D. Talay, eds, Probabilités Numériques, volume 10, chapitre 2, pages 61-66, INRIA, (1992).


.