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Ludovic Goudenège

Observed names: Goudenege, Ludovic, Goudenège, Ludovic, Ludovic Gouden `ege, Ludovic Gouden\`ege, Ludovic Gouden`ege, Ludovic Goudenege
Observed institutions: Lyon 1 Université, Supélec, École Normale Supérieure Paris-Saclay, Centre National de la Recherche Scientifique, Institut national de recherche en sciences et technologies du numérique, École Polytechnique, Université Paris-Est Créteil, École Centrale Paris, Université Paris-Saclay, Paris-Est Sup, Institut Camille Jordan, Centre de Mathématiques Appliquées de l'École polytechnique, CentraleSupélec, Laboratoire d'Énergétique Moléculaire et Macroscopique, Combustion, CERMICS, Laboratoire d’Analyse et de Mathématiques Appliquées, Institut Polytechnique de Paris, Institut de recherche mathématique de Rennes, Laboratoire de Mathématiques et Modélisation d'Évry, Université Paris-Est Marne-la-Vallée, MATHRISK: Mathematical Risk handling, Pôle de recherche et d'enseignement supérieur Université Paris-Est, Université d'Évry Val-d'Essonne
ORCID: 0000-0002-6449-5888
Observed ORCID: 0000-0002-6449-5888
OpenAlex ID: A5057898803
Likelihood-based non-Markovian models from molecular dynamics
2022 · Hadrien Vroylandt, Ludovic Goudenège, et al. · Proceedings of the National Academy of Sciences · 62
Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models
2020 · Ludovic Goudenège, Andrea Molent, et al. · Quantitative Finance · 62
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Analysis of some splitting schemes for the stochastic Allen-Cahn equation
2019 · Charles-Edouard Bréhier, Ludovic Goudenège · Discrete and Continuous Dynamical Systems - B · 60
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Unbiasedness of some generalized adaptive multilevel splitting algorithms
2016 · Charles-Edouard Bréhier, Maxime Gazeau, et al. · The Annals of Applied Probability · 60
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Weak convergence rates of splitting schemes for the stochastic Allen–Cahn equation
2019 · Charles-Edouard Bréhier, Ludovic Goudenège · BIT Numerical Mathematics · 45
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Stochastic Cahn–Hilliard Equation with Double Singular Nonlinearities and Two Reflections
2011 · Arnaud Debussche, Ludovic Goudenège · SIAM Journal on Mathematical Analysis · 36
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Variance Reduction Applied to Machine Learning for Pricing Bermudan/American Options in High Dimension
2019 · Goudenège, Ludovic, Molent, Andrea, et al. · RePEc: Research Papers in Economics · 34
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Stochastic Cahn–Hilliard equation with singular nonlinearity and reflection
2009 · Ludovic Goudenège · Stochastic Processes and their Applications · 29
Gaussian Process Regression for Pricing Variable Annuities with Stochastic Volatility and Interest Rate
2019 · Ludovic Gouden`ege, Andrea Molent, et al. · RePEc: Research Papers in Economics · 18
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Pricing and hedging GLWB in the Heston and in the Black–Scholes with stochastic interest rate models
2016 · Ludovic Goudenège, Andrea Molent, et al. · Insurance Mathematics and Economics · 17
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Numerical approximation of SDEs with fractional noise and distributional drift
2024 · Ludovic Goudenège, El Mehdi Haress, et al. · Stochastic Processes and their Applications · 16
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Pricing and hedging GMWB in the Heston and in the Black–Scholes with stochastic interest rate models
2018 · Ludovic Goudenege, Andrea Molent, et al. · Computational Management Science · 16
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High Order Finite Element Calculations for the Cahn-Hilliard Equation
2011 · Ludovic Goudenège, Daniel Martin, et al. · Journal of Scientific Computing · 16
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Machine Learning for Pricing American Options in High Dimension
2019 · Ludovic Goudenège, Andrea Molent, et al. · arXiv (Cornell University) · 11
Central Limit Theorem for Adaptive Multilevel Splitting Estimators in an Idealized Setting
2016 · Charles-Edouard Bréhier, Ludovic Goudenège, et al. · Springer proceedings in mathematics & statistics · 11
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Asymptotic properties of stochastic Cahn–Hilliard equation with singular nonlinearity and degenerate noise
2015 · Ludovic Goudenège, Luigi Manca · Stochastic Processes and their Applications · 11
Enhancing valuation of variable annuities in Lévy models with stochastic interest rate
2024 · Ludovic Goudenege, Andrea Molent, et al. · Scandinavian Actuarial Journal · 6
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Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate
2020 · Ludovic Goudenège, Andrea Molent, et al. · Decisions in Economics and Finance · 6
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Stochastic phase field α-Navier-Stokes vesicle-fluid interaction model
2020 · Ludovic Goudenège, Luigi Manca · Journal of Mathematical Analysis and Applications · 5
Ergodicity of stochastic Cahn-Hilliard equations with logarithmic potentials driven by degenerate or nondegenerate noises
2020 · Ludovic Goudenège, Bin Xie · Journal of Differential Equations · 5
Computing credit valuation adjustment solving coupled PIDEs in the Bates model
2020 · Ludovic Goudenège, Andrea Molent, et al. · Computational Management Science · 5
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Leveraging machine learning for high-dimensional option pricing within the uncertain volatility model
2026 · Ludovic Goudenège, Andrea Molent, et al. · Quantitative Finance · 4
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Computing XVA for American basket derivatives by Machine Learning techniques
2022 · Goudenege, Ludovic, Molent, Andrea, et al. · RePEc: Research Papers in Economics · 4
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Reexamining the framework for intermittency in Lagrangian stochastic models for turbulent flows: A way to an original and versatile numerical approach
2021 · Roxane Letournel, Ludovic Goudenège, et al. · Physical review. E · 4
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Analysis and simulation of rare events for SPDEs
2015 · Charles-Edouard Bréhier, Maxime Gazeau, et al. · ESAIM Proceedings and Surveys · 3
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Works count: 68
Citation count: 567
H-index: 13
I10-index: 16
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