@unpublished{DereudreMazzonettoRoelly2015,
  author    = {Dereudre, David and Mazzonetto, Sara and Roelly, Sylvie},
  title     = {An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers},
  volume    = {4},
  number    = {9},
  publisher = {Universit{\"a}tsverlag Potsdam},
  address   = {Potsdam},
  issn      = {2193-6943},
  url       = {http://nbn-resolving.de/urn:nbn:de:kobv:517-opus4-80613},
  pages     = {23},
  year      = {2015},
  abstract  = {In this paper we obtain an explicit representation of the transition density of the one-dimensional skew Brownian motion with (a constant drift and) two semipermeable barriers. Moreover we propose a rejection method to simulate this density in an exact way.},
  language  = {en}
}
@article{DereudreMazzonettoRoelly2017,
  author    = {Dereudre, David and Mazzonetto, Sara and Roelly, Sylvie},
  title     = {Exact simulation of Brownian diffusions with drift admitting jumps},
  series = {SIAM journal on scientific computing},
  volume    = {39},
  journal   = {SIAM journal on scientific computing},
  number    = {3},
  publisher = {Society for Industrial and Applied Mathematics},
  address   = {Philadelphia},
  issn      = {1064-8275},
  doi       = {10.1137/16M107699X},
  pages     = {A711 -- A740},
  year      = {2017},
  abstract  = {In this paper, using an algorithm based on the retrospective rejection sampling scheme introduced in [A. Beskos, O. Papaspiliopoulos, and G. O. Roberts,Methodol. Comput. Appl. Probab., 10 (2008), pp. 85-104] and [P. Etore and M. Martinez, ESAIM Probab.Stat., 18 (2014), pp. 686-702], we propose an exact simulation of a Brownian di ff usion whose drift admits several jumps. We treat explicitly and extensively the case of two jumps, providing numerical simulations. Our main contribution is to manage the technical di ffi culty due to the presence of t w o jumps thanks to a new explicit expression of the transition density of the skew Brownian motion with two semipermeable barriers and a constant drift.},
  language  = {en}
}
@unpublished{DereudreMazzonettoRoelly2016,
  author    = {Dereudre, David and Mazzonetto, Sara and Roelly, Sylvie},
  title     = {Exact simulation of Brownian diffusions with drift admitting jumps},
  volume    = {5},
  number    = {7},
  publisher = {Universit{\"a}tsverlag Potsdam},
  address   = {Potsdam},
  issn      = {2193-6943},
  url       = {http://nbn-resolving.de/urn:nbn:de:kobv:517-opus4-91049},
  pages     = {25},
  year      = {2016},
  abstract  = {Using an algorithm based on a retrospective rejection sampling scheme, we propose an exact simulation of a Brownian diffusion whose drift admits several jumps. We treat explicitly and extensively the case of two jumps, providing numerical simulations. Our main contribution is to manage the technical difficulty due to the presence of two jumps thanks to a new explicit expression of the transition density of the skew Brownian motion with two semipermeable barriers and a constant drift.},
  language  = {en}
}
@misc{RoellyDereudre2004,
  author    = {Roelly, Sylvie and Dereudre, David},
  title     = {On Gibbsianness of infinite-dimensional diffusions},
  url       = {http://nbn-resolving.de/urn:nbn:de:kobv:517-opus-6692},
  year      = {2004},
  abstract  = {The authors analyse different Gibbsian properties of interactive Brownian diffusions X indexed by the d-dimensional lattice. In the first part of the paper, these processes are characterized as Gibbs states on path spaces. In the second part of the paper, they study the Gibbsian character on R^{Z^d} of the law at time t of the infinite-dimensional diffusion X(t), when the initial law is Gibbsian. AMS Classifications: 60G15 , 60G60 , 60H10 , 60J60},
  language  = {en}
}
@book{DereudreRoelly2004,
  author    = {Dereudre, David and Roelly, Sylvie},
  title     = {On Gibbsianness of infinite-dimensional diffusions},
  url       = {http://nbn-resolving.de/urn:nbn:de:kobv:517-opus-52630},
  publisher      = {Universit{\"a}t Potsdam},
  year      = {2004},
  abstract  = {We analyse different Gibbsian properties of interactive Brownian diffusions X indexed by the lattice \$Z^{d} : X = (X_{i}(t), i ∈ Z^{d}, t ∈ [0, T], 0 < T < +∞)\$. In a first part, these processes are characterized as Gibbs states on path spaces of the form \$C([0, T],R)Z^{d}\$. In a second part, we study the Gibbsian character on \$R^{Z}^{d}\$ of \$v^{t}\$, the law at time t of the infinite-dimensional diffusion X(t), when the initial law \$v = v^{0}\$ is Gibbsian.},
  language  = {en}
}
@book{DereudreRoelly2004,
  author    = {Dereudre, David and Roelly, Sylvie},
  title     = {On Gibbsianness of infinite-dimensional diffussions},
  series = {Preprint / Universit{\"a}t Potsdam, Institut f{\"u}r Mathematik, Mathematische Statistik un},
  journal   = {Preprint / Universit{\"a}t Potsdam, Institut f{\"u}r Mathematik, Mathematische Statistik un},
  publisher = {Univ.},
  address   = {Potsdam},
  issn      = {1613-3307},
  pages     = {14 S.},
  year      = {2004},
  language  = {en}
}
@article{DereudreRoelly2017,
  author    = {Dereudre, David and Roelly, Sylvie},
  title     = {Path-dependent infinite-dimensional SDE with non-regular drift},
  series = {Annales de l'Institut Henri Poincar{\´e} : B, Probability and statistics},
  volume    = {53},
  journal   = {Annales de l'Institut Henri Poincar{\´e} : B, Probability and statistics},
  number    = {2},
  publisher = {Inst. of Mathematical Statistics},
  address   = {Bethesda},
  issn      = {0246-0203},
  doi       = {10.1214/15-AIHP728},
  pages     = {641 -- 657},
  year      = {2017},
  abstract  = {We establish in this paper the existence of weak solutions of infinite-dimensional shift invariant stochastic differential equations driven by a Brownian term. The drift function is very general, in the sense that it is supposed to be neither bounded or continuous, nor Markov. On the initial law we only assume that it admits a finite specific entropy and a finite second moment. The originality of our method leads in the use of the specific entropy as a tightness tool and in the description of such infinite-dimensional stochastic process as solution of a variational problem on the path space. Our result clearly improves previous ones obtained for free dynamics with bounded drift.},
  language  = {en}
}
@unpublished{DereudreRoelly2014,
  author    = {Dereudre, David and Roelly, Sylvie},
  title     = {Path-dependent infinite-dimensional SDE with non-regular drift : an existence result},
  volume    = {3},
  number    = {11},
  publisher = {Universit{\"a}tsverlag Potsdam},
  address   = {Potsdam},
  issn      = {2193-6943},
  url       = {http://nbn-resolving.de/urn:nbn:de:kobv:517-opus-72084},
  pages     = {27},
  year      = {2014},
  abstract  = {We establish in this paper the existence of weak solutions of infinite-dimensional shift invariant stochastic differential equations driven by a Brownian term. The drift function is very general, in the sense that it is supposed to be neither small or continuous, nor Markov. On the initial law we only assume that it admits a finite specific entropy. Our result strongly improves the previous ones obtained for free dynamics with a small perturbative drift. The originality of our method leads in the use of the specific entropy as a tightness tool and on a description of such stochastic differential equation as solution of a variational problem on the path space.},
  language  = {en}
}
@misc{RoellyDereudre2004,
  author    = {Roelly, Sylvie and Dereudre, David},
  title     = {Propagation of Gibbsiannes for infinite-dimensional gradient Brownian diffusions},
  url       = {http://nbn-resolving.de/urn:nbn:de:kobv:517-opus-6918},
  year      = {2004},
  abstract  = {We study the (strong-)Gibbsian character on R Z d of the law at time t of an infinitedimensional gradient Brownian diffusion , when the initial distribution is Gibbsian.},
  language  = {en}
}
@unpublished{DereudreRoelly2004,
  author    = {Dereudre, David and Roelly, Sylvie},
  title     = {Propagation of Gibbsianness for infinite-dimensional gradient Brownian diffusions},
  url       = {http://nbn-resolving.de/urn:nbn:de:kobv:517-opus-51535},
  year      = {2004},
  abstract  = {We study the (strong-)Gibbsian character on RZd of the law at time t of an infinitedimensional gradient Brownian diffusion , when the initial distribution is Gibbsian.},
  language  = {en}
}