Patrimony

The Louis Bachelier Group's patrimony has been defined as all the publications produced by academic researchers thanks to Group funding (ILB, FdR, IEF, Labex) or via the use of EquipEx data (BEDOFIH, EUROFIDAI).


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BSDEs with mean reflection.

Backward stochastic differential equation, Mean reflection, Risk management constraint, Skorokhod type minimal condition, Super-hedging

Analytical Approximations of BSDEs with Non-Smooth Driver.

Asymptotic expansion, Backward stochastic differential equation

Analytical approximations of BSDEs with non-smooth driver.

Asymptotic expansion, Backward stochastic differential equation

A Weak Dynamic Programming Principle for Combined Optimal Stopping/Stochastic Control with ${\cal E}^{f}$-expectations.

47N10, 60J60, Backward stochastic differential equation, E f -expectation AMS subject classifications 93E20, Hamilton– Jacobi–Bellman variational inequality, Markovian stochastic control, Mixed optimal control/stopping, Nonlinear expec-tation, Viscosity solution, Weak dynamic programming principle

Quadratic Exponential Semimartingales and Application to BSDEs with jumps.

Backward stochastic differential equation, Quadratic semimartingales, Un- bounded terminal condition

Martingale driven BSDEs, PDEs and other related deterministic problems.

Backward stochastic differential equation, Cadlag martingale, Decoupled mild solutions, Markov processes, Martingale problem, Pseudo-PDE

BSDEs with no driving martingale, Markov processes and associated Pseudo Partial Differential Equations. Part II: Decoupled mild solutions and Examples.

Backward stochastic differential equation, Decoupled mild solutions, Markov processes, Martingale problem, Pseudo-PDE

Backward Stochastic Differential Equations with no driving martingale, Markov processes and associated Pseudo Partial Differential Equations.

Backward stochastic differential equation, Markov processes, Martingale problem, Pseudo-PDE

Some results on backward stochastic differential equations and large deviation principles for estimators of diffusion parameters.

Backward stochastic differential equation, Calcul stochastique, Méthodes numériques probabilistes, Probabilistic numerical methods, Statistical inference for processes, Statistique des processus, Stochastic calculus, Stochastic control, Équation différentielle stochastique rétrograde

Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications.

Backward stochastic differential equation, Dynamic programming, Linear quadratic op-timal control, Random coefficients, Riccati equation, Stochastic McKean-Vlasov SDEs

Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications *.

Backward stochastic differential equation, Dynamic programming, Linear quadratic op-timal control, Random coefficients, Riccati equation, Stochastic McKean-Vlasov SDEs