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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Decomposition of High Dimensional Aggregative Stochastic Control Problems.

Lagrangian decomposition, Stochastic gradient, Stochastic optimization, Uzawa's algorithm

Machine learning based on Hawkes processes and stochastic optimization.

Causality, Causalité, Hawkes processes, Logiciel libre, Open source, Optimisation stochastique, Processus de Hawkes, Stochastic optimization

Optimal control of energy flexibilities in an uncertain context.

Contrôle champs moyen, Mean-field Control, Optimisation stochastique, Réseaux intelligents, Smart grids, Stochastic optimization

Modeling natural gas markets in Europe under oligopolistic competition: the GaMMES model and some applications.

Complementarity problems, Game theory, Generalized Nash-Cournot problems, Market modeling, Modélisation de marchés, Optimisation, Optimisation stochastique, Optimization, Problèmes de Nash-Cournot généralisés, Problèmes de complémentarité, Stochastic optimization, Théorie de jeux

Dual Pricing of American Options by Wiener Chaos Expansion.

American option, Duality, High performance computing, Sample average approximation, Snell envelope, Stochastic optimization, Wiener chaos expansion

Some contributions to probabilistic numerical methods and stochastic modeling.

Adaptive numerical methods, Finance mathématique, HPC, Mathematical finance, Modélisation stochastique, Méthodes numériques probabilistes adaptatives, Optimisation stochastique, Stochastic modeling, Stochastic optimization

Decentralized optimization for energy efficiency under stochasticity.

Decomposition/Coordination, Dynamic Programming, Décomposition/Coordination, Energie, Energy, Microgrid, Optimisation Stochastique, Programmation Dynamique, Stochastic Optimization

Stochastic Optimization for Large-scale Optimal Transport.

Optimal transport, RKHS, Stochastic optimization, Wasserstein distance

Strategic asset allocation and ALM for pension plans.

Allocation d’actifs, Asset allocation, Asset-liability management, Gestion actif-passif, Génération de scénarios, Optimisation stochastique, Programmation stochastique, Retirement scheme, Régime de retraite, Scenario generation, Stochastic optimization, Stochastic programming

MIDAS: A Mixed Integer Dynamic Approximation Scheme.

Dynamic programming, Monotonicity, Stochastic optimization