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).
Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics.
60H10, 60H30, 60K35, 93E20, Controlled McKean-Vlasov stochastic differential equations, Dynamic programming principle, Forward-backward stochastic differential equations AMS 2010 subject classification 49L20, Randomization method
Markowitz portfolio selection for multivariate affine and quadratic Volterra models.
60G22, 60H10, Correlation matrices, Mean-variance portfolio theory, Multi- dimensional Volterra process, Non-Markovian Heston, Riccati equations, Rough volatility, Stein-Stein and Wishart models MSC Classification 93E20