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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BSDE representations for optimal switching problems with controlled volatility.

60H30, 60J75, Reflected BSDE MSC Classification 2000 93E20, Stochastic control, Switching problems

Adding constraints to BSDEs with jumps: an alternative to multidimensional reflections.

60H30, 60J75, BSDE with jumps, Reflected BSDE MSC Classification 2000 93E20, Stochastic control, Switching problems

On the well-posedness of a class of McKean Feynman-Kac equations.

35C99, 35K58, 60H30, 60J60, And phrases McKean Stochastic Differental Equations, McKean Feynman-Kac equation, McKean Stochastic Differental Equations, Probabilistic representation of PDEs, Probabilistic representation of PDEs 2010 AMS-classification 60H10, Semilinear Partial Dif- ferential Equations, Semilinear Partial Differential Equations

Fokker-Planck equations with terminal condition and related McKean probabilistic representation.

35R30, 60H30, 60J60, And phrases Inverse problem, Fokker Planck equation, Fokker Planck equation 2020 AMS-classification 60H10, Inverse problem, McKean stochastic differential equation, Probabilistic represen- tation of PDEs, Probabilistic representation of PDEs, Time-reversed diffusion

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

Backward Stochastic Differential Equations with Nonmarkovian Singular Terminal Values.

35K67, 60G40, 60H30, 60H99, 60J65, AMS 2010 class 35K57, Backward stochastic differential equations, Gularity / Non-Markovian terminal conditions, Keywords Backward stochastic differential equations / Reaction-diffusion equations / Sin, Non-Markovian terminal conditions, Reaction-diffusion equations, Singularity

Backward stochastic differential equations with non-Markovian singular terminal values.

35K67, 60G40, 60H30, 60H99, 60J65, AMS 2010 class 35K57, Backward stochastic differential equations, Gularity / Non-Markovian terminal conditions, Keywords Backward stochastic differential equations / Reaction-diffusion equations / Sin, Non-Markovian terminal conditions, Reaction-diffusion equations, Singularity

Bellman equation and viscosity solutions for mean-field stochastic control problem.

60H30, 60K35, MSC Classification 93E20

Bellman equation and viscosity solutions for mean-field stochastic control problem.

60H30, 60K35, MSC Classification 93E20