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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Empirical Regression Method for Backward Doubly Stochastic Differential Equations.

Backward Doubly Stochastic Differential Equations, Discrete Dynamic Programming Equations, Empirical regression scheme, SPDEs

Some Contributions on Probabilistic Interpretation For Nonlinear Stochastic PDEs.

Analyse stochastique quasi-sure, Backward Doubly Stochastic Differential Equations, Convex domains, Domaine convexe, Equations aux dérivées partielles stochastiques non-linéaires, Equations différentielles doublement stochastiques rétrogrades, Flot stochastique, Monte Carlo method, Nonlinear SPDEs, Obstacle problem, Problème d'obstacle, Problème de Skorohod, Quasi-sure stochastic analysis, Second order Backward Doubly Stochastic Differential Equations, Simulations de Monte-Carlo, Skorohod problem, Stochastic flow

Some results on retrograde equations and stochastic partial differential equations with singularities.

Analyse stochastique quasi-sûre, Backward doubly stochastic differential equations, Backward stochastic differential equations with jumps, Dynkin games with uncertainty, Equations aux dérivées partielles stochastiques, Equations différentielles doublement stochastiques rétrogrades, Equations différentielles stochastiques rétrogrades avec sauts, Equations différentielles stochastiques rétrogrades du second ordre, Equations intégro-différentielles, Jeux de Dynkin avec incertitude, Partial-integral differential equations, Quasi-sure stochastic analysis, Second order backward stochastic differential equations, Solutions de viscosité, Stochastic partial differential equations, Viscosity solutions

Stochastic partial differential equations with singular terminal condition.

Backward doubly stochastic differential equations, Monotone condition, Singular terminal data, Stochastic partial differential equations

Numerical Computations for Backward Doubly Stochastic Differential Equations and Nonlinear Stochastic PDEs.

Algorithme de Hastings- Metropolis, Backward Doubly Stochastic Differential Equations, Chaînes dee Markov, Equations aux dérivées partielles stochastiques nonlinéaires, Equations différentielles doublement stochastiques rétrogrades, Generalized Backward Doubly Stochastic Differential Equations, Hastings-Metropolis algorithm, Interacting particle systems, Markov chains, Monte-Carlo simulations, Projections, Quasilinear Stochastic PDEs, Régression, Semilinear Stochastic PDEs, Simulations de Monte-Carlo, Système de particules en intéraction

Quasilinear Stochastic PDEs with two obstacles: Probabilistic approach.

31B150, 35R60, Backward doubly stochastic differential equations, Regular measure AMS 2000 subject classifications Primary 60H15, Regular potential, Stochastic partial differential equations, Two-obstacle problem

Some Contributions on Probabilistic Interpretation For Nonlinear Stochastic PDEs.

Analyse stochastique quasi-sure, Backward Doubly Stochastic Differential Equations, Convex domains, Domaine convexe, Equations aux dérivées partielles stochastiques non-linéaires, Equations différentielles doublement stochastiques rétrogrades, Flot stochastique, Monte Carlo method, Nonlinear SPDEs, Obstacle problem, Problème d'obstacle, Problème de Skorohod, Quasi-sure stochastic analysis, Second order Backward Doubly Stochastic Differential Equations, Simulations de Monte-Carlo, Skorohod problem, Stochastic flow