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).
Control of McKean-Vlasov systems and applications.
Ambiguous drift and correlation, Bellman equation, Continuous-time Markowtiz problem, Drift et corrélation ambiguës, Dynamic programming, EDS de type McKean-Vlasov, Espace de Wasserstein, Incertitude sur les modèles, McKean-Vlasov SDEs, McKean-Vlasov equation, Model uncertainty, Principe de séparation, Problème de Markowitz en temps continu, Separation principle, Sous-diversification, Under-diversification, Viscosity solution, Wasserstein space, Équation de type McKean-Vlasov
Master Bellman equation in the Wasserstein space: Uniqueness of viscosity solutions.
Bellman equation, Comparison theorem, Ekeland's variational principle, Viscosity solutions, Wasserstein space
Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem.
Bellman equation, Dynamic programming principle, Partial observation control problem, Randomization of controls, Viscosity solutions AMS 2010 subject classification, Wasserstein space
Dynamic programming for optimal control of stochastic McKean-Vlasov dynamics.
Bellman equation, Dynamic programming principle, Stochastic McKean-Vlasov SDEs, Viscosity solutions, Wasserstein space
Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem.
Bellman equation, Dynamic programming principle, Partial observation control problem, Randomization of controls, Viscosity solutions AMS 2010 subject classification, Wasserstein space