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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Stochastic control on networks.

Conditions aux bords de Neumann, Controle stochastique, Diffusion stochastique, Dynamic programming principle, Equations aux dérivées partiels paraboliques non linéaires, Equations d'Hamilton Jacobi Bellman, Hamilton Jacobi Bellman equations, Junction, Local time, Martingale problem, Neumann boundary condition, Non linear parabolic partial differential equations, Principe de la programmation dynamique, Probleme martingale, Stochastic control, Stochastic diffusion, Temps local

A note on solutions to controlled martingale problems and their conditioning.

Dynamic programming principle, Martingale problem, Stochastic control

Population dynamics: stochastic control and hybrid modeling of cancer.

Acidity, Acidité, Branching diffusion process, Contrôle stochastique, Croissance de tumeur, Dynamic programming principle, Dynamique des populations, Hamilton-Jacobi-Bellman equation, Population dynamics, Principe de la programmation dynamique, Processus de branchement-diffusion, Stochastic control, Tumor growth, Équation de Hamilton-Jacobi-Bellman

Tightness and duality of martingale transport on the Skorokhod space *.

Dynamic programming principle, Robust superhedging, S−topology

Tightness and duality of martingale transport on the Skorokhod space.

Dynamic programming principle, Robust superhedging, S−topology

Path-dependent Hamilton-Jacobi-Bellman equation: Uniqueness of Crandall-Lions viscosity solutions.

Dynamic programming principle, Functional Itô calculus, Path-dependent HJB equations, Path-dependent SDEs, Pathwise derivatives, Viscosity solutions

Optimal control of path-dependent McKean-Vlasov SDEs in infinite dimension.

49L25 Path-dependent McKean-Vlasov SDEs in Hilbert space, 60K35, Dynamic programming principle, Functional Itô calculus, Master Bellman equation, Mathematics Subject Classification 2010 93E20, Pathwise measure derivative, Viscosity solutions

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

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