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).
Option hedging in a market with impact and numerical schemes for particle system based EDSRs.
Branching process, Bsde, Cible stochastique, Dynamic hedging, Edsr, Impact permanent, Méthodes Monte-Carlo, Monte-Carlo methods, Price impact, Processus de branchement, Réplication dynamique, Stochastic target
A parallel algorithm for solving BSDEs.
Backward stochastic differential equations, High performance computing, Monte-Carlo methods, Parallel computing
Branching diffusion representation of semilinear PDEs and Monte Carlo approximation *.
Branching processes, Monte-Carlo methods, Semilinear PDEs
Numerical approximation of general Lipschitz BSDEs with branching processes.
60H35, 60J60, BSDE, Branching process MSC2010 Primary 65C05, Monte-Carlo methods, Secondary 60J85
Numerical approximation of general Lipschitz BSDEs with branching processes.
60H35, 60J60, BSDE, Branching process MSC2010 Primary 65C05, Monte-Carlo methods, Secondary 60J85
Model approximation and reduction for partial differential equations with probabilistic interpretation.
Adaptive strategies, Approximation en grande dimension, Discrete optimization, High-dimensional approximation, Monte-Carlo methods, Méthodes de Monte-Carlo, Méthodes de bases réduites, Optimisation discrète, Partial differential equations, Reduced basis methods, Stratégies adaptatives, Équations aux dérivées partielles