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).
American options in an imperfect complete market with default.
American options, Default, Imperfect markets, Nonlinear expectation, Reflected backward stochastic differential equations, Superhedging
Generalized Dynkin games and doubly reflected BSDEs with jumps.
Doubly reflected BSDEs, Dynkin game, G-evaluation, Game option, Mixed game problem, Nonlinear expectation, Partial integro-differential variational inequalities
Nonlinear predictable representation and L1-solutions of second-order backward SDEs.
Backward SDE, Nondominated probability measures, Nonlinear expectation, Second-order backward SDE