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).


Reset

Optimal selling rules for monetary invariant criteria: tracking the maximum of a portfolio with negative drift.

Free boundary PDE, Mean reverting diffusion, Optimal prediction, Optimal stopping, Running maximum, Verification

Sequential Resource Allocation for network diffusion control.

Arrêt optimal, Contrôle d'épidémies, Démarrage à chaud, Epidemic control, Optimal stopping, Problème de sélection séquentielle, Sequential Selection Problem, Warm-Start

Accelerated share repurchase and other buyback programs: what neural networks can bring.

ASR contracts, Deep learning, Optimal stopping, Recurrent neural networks, Reinforcement learning, Stochastic optimal control

Accelerated Share Repurchase and other buyback programs: what neural networks can bring.

ASR contracts, Deep learning, Optimal stopping, Recurrent neural networks, Reinforcement learning, Stochastic optimal control

Pricing path-dependent Bermudan options using Wiener chaos expansion: an embarrassingly parallel approach.

High performance computing, Optimal stopping, Path-dependent Bermudan options, Regression methods, Wiener chaos expansion

Neural network regression for Bermudan option pricing.

Bermudan options, Deep learning, Neural networks, Optimal stopping, Regression methods

Investment Timing and Technological Breakthroughs.

Investment Timing, Optimal Stopping, Technological Uncertainty

Numerical methods for piecewise deterministic Markovian processes.

Arrêt optimal, Méthode numérique, Numerical method, Optimal stopping, Piecewise-deterministic Markov process, Processus markovien déterministe par morceaux, Quantification, Quantization

Introduction to optimal vector quantization and its applications for numerics.

Competitive Learning Vector Quantization, Feynman-Kac's formula, Greedy quantization, Learning algorithms, Lloyd's I algorithm, Nearest neighbor search, Optimal stopping, Optimal vector quantization, Partial distance search, Quantization tree, Quasi-Monte Carlo method, Stochastic gradient descent, Variational inequality, Zador's Theorem

Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps.

Backward stochastic differential equations, Jump processes, Optimal stopping, Reflected backward stochastic equations, Risk-measures

Reflected backward stochastic differential equations with jumps and partial integro-differential variational inequalities.

Dynamic risk-measures, Optimal stopping, Partial integro-differential variational inequality, Reflected backward stochastic differential equations with jumps, Viscosity solution

The entry and exit game in the electricity markets: A mean-field game approach.

Electricity markets, Mean-field games, Optimal stopping, Renewable energy