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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Study of numerical methods for partial hedging and switching problems with costs uncertainty.

Contrôle optimal stochastique, Enlargement of filtration, Grilles Sparses, Grossissement de filtration, Mesures de risque (finances), Monotone finite difference schemes, Non-Linear partial differential equations (PDEs), Obliquely reflected backward stochastic differential equations (BSDEs), Optimal Switching, Quantile hedging, Risk measures, Schémas de différences finies monotones, Sparse grids, Stochastic optimal control, Switching optimal, Viscosity solutions, Équations différentielles stochastiques rétrogrades obliquement réfléchies

BocopHJB 1.0.1 – User Guide.

Dynamic programming, HJB, Optimal control, Optimal switching, Optimization, Spaceship, Stochastic control

Ergodicity of robust switching control and nonlinear system of quasi variational inequalities.

Ergodic problem, Optimal switching, Randomization, Stochastic games, System of quasi variational inequalities

Robust feedback switching control: dynamic programming and viscosity solutions.

Feedback strategies, Model uncertainty, Optimal switching, Stochastic Perron's method, Stochastic games, Viscosity solutions

An Impulse-Regime Switching Game Model of Vertical Competition.

Commodity markets, Impulse controls, Nash equilibrium, Optimal switching, Quasi-variational inequalities, Stochastic differential games

A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimension.

Local basis regression, Monte Carlo algorithm, Optimal investment in power generation, Optimal switching