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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Pricing and Hedging Contingent Claims with Liquidity Costs and Market Impact.

Liquidity costs, Market impact, Partial differential equations

Pricing and hedging contingent claims with liquidity costs and market impact.

Liquidity costs, Market impact, Partial differential equations

Contributions to the study of function spaces and PDEs in a class of domains with self-similar fractal boundary.

Analyse fractale, Espaces de fonctions, Extension, Fractal analysis, Fractal interface., Function spaces, Interface fractale., Partial differential equations, Problème de transmission, Prolongement, Théorème de trace, Trace theorem, Transmission problem, Équations aux dérivées partielles

Some problems related to statistical error in stochastic homogenization.

Equations aux dérivées partielles, Homogenization, Homogénéisation, Inverse problem, Matériaux aléatoires, Monte Carlo methods, Méthodes de Monte Carlo, Partial differential equations, Problème inverse, Random materials, Réduction de variance, Variance reduction

Comparison of Different Definitions of Traces for a Class of Ramified Domains with Self-Similar Fractal Boundaries.

Fractal boundary, Partial differential equations, Self-similar domain, Traces

Stochastic development and closed-form pricing for European options.

Analyse stochastique, Calcul de Malliavin, Financial mathematics, Malliavin calculus, Mathématiques financières, Partial differential equations, Stochastic analysis, Équations aux dérivées partielles

Stochastic Control: from Gradient Methods and Dynamic Programming to Statistical Learning.

Dynamic Programming, Partial Differential Equations, Statistical Learning, Stochastic control

Optimal control of deterministic and stochastic neuron models, in finite and infinite dimension. Application to the control of neuronal dynamics via Optogenetics.

Contrôle optimal, Modèles de neurones, Optimal control, Optogénétique, Partial differential equations, Piecewise deterministic Markov processes, Processus de Markov décisionnels, Processus de Markov déterministes par morceaux, Systèmes de contrôles déterministes affines

Optimal control of deterministic and stochastic neural models in finite and infinite dimension. Application to the control of neural dynamics by Optogenetics.

Contrôle optimal, Modèles de neurones, Optimal control, Optogénétique, Partial differential equations, Piecewise deterministic Markov processes, Processus de Markov décisionnels, Processus de Markov déterministes par morceaux, Systèmes de contrôles déterministes affines

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

Multiscale models for viscoelastic fluids.

Coupled system, Equations aux dérivées partielles, Fluide polymérique, Magnetohydrodynamic, Monte carlo method, Multiscale problem, Partial differential equations, Polymeric fluid, Problème multi-échelles, Stochastic differential equations, Système couplé, Techniques de réduction de variance, Variance reduction techniques