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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Interactions and incitatives : between contract theory and mean-field games.

Asymétrie d'information, Contract theory, Contrôle d'épidémie, Contrôle stochastique, Energy demand management, Epidemic control, Gestion de la demande en énergie, Information asymmetry, Jeu à champs moyen, Mean-Field games, Stochastic control, Théorie des contrats

An Extended Mean Field Game for Storage in Smart Grids.

Distributed generation, Extended mean-field games, Optimal storage, Smart-grid, Stochastic control, Stochastic renewable generation

An Extended Mean Field Game for Storage in Smart Grids.

Distributed generation, Extended mean-field games, Optimal storage, Smart-grid, Stochastic control, Stochastic renewable generation

On a Wasserstein-type distance between solutions to stochastic differential equations.

And phrases Stochastic differential equations, Stochastic control, Wasserstein distance

Mean Field Game of Controls and An Application To Trade Crowding.

Crowding, Mean field games, Optimal liquidation, Optimal trading, Stochastic control

Mean field game of controls and an application to trade crowding.

Crowding, Mean field games, Optimal liquidation, Optimal trading, Stochastic control

Stochastic control on networks.

Conditions aux bords de Neumann, Controle stochastique, Diffusion stochastique, Dynamic programming principle, Equations aux dérivées partiels paraboliques non linéaires, Equations d'Hamilton Jacobi Bellman, Hamilton Jacobi Bellman equations, Junction, Local time, Martingale problem, Neumann boundary condition, Non linear parabolic partial differential equations, Principe de la programmation dynamique, Probleme martingale, Stochastic control, Stochastic diffusion, Temps local

Pareto Optima for a Class of Singular Control Games.

Interbank markets, LIBOR rate, Mathematical finance, Nash equilibrium, Pareto optimum, Singular stochastic control, Skorokhod problem, Stochastic control, Stochastic differential game

Adaptive Robust Control Under Model Uncertainty.

Adaptive robust control, Dynamic programming, Markov control problem, Model uncertainty, Portfolio allocation, Recursive confidence regions, Stochastic control

Adaptive Robust Control under Model Uncertainty.

Adaptive robust control, Dynamic programming, Markov control problem, Model uncertainty, Portfolio allocation, Recursive confidence regions, Stochastic control

BSDE representations for optimal switching problems with controlled volatility.

60H30, 60J75, Reflected BSDE MSC Classification 2000 93E20, Stochastic control, Switching problems

Adding constraints to BSDEs with jumps: an alternative to multidimensional reflections.

60H30, 60J75, BSDE with jumps, Reflected BSDE MSC Classification 2000 93E20, Stochastic control, Switching problems