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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A Long-Term Mathematical Model for Mining Industries.

Hamilton Jacobi equations, Heterogeneous agents model, Master equation, Mean field games, Model calibration, Viscosity solution

Hamilton-Jacobi equations on heterogeneous networks or structures.

Contrôle optimal, Hamilton-Jacobi equation, Jonction, Junction, Network, Optimal control, Perturbation singulière, Réseau, Singular perturbation, Solution de viscosité, Viscosity solution, Équation de Hamilton-Jacobi

Hamilton-Jacobi equation and mean-field games on networks.

Hamilton-Jacobi equation, Jeux à champ moyen, Mean Field Games, Networks, Optimal control problems, Problèmes de contrôle optimal, Réseaux, Solution de viscosité, Viscosity solution, Équation de Hamilton-Jacobi

Double barrier reflected BSDEs with jumps and generalized Dynkin games.

Backward stochastic differential equations with jumps, Comparison theorem, Double barrier reflected BSDEs, Dynkin games, G-expectation, Partial integro-differential variational inequalities, Viscosity solution

Mixed generalized Dynkin game and stochastic control in a Markovian framework.

Doubly reflected BSDEs, Dynamic programming principles, Generalized Dynkin games, Generalized Hamilton–Jacobi–Bellman variational inequalities, Markovian stochastic control, Mixed stochastic control/Dynkin game with nonlinear expectation, Viscosity solution

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

A Weak Dynamic Programming Principle for Combined Optimal Stopping/Stochastic Control with ${\cal E}^{f}$-expectations.

47N10, 60J60, Backward stochastic differential equation, E f -expectation AMS subject classifications 93E20, Hamilton– Jacobi–Bellman variational inequality, Markovian stochastic control, Mixed optimal control/stopping, Nonlinear expec-tation, Viscosity solution, Weak dynamic programming principle

Control of McKean-Vlasov systems and applications.

Ambiguous drift and correlation, Bellman equation, Continuous-time Markowtiz problem, Drift et corrélation ambiguës, Dynamic programming, EDS de type McKean-Vlasov, Espace de Wasserstein, Incertitude sur les modèles, McKean-Vlasov SDEs, McKean-Vlasov equation, Model uncertainty, Principe de séparation, Problème de Markowitz en temps continu, Separation principle, Sous-diversification, Under-diversification, Viscosity solution, Wasserstein space, Équation de type McKean-Vlasov

Numerical Approximation of a Cash-Constrained Firm Value with Investment Opportunities.

Dividend policy, Investment, Nonlinear PDE, Singular control, Viscosity solution

On the convergence of monotone schemes for path-dependent PDE *.

Monotone schemes, Numerical analysis, Path-dependent PDE, Viscosity solution

Backward SDE Representation for Stochastic Control Problems with Non Dominated Controlled Intensity.

BSDE with jumps, Conditionally Poisson random measure, Constrained BSDE, Controlled intensity, Hamilton-Jacobi-Bellman equation, Nonlinear integro-PDE, Viscosity solution

A General Optimal Multiple Stopping Problem with an Application to Swing Options.

Jump diffusion process, Optimal multiple stopping, Snell envelope, Swing option, Viscosity solution