Bruno Bouchard

Lorenzo Croissant

J. Optim. Theory Appl., 2023

Near-continuous time Reinforcement Learning for continuous state-action spaces.

[BibT_eX]

[DOI]

Lorenzo Croissant

Marc Abeille

CoRR, 2023

2020

Quenched Mass Transport of Particles Toward a Target.

[BibT_eX]

[DOI]

Boualem Djehiche

Idris Kharroubi

J. Optim. Theory Appl., 2020

2019

Second-Order Stochastic Target Problems with Generalized Market Impact.

[BibT_eX]

[DOI]

SIAM J. Control. Optim., 2019

2018

Optimal Control Under Uncertainty and Bayesian Parameters Adjustments.

[BibT_eX]

[DOI]

Nicolas Baradel

SIAM J. Control. Optim., 2018

Special Issue: Optimization and Stochastic Control in Finance, Journal of Optimization Theory and Applications.

[BibT_eX]

[DOI]

H. Mete Soner

J. Optim. Theory Appl., 2018

Equilibrium returns with transaction costs.

[BibT_eX]

[DOI]

Finance Stochastics, 2018

2017

Hedging of Covered Options with Linear Market Impact and Gamma Constraint.

[BibT_eX]

[DOI]

Grégoire Loeper

Yiyi Zou

SIAM J. Control. Optim., 2017

Numerical approximation of BSDEs using local polynomial drivers and branching processes.

[BibT_eX]

[DOI]

Monte Carlo Methods Appl., 2017

2016

Hedging Under an Expected Loss Constraint with Small Transaction Costs.

[BibT_eX]

[DOI]

Ludovic Moreau

H. Mete Soner

SIAM J. Financial Math., 2016

A Backward Dual Representation for the Quantile Hedging of Bermudan Options.

[BibT_eX]

[DOI]

Jean-François Chassagneux

Géraldine Bouveret

SIAM J. Financial Math., 2016

Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions.

[BibT_eX]

[DOI]

Marcel Nutz

Math. Oper. Res., 2016

Consistent price systems under model uncertainty.

[BibT_eX]

[DOI]

Marcel Nutz

Finance Stochastics, 2016

Almost-sure hedging with permanent price impact.

[BibT_eX]

[DOI]

Grégoire Loeper

Yiyi Zou

Finance Stochastics, 2016

2013

Generalized stochastic target problems for pricing and partial hedging under loss constraints - application in optimal book liquidation.

[BibT_eX]

[DOI]

Finance Stochastics, 2013

2012

Weak Dynamic Programming for Generalized State Constraints.

[BibT_eX]

[DOI]

Marcel Nutz

SIAM J. Control. Optim., 2012

Optimal control versus stochastic target problems: An equivalence result.

[BibT_eX]

[DOI]

Syst. Control. Lett., 2012

A Stochastic Target Approach for P&L Matching Problems.

[BibT_eX]

[DOI]

Thanh Nam Vu

Math. Oper. Res., 2012

2011

Optimal Control of Trading Algorithms: A General Impulse Control Approach.

[BibT_eX]

[DOI]

Charles-Albert Lehalle

SIAM J. Financial Math., 2011

Weak Dynamic Programming Principle for Viscosity Solutions.

[BibT_eX]

[DOI]

SIAM J. Control. Optim., 2011

2010

Optimal Control under Stochastic Target Constraints.

[BibT_eX]

[DOI]

Romuald Elie

Cyril Imbert

SIAM J. Control. Optim., 2010

2009

Stochastic Target Problems with Controlled Loss.

[BibT_eX]

[DOI]

Romuald Elie

SIAM J. Control. Optim., 2009

2008

Optimal Reflection of Diffusions and Barrier Options Pricing under Constraints.

[BibT_eX]

[DOI]

SIAM J. Control. Optim., 2008

2006

Barrier Option Hedging under Constraints: A Viscosity Approach.

[BibT_eX]

[DOI]

Imen Bentahar

SIAM J. Control. Optim., 2006

No-arbitrage in Discrete-time Markets with Proportional Transaction Costs and General Information structure.

[BibT_eX]

[DOI]

Finance Stochastics, 2006

2004

Wealth-path dependent utility maximization in incomplete markets.

[BibT_eX]

[DOI]

Huyên Pham

Finance Stochastics, 2004

On the Malliavin approach to Monte Carlo approximation of conditional expectations.

[BibT_eX]

[DOI]

Ivar Ekeland

Finance Stochastics, 2004

2002

Utility maximization on the real line under proportional transaction costs.

[BibT_eX]

[DOI]