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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First and second-to-default options in models with various information flows *.

60G44, 60J60, 60J65 Secondary 91B70, 91G20, Primary 91G40

On the well-posedness of a class of McKean Feynman-Kac equations.

35C99, 35K58, 60H30, 60J60, And phrases McKean Stochastic Differental Equations, McKean Feynman-Kac equation, McKean Stochastic Differental Equations, Probabilistic representation of PDEs, Probabilistic representation of PDEs 2010 AMS-classification 60H10, Semilinear Partial Dif- ferential Equations, Semilinear Partial Differential Equations

Fokker-Planck equations with terminal condition and related McKean probabilistic representation.

35R30, 60H30, 60J60, And phrases Inverse problem, Fokker Planck equation, Fokker Planck equation 2020 AMS-classification 60H10, Inverse problem, McKean stochastic differential equation, Probabilistic represen- tation of PDEs, Probabilistic representation of PDEs, Time-reversed diffusion

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

Numerical approximation of general Lipschitz BSDEs with branching processes.

60H35, 60J60, BSDE, Branching process MSC2010 Primary 65C05, Monte-Carlo methods, Secondary 60J85

Numerical approximation of general Lipschitz BSDEs with branching processes.

60H35, 60J60, BSDE, Branching process MSC2010 Primary 65C05, Monte-Carlo methods, Secondary 60J85

Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process.

60J60, 60J75, Diffusion, Hawkes process, Model selection, Nonparametric estimator, Nonparametric estimator Model selection Diffusion Hawkes process AMS Classification 62G05

Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process.

60J60, 60J75, Diffusion, Hawkes process, Model selection, Nonparametric estimator, Nonparametric estimator Model selection Diffusion Hawkes process AMS Classification 62G05