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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Prevention and insurance: contributions to actuarial, cognitive and dynamic approaches.

Backward SDEs, Coherent Risk measures, Continuation utility, Dynamic programming, Mesures de risque cohérentes, Mesures de risque de distorsion non concave, Non-concave distortion risk measures, Prevention, Programmation dynamique, Prévention, Utilité de continuation, Équations différentielles stochastiques rétrogrades

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

Some problems of statistics and optimal control for stochastic processes in the field of electricity markets prices modeling.

Asymptotic efficiency, Dynamic programming, Efficacité asymptotique, Electricity prices, Erreurs de modèle, Estimation for diffusions, Estimation non paramétrique par noyaux, Exécution optimale, Impact de marché, Integrated volatility, Market impact, Model errors, Nonparametric kernel estimation, Optimal execution, Prix de l’électricité, Programmation dynamique, Statistique des diffusions, Volatilité intégrée

BocopHJB 1.0.1 – User Guide.

Dynamic programming, HJB, Optimal control, Optimal switching, Optimization, Spaceship, Stochastic control

Decomposition-Coordination Method for Finite Horizon Bandit Problems.

DeCo heuristic, Decomposition-coordination, Dynamic programming, Multi-armed bandit problem

Sustainability of pension schemes: building a smooth automatic balance mechanism with an application to the US social security.

Automatic balance mechanisms, Dynamic programming, Pension scheme sustainability

STochastic OPTimization library in C++.

Branching Monte Carlo, C++ library, Dynamic programming, Regression, SDDP algorithm, Semi Lagrangian methods

Decentralized optimization for energy efficiency under stochasticity.

Decomposition/Coordination, Dynamic Programming, Décomposition/Coordination, Energie, Energy, Microgrid, Optimisation Stochastique, Programmation Dynamique, Stochastic Optimization

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

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

Financial models and price formation : applications to sport betting.

Betting, Bid-ask spread, Binary options, Dynamic Programming, Finance, Football, Hamilton Jacobi Bellman, Instruments financiers, Market-maker, Offre et demande, Optimisation, Optimization, Options binaires, Pari sportif, Price, Prix, Programmation dynamique, Soccer, Sport, Teneur de marché, Utility

Optimal control of infinite-dimensional piecewise deterministic Markov processes and application to the control of neuronal dynamics via Optogenetics.

Dynamic programming, Markov Decision Processes, Optimal control, Optogenetics, Piecewise Deterministic Markov Processes, Semilinear parabolic equations