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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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

Information on a default time : Brownian bridges on a stochastic intervals and enlargement of filtrations.

Accessible stoping time, Bayes formula, Brownian bridge, Capacités de Riesz, Credit default swap, Credit-risk, Default bonds, Default time, Dimensions de Hausdorff, Enlargement of filtrations, Formule de Bayes, Formule de densité du temps d'occupation, Grossissement de filtration, Hausdorff dimensions, Hausdorff measures, Honest times, Initial times, Local time, Mesures de Hausdorff, Obligations privées, Occupation times formula, Pont brownien, Predictable stopping time, Riesz capacities, Risque de crédit, Spread, Stopping time, Temps d'arrêt, Temps d'arrêt accessible, Temps d'arrêt prévisible, Temps d'arrêt totalement inacessible, Temps de défaut, Temps honnête, Temps intial, Temps local, Totally inacessible stopping time

On the Law of a Triplet Associated with the Pseudo-Brownian Bridge.

Bessel process, Brownian motion, Hitting times, Local time, Mellin transform, Pseudo-Brownian bridge, Scaling, Uniform sampling

On the law of a triplet associated with the pseudo-Brownian bridge.

Bessel process, Brownian motion, Hitting times, Local time, Mellin transform, Pseudo-Brownian bridge, Scaling, Uniform sampling

Weak uniqueness and density estimates for sdes with coefficients depending on some path-functionals.

Density estimates, Local time, Martingale problem, Maximum, Parametrix expansion, Weak uniqueness