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

Quantification of the model risk in finance and related problems.

Backward stochastic differential equations, Couverture quadratique, Equations différentielles stochastiques rétrogrades, Gas storage unit, Martingale problem, Model risk, Optimal transport, Problème martingale, Quadratic hedging, Risque de modèle, Transport optimal, Unité de stockage de gaz

Stochastic local intensity loss models with interacting particle systems.

Credit derivatives, Fokker-Planck equation, Interacting particle systems, Loss modelling, Martingale problem, Monte-Carlo Algorithm, Stochastic local intensity model

A note on solutions to controlled martingale problems and their conditioning.

Dynamic programming principle, Martingale problem, Stochastic control

A Pseudo-Markov Property for Controlled Diffusion Processes.

Dynamic programming, Martingale problem, Principle, Pseudo-Markov property, Secondary 93E20, Stochastic control

Martingale driven BSDEs, PDEs and other related deterministic problems.

Backward stochastic differential equation, Cadlag martingale, Decoupled mild solutions, Markov processes, Martingale problem, Pseudo-PDE

BSDEs with no driving martingale, Markov processes and associated Pseudo Partial Differential Equations. Part II: Decoupled mild solutions and Examples.

Backward stochastic differential equation, Decoupled mild solutions, Markov processes, Martingale problem, Pseudo-PDE

Backward Stochastic Differential Equations with no driving martingale, Markov processes and associated Pseudo Partial Differential Equations.

Backward stochastic differential equation, Markov processes, Martingale problem, Pseudo-PDE

Decoupled mild solutions of path-dependent PDEs and IPDEs represented by BSDEs driven by cadlag martingales.

Backward stochastic differential equation BSDE, Cadlag martingale, Decoupled mild solutions, Identification problem, Martingale problem, Path-dependent PDEs

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