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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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

Control of McKean-Vlasov systems and applications.

Ambiguous drift and correlation, Bellman equation, Continuous-time Markowtiz problem, Drift et corrélation ambiguës, Dynamic programming, EDS de type McKean-Vlasov, Espace de Wasserstein, Incertitude sur les modèles, McKean-Vlasov SDEs, McKean-Vlasov equation, Model uncertainty, Principe de séparation, Problème de Markowitz en temps continu, Separation principle, Sous-diversification, Under-diversification, Viscosity solution, Wasserstein space, Équation de type McKean-Vlasov

Utility maximization with proportional transaction costs under model uncertainty.

Convex duality, Model uncertainty, Randomization method, Transaction costs, Utility indifference pricing, Utility maximization

Superreplication with proportional transaction cost under model uncertainty.

Duality, Model uncertainty, Super-replication, Transaction cost

Super-replication with proportional transaction cost under model uncertainty.

Duality, Model uncertainty, Super-replication, Transaction cost

Utility Maximization with Proportional Transaction Costs Under Model Uncertainty.

Convex duality, Model uncertainty, Randomization method, Transaction costs, Utility indifference pricing, Utility maximization

Robust feedback switching control: dynamic programming and viscosity solutions.

Feedback strategies, Model uncertainty, Optimal switching, Stochastic Perron's method, Stochastic games, Viscosity solutions

Dynamic reliability modeling using Valuation-Based System.

Dynamic model, Model uncertainty, Modeling, Reliability assessment, Valuation-Based System VBS

Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach.

Ambiguous drift and correlation, Continuous-time Markowitz problem, Model uncertainty, Portfolio diversication, Portfolio diversification, Separation principle, Time varying ambiguity sets