Следене
bruno bouchard
bruno bouchard
Потвърден имейл адрес: ceremade.dauphine.fr - Начална страница
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Позовавания
Година
Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
B Bouchard, N Touzi
Stochastic Processes and their applications 111 (2), 175-206, 2004
6252004
Weak dynamic programming principle for viscosity solutions
B Bouchard, N Touzi
SIAM Journal on Control and Optimization 49 (3), 948-962, 2011
2382011
Arbitrage and duality in nondominated discrete-time models
B Bouchard, M Nutz
The Annals of Applied Probability 25 (2), 823-859, 2015
2222015
Discrete-time approximation of decoupled forward–backward SDE with jumps
B Bouchard, R Elie
Stochastic Processes and their Applications 118 (1), 53-75, 2008
1772008
Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods
B Bouchard, X Warin
Numerical methods in finance, 215-255, 2012
1532012
On the Malliavin approach to Monte Carlo approximation of conditional expectations
B Bouchard, I Ekeland, N Touzi
Finance and Stochastics 8 (1), 45-71, 2004
1312004
Stochastic target problems with controlled loss
B Bouchard, R Elie, N Touzi
SIAM Journal on Control and Optimization 48 (5), 3123-3150, 2010
1262010
Optimal control of trading algorithms: a general impulse control approach
B Bouchard, NM Dang, CA Lehalle
SIAM Journal on financial mathematics 2 (1), 404-438, 2011
1002011
Robust fundamental theorem for continuous processes
S Biagini, B Bouchard, C Kardaras, M Nutz
Mathematical Finance 27 (4), 963-987, 2017
922017
Optimal control under stochastic target constraints
B Bouchard, R Elie, C Imbert
SIAM Journal on Control and Optimization 48 (5), 3501-3531, 2010
902010
Wealth-path dependent utility maximization in incomplete markets
B Bouchard, H Pham
Finance and Stochastics 8 (4), 579-603, 2004
842004
Discrete-time approximation for continuously and discretely reflected BSDEs
B Bouchard, JF Chassagneux
Stochastic Processes and their Applications 118 (12), 2269-2293, 2008
722008
Weak dynamic programming for generalized state constraints
B Bouchard, M Nutz
SIAM Journal on Control and Optimization 50 (6), 3344-3373, 2012
702012
Explicit solution to the multivariate super-replication problem under transaction costs
B Bouchard, N Touzi
Annals of Applied Probability, 685-708, 2000
512000
A stochastic target formulation for optimal switching problems in finite horizon
B Bouchard
Stochastics: An International Journal of Probability and Stochastics …, 2009
502009
Dual formulation of the utility maximization problem: The case of nonsmooth utility
B Bouchard, N Touzi, A Zeghal
The Annals of Applied Probability 14 (2), 678-717, 2004
502004
Utility maximization on the real line under proportional transaction costs
B Bouchard
Finance and Stochastics 6 (4), 495-516, 2002
472002
A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations
B Bouchard, D Possamaï, X Tan, C Zhou
Annales de l'Institut Henri Poincaré, Probabilités et Statistiques 54 (1 …, 2018
462018
Discrete-time approximation of BSDEs and probabilistic schemes for fully nonlinear PDEs
B Bouchard, R Elie, N Touzi
Advanced financial modelling 8, 91-124, 2009
452009
Option pricing by large risk aversion utility under transaction costs
B Bouchard, YM Kabanov, N Touzi
Decisions in Economics and Finance 24 (2), 127-136, 2001
432001
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