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Optimal selling rules for monetary invariant criteria: tracking the maximum o...
Considering a positive portfolio diffusion $X$ with negative drift, we investigate optimal stopping problems of the form $$ \inf_\theta... -
The Central Limit Theorem for a non linear algorithm based on quantization
In a serry of papers we have presented an algorithm based on quantization for pricing American options. More generally this amounts to solve numerically an obstacle... -
A quantization tree method for pricing and hedging multi-dimensional American...
We present here the quantization method which is well-adapted for the pricing and hedging of American options on a basket of assets. Its purpose is to compute a large... -
American Option Prices as Unique Viscosity Solutions to Degenerated Hamilton-...
In this paper we show that the American price of standard (bounded) options in the Black-Scholes one-dimensional model, which is classically given by the value... -
Mayer and optimal stopping stochastic control problems with discontinuous cost
International audience -
Yet Another Approximation of the American Put
In this paper, as an application of the theoretical result in [1], we exhibit a family of payoffs $\widehat\varphi _h (x) indexed by a measure h, for the American... -
American Prices Embedded in European Prices
In this paper, we are interested in American option prices in the Black-Schole- s model. For a large class of payoffs, we show that in the region where the European... -
Variance Optimal Hedging in the Black-Scholes Model for a given Number of Tra...
In the Black-Scholes option pricing paradigm it is assumed that the market-mak- er designs a continuous-time hedge. This is not realistic from a practical point of... -
Numerical methods for piecewise-deterministic Markov processes
Piecewise-deterministic Markov processes (PDMP's) have been introduced by M.H.A. Davis as a general class of non-diffusive stochastic models. PDMP's are hybrid Markov... -
Impulsive control of Markov processes
This work concerns optimal stopping and impulsive control problems for Markov processes, mainly Feller processes, and the corresponding variational and... -
The smooth-fit property in an exponential Lévy model
International audience -
Reflected backward stochastic differential equations with jumps and partial i...
We study the links between reflected backward stochastic differential equations (reflected BSDEs) with jumps and partial integro-differential variational inequalities... -
Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps
We study the optimal stopping problem for dynamic risk measures represented by Backward Stochastic Differential Equations (BSDEs) with jumps and its relation with... -
Large Deviations Principle by viscosity solutions: The case of diffusions wit...
International audience -
Dynkin games in a general framework
We revisit the Dynkin game problem in a general framework and relax some assumptions. The payoffs and the criterion are expressed in terms of families of random... -
Study of two stochastic optimization problems : American put option in a disc...
Redaction : Novembre 2012 -
Analysis and optimization of the reliability of an opto-electronic equipment ...
As part of optimizing the reliability, Thales Optronics now includes systems that examine the state of its equipment. This function is performed by HUMS (Health &...
