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Linearization techniques for $\mathbb{L}^{\infty}$-control problems and dynam...
International audience -
Stochastic representation for solutions of Isaacs' type integral-partial diff...
International audience -
Discontinuous control problems with state constraints : Linear formulations a...
International audience -
A note on solutions to controlled martingale problems and their conditioning
In this note, we rigorously justify a conditioning argument which is often (explicitly or implicitly) used to prove the dynamic programming principle in the stochastic... -
Min-max control problems via occupational measures
International audience -
Portfolio optimization in a default model under full/partial information
In this paper, we consider a financial market with assets exposed to some risks inducing jumps in the asset prices, and which can still be traded after default times....
