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Stochastic representation for solutions of Isaacs' type integral-partial diff...
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... -
Optimal operation of a wind farm equipped with a storage unit
Due to the fluctuations in their production, wind farm owners are subject to financial penalties. To limit these penalties the use of a storage device is studied. We... -
Characterization of the optimal boundaries in reversible investment problems
This paper studies a {\it reversible} investment problem where a social planner aims to control its capacity production in order to fit optimally the random demand of... -
Eigenvalue and Dirichlet problem for fully-nonlinear operators in non smooth ...
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Global subanalytic solutions of Hamilton-Jacobi type equations
In the 80's, Crandall and Lions introduced the concept of viscosity solution, in order to get existence and/or uniqueness results for Hamilton-Jacobi equations. In... -
Double barrier reflected BSDEs with jumps and generalized Dynkin games
We study double barrier reflected BSDEs (DBBSDEs) with jumps and RCLL barriers, and their links with generalized Dynkin games. We provide existence and uniqueness... -
A singular large deviations phenomenon
Consider {X(t,epsilon) : t>=0} (epsilon>0), the solution starting from 0 of a stochastic differential equation, which is a small Brownian perturbation of the... -
Zubov's equation for state-constrained perturbed nonlinear systems
International audience -
Viscosity solutions of Hamilton-Jacobi equations and iterated minmax
In this thesis, we study the solutions of Hamilton-Jacobi equations. We will compare the viscosity solution and the minmax solution, with the latter defined by a... -
Homogenization of second order discrete model and application to traffic flow
International audience -
Backward SDE Representation for Stochastic Control Problems with Non Dominate...
We are interested in stochastic control problems coming from mathematical finance and, in particular, related to model uncertainty, where the uncertainty affects both...
