26 datasets found

International audience

We study a stochastic game where one player tries to find a strategy such that the state process reaches a target of controlled-loss-type, no matter which action is...

We study the optimal reinsurance policy and dividends distribution of an insurance company under excess of loss reinsurance. The insurer gives part of its premium...

This document is an attempt at introducing the different «Eulerian» numerical methods which have recently been developed for the simulation of geometric optics and...

This paper is a sequel of \cite{pre} and presents the computation of the amplitudes needed to evaluate the energy deposited by the laser wave in a plasma when a fold...

This paper presents an Eulerian numerical method for the computation of a bi-valued solution of Hamilton-Jacobi type equation in a particular geometric setting. More...

We study the optimal reinsurance policy of an insurance company which gives part of its premium stream to another compagny in exchange of an obligation to support the...

A robust numerical method for the localization of caustics is proposed for general Hamiltonians. It is based on the direct resolution of a system of partial...

We study the optimal consumption and portfolio in a jump diffusion market with proportional transaction costs. We show that the solution in the jump diffusion case has...

In [15] a numerical approximation scheme is proposed for the solution of piecewise deterministic control systems (PDCS). This approximation scheme is based on a time...

Projet META2

Some contributions to the study and computation of the multivalued solution of the Eikonal equation

We present in this paper the numerical computation of the multi-valued travel-time field generated by a point source experiment in the Marmousi model. Two recently...

Projet IDENT

International audience

We study the links between reflected backward stochastic differential equations (reflected BSDEs) with jumps and partial integro-differential variational inequalities...

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...

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...

20 pages no picture

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...