Bruno Bouchard

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Bruno Bouchard

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List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
A $C^1$-Itô's formula for flows of semimartingale distributions Applied Mathematics and Optimization	2024-08-20	Paper
Approximate viscosity solutions of path-dependent PDEs and Dupire's vertical differentiability The Annals of Applied Probability	2024-01-19	Paper
A $C^1$-It\^o's formula for flows of semimartingale distributions	2023-07-14	Paper
Diffusive limit approximation of pure-jump optimal stochastic control problems Journal of Optimization Theory and Applications	2023-01-23	Paper
Diffusive limit approximation of pure jump optimal ergodic control problems	2022-09-30	Paper
Understanding the dual formulation for the hedging of path-dependent options with price impact The Annals of Applied Probability	2022-09-05	Paper
A $\mathbb{C}^{0, 1}$-functional Itô's formula and its applications in mathematical finance Stochastic Processes and their Applications	2022-04-28	Paper
Simple bounds for utility maximization with small transaction costs Stochastic Processes and their Applications	2022-03-07	Paper
Computation of expected shortfall by fast detection of worst scenarios Quantitative Finance	2021-12-01	Paper
It{\^o}-Dupire's formula for C^{0,1}-functionals of c{\`a}dl{\`a}g weak Dirichlet processes	2021-10-07	Paper
A quasi-sure optional decomposition and super-hedging result on the Skorokhod space Finance and Stochastics	2021-08-27	Paper
Diffusive limit approximation of pure-jump optimal stochastic control problems	2021-06-24	Paper
Quenched mass transport of particles toward a target Journal of Optimization Theory and Applications	2020-08-25	Paper
Second-order stochastic target problems with generalized market impact SIAM Journal on Control and Optimization	2019-12-11	Paper
Superreplication with proportional transaction cost under model uncertainty Mathematical Finance	2019-10-31	Paper
Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view ESAIM: Proceedings and Surveys	2019-07-11	Paper
Numerical approximation of general Lipschitz BSDEs with branching processes ESAIM: Proceedings and Surveys	2019-07-11	Paper
Optimal inventory management and order book modeling ESAIM: Proceedings and Surveys	2019-07-11	Paper
Stochastic invariance of closed sets with non-Lipschitz coefficients Stochastic Processes and their Applications	2019-06-27	Paper
Equilibrium returns with transaction costs Finance and Stochastics	2018-07-16	Paper
A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations Annales de l'Institut Henri Poincaré. Probabilités et Statistiques	2018-06-01	Paper
Optimal control under uncertainty and Bayesian parameters adjustments SIAM Journal on Control and Optimization	2018-03-16	Paper
Regularity of BSDEs with a convex constraint on the gains-process Bernoulli	2018-02-15	Paper
Numerical approximation of BSDEs using local polynomial drivers and branching processes Monte Carlo Methods and Applications	2018-01-16	Paper
BSDE formulation of combined regular and singular stochastic control problems	2018-01-10	Paper
Hedging of covered options with linear market impact and gamma constraint SIAM Journal on Control and Optimization	2017-11-02	Paper
Robust fundamental theorem for continuous processes Mathematical Finance	2017-10-24	Paper
First time to exit of a continuous Itô process: general moment estimates and ${\mathbf{L}}_{1}$-convergence rate for discrete time approximations Bernoulli	2017-05-11	Paper
Almost-sure hedging with permanent price impact Finance and Stochastics	2016-09-07	Paper
Hedging under an expected loss constraint with small transaction costs SIAM Journal on Financial Mathematics	2016-08-17	Paper
Valuation of derivative products. From fundamental theorems to coverage under risk constraint	2016-07-12	Paper
Fundamentals and advanced techniques in derivatives hedging. Translated from the French Universitext	2016-05-30	Paper
A general Doob-Meyer-Mertens decomposition for $g$-supermartingale systems Electronic Journal of Probability	2016-05-23	Paper
A backward dual representation for the quantile hedging of Bermudan options SIAM Journal on Financial Mathematics	2016-05-20	Paper
Stochastic target games and dynamic programming via regularized viscosity solutions Mathematics of Operations Research	2016-04-15	Paper
Consistent price systems under model uncertainty Finance and Stochastics	2016-03-29	Paper
Arbitrage and duality in nondominated discrete-time models The Annals of Applied Probability	2015-04-27	Paper
BSDEs with weak terminal condition The Annals of Probability	2015-03-27	Paper
A stochastic target approach for P\&L matching problems Mathematics of Operations Research	2014-10-21	Paper
Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs Stochastic Processes and their Applications	2014-09-04	Paper
Stochastic target games with controlled loss The Annals of Applied Probability	2014-06-13	Paper
Portfolio management under risk contraints - Lectures given at MITACS-PIMS-UBC Summer School in Risk Management and Risk Sharing	2013-06-30	Paper
NO MARGINAL ARBITRAGE OF THE SECOND KIND FOR HIGH PRODUCTION REGIMES IN DISCRETE TIME PRODUCTION–INVESTMENT MODELS WITH PROPORTIONAL TRANSACTION COSTS Mathematical Finance	2013-04-29	Paper
No-arbitrage of second kind in countable markets with proportional transaction costs The Annals of Applied Probability	2013-04-24	Paper
Weak dynamic programming for generalized state constraints SIAM Journal on Control and Optimization	2013-03-19	Paper
A note on utility based pricing and asymptotic risk diversification Mathematics and Financial Economics	2013-02-26	Paper
Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation Finance and Stochastics	2013-02-07	Paper
Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods Springer Proceedings in Mathematics	2012-09-28	Paper
Optimal control versus stochastic target problems: an equivalence result Systems \& Control Letters	2012-05-11	Paper
Weak dynamic programming principle for viscosity solutions SIAM Journal on Control and Optimization	2011-10-18	Paper
Optimal control of trading algorithms: a general impulse control approach SIAM Journal on Financial Mathematics	2011-06-21	Paper
Strong approximations of BSDEs in a domain Bernoulli	2010-11-15	Paper
Stochastic target problems with controlled loss SIAM Journal on Control and Optimization	2010-10-20	Paper
Optimal control under stochastic target constraints SIAM Journal on Control and Optimization	2010-10-20	Paper
The obstacle version of the geometric dynamic programming principle: application to the pricing of American options under constraints Applied Mathematics and Optimization	2010-04-20	Paper
scientific article; zbMATH DE number 5657859 (Why is no real title available?)	2010-01-13	Paper
Representation of continuous linear forms on the set of ladlag processes and the hedging of American claims under proportional costs Electronic Journal of Probability	2009-11-20	Paper
Optimal Reflection of Diffusions and Barrier Options Pricing under Constraints SIAM Journal on Control and Optimization	2009-07-22	Paper
A stochastic target formulation for optimal switching problems in finite horizon Stochastics	2009-06-02	Paper
Discrete-time approximation for continuously and discretely reflected BSDEs Stochastic Processes and their Applications	2009-01-16	Paper
Discrete-time approximation of decoupled Forward-Backward SDE with jumps Stochastic Processes and their Applications	2008-02-06	Paper
Barrier Option Hedging under Constraints: A Viscosity Approach SIAM Journal on Control and Optimization	2007-09-24	Paper
Explicit characterization of the super-replication strategy in financial markets with partial transaction costs Stochastic Processes and their Applications	2007-05-03	Paper
No-arbitrage in discrete-time markets with proportional transaction costs and general information structure Finance and Stochastics	2006-12-08	Paper
On the hedging of American options in discrete time markets with proportional transaction costs Electronic Journal of Probability	2006-11-03	Paper
Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns The Annals of Applied Probability	2006-07-10	Paper
Maturity randomization for stochastic control problems The Annals of Applied Probability	2006-07-10	Paper
A multidimensional bipolar theorem in $L^0(\mathbb {R}^d, \Omega , \mathcal {F},P)$. Stochastic Processes and their Applications	2005-11-29	Paper
Stochastic targets with mixed diffusion processes and viscosity solutions. Stochastic Processes and their Applications	2005-11-29	Paper
Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations Stochastic Processes and their Applications	2005-08-05	Paper
A version of the $\mathcal G$-conditional bipolar theorem in $L^0(\mathbb R^d_+;\Omega,\mathcal F,\mathbb P)$ Journal of Theoretical Probability	2005-06-14	Paper
Wealth-path dependent utility maximization in incomplete markets Finance and Stochastics	2005-05-20	Paper
On the Malliavin approach to Monte Carlo approximation of conditional expectations Finance and Stochastics	2004-11-24	Paper
Dual formulation of the utility maximization problem: the case of nonsmooth utility. The Annals of Applied Probability	2004-09-15	Paper
Utility maximization on the real line under proportional transaction costs Finance and Stochastics	2004-03-16	Paper
Option pricing by large risk aversion utility under transaction costs Decisions in Economics and Finance	2003-05-31	Paper
Explicit solution to the multivariate super-replication problem under transaction costs. The Annals of Applied Probability	2003-05-06	Paper

Research outcomes over time

This page was built for person: Bruno Bouchard

Publication	Date of Publication	Type
A \(C^1\)-Itô's formula for flows of semimartingale distributions Applied Mathematics and Optimization	2024-08-20	Paper
Approximate viscosity solutions of path-dependent PDEs and Dupire's vertical differentiability The Annals of Applied Probability	2024-01-19	Paper
A $C^1$-It\^o's formula for flows of semimartingale distributions	2023-07-14	Paper
Diffusive limit approximation of pure-jump optimal stochastic control problems Journal of Optimization Theory and Applications	2023-01-23	Paper
Diffusive limit approximation of pure jump optimal ergodic control problems	2022-09-30	Paper
Understanding the dual formulation for the hedging of path-dependent options with price impact The Annals of Applied Probability	2022-09-05	Paper
A \(\mathbb{C}^{0, 1}\)-functional Itô's formula and its applications in mathematical finance Stochastic Processes and their Applications	2022-04-28	Paper
Simple bounds for utility maximization with small transaction costs Stochastic Processes and their Applications	2022-03-07	Paper
Computation of expected shortfall by fast detection of worst scenarios Quantitative Finance	2021-12-01	Paper
It{\^o}-Dupire's formula for C^{0,1}-functionals of c{\`a}dl{\`a}g weak Dirichlet processes	2021-10-07	Paper
A quasi-sure optional decomposition and super-hedging result on the Skorokhod space Finance and Stochastics	2021-08-27	Paper
Diffusive limit approximation of pure-jump optimal stochastic control problems	2021-06-24	Paper
Quenched mass transport of particles toward a target Journal of Optimization Theory and Applications	2020-08-25	Paper
Second-order stochastic target problems with generalized market impact SIAM Journal on Control and Optimization	2019-12-11	Paper
Superreplication with proportional transaction cost under model uncertainty Mathematical Finance	2019-10-31	Paper
Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view ESAIM: Proceedings and Surveys	2019-07-11	Paper
Numerical approximation of general Lipschitz BSDEs with branching processes ESAIM: Proceedings and Surveys	2019-07-11	Paper
Optimal inventory management and order book modeling ESAIM: Proceedings and Surveys	2019-07-11	Paper
Stochastic invariance of closed sets with non-Lipschitz coefficients Stochastic Processes and their Applications	2019-06-27	Paper
Equilibrium returns with transaction costs Finance and Stochastics	2018-07-16	Paper
A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations Annales de l'Institut Henri Poincaré. Probabilités et Statistiques	2018-06-01	Paper
Optimal control under uncertainty and Bayesian parameters adjustments SIAM Journal on Control and Optimization	2018-03-16	Paper
Regularity of BSDEs with a convex constraint on the gains-process Bernoulli	2018-02-15	Paper
Numerical approximation of BSDEs using local polynomial drivers and branching processes Monte Carlo Methods and Applications	2018-01-16	Paper
BSDE formulation of combined regular and singular stochastic control problems	2018-01-10	Paper
Hedging of covered options with linear market impact and gamma constraint SIAM Journal on Control and Optimization	2017-11-02	Paper
Robust fundamental theorem for continuous processes Mathematical Finance	2017-10-24	Paper
First time to exit of a continuous Itô process: general moment estimates and \({\mathbf{L}}_{1}\)-convergence rate for discrete time approximations Bernoulli	2017-05-11	Paper
Almost-sure hedging with permanent price impact Finance and Stochastics	2016-09-07	Paper
Hedging under an expected loss constraint with small transaction costs SIAM Journal on Financial Mathematics	2016-08-17	Paper
Valuation of derivative products. From fundamental theorems to coverage under risk constraint	2016-07-12	Paper
Fundamentals and advanced techniques in derivatives hedging. Translated from the French Universitext	2016-05-30	Paper
A general Doob-Meyer-Mertens decomposition for \(g\)-supermartingale systems Electronic Journal of Probability	2016-05-23	Paper
A backward dual representation for the quantile hedging of Bermudan options SIAM Journal on Financial Mathematics	2016-05-20	Paper
Stochastic target games and dynamic programming via regularized viscosity solutions Mathematics of Operations Research	2016-04-15	Paper
Consistent price systems under model uncertainty Finance and Stochastics	2016-03-29	Paper
Arbitrage and duality in nondominated discrete-time models The Annals of Applied Probability	2015-04-27	Paper
BSDEs with weak terminal condition The Annals of Probability	2015-03-27	Paper
A stochastic target approach for P\&L matching problems Mathematics of Operations Research	2014-10-21	Paper
Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs Stochastic Processes and their Applications	2014-09-04	Paper
Stochastic target games with controlled loss The Annals of Applied Probability	2014-06-13	Paper
Portfolio management under risk contraints - Lectures given at MITACS-PIMS-UBC Summer School in Risk Management and Risk Sharing	2013-06-30	Paper
NO MARGINAL ARBITRAGE OF THE SECOND KIND FOR HIGH PRODUCTION REGIMES IN DISCRETE TIME PRODUCTION–INVESTMENT MODELS WITH PROPORTIONAL TRANSACTION COSTS Mathematical Finance	2013-04-29	Paper
No-arbitrage of second kind in countable markets with proportional transaction costs The Annals of Applied Probability	2013-04-24	Paper
Weak dynamic programming for generalized state constraints SIAM Journal on Control and Optimization	2013-03-19	Paper
A note on utility based pricing and asymptotic risk diversification Mathematics and Financial Economics	2013-02-26	Paper
Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation Finance and Stochastics	2013-02-07	Paper
Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods Springer Proceedings in Mathematics	2012-09-28	Paper
Optimal control versus stochastic target problems: an equivalence result Systems \& Control Letters	2012-05-11	Paper
Weak dynamic programming principle for viscosity solutions SIAM Journal on Control and Optimization	2011-10-18	Paper
Optimal control of trading algorithms: a general impulse control approach SIAM Journal on Financial Mathematics	2011-06-21	Paper
Strong approximations of BSDEs in a domain Bernoulli	2010-11-15	Paper
Stochastic target problems with controlled loss SIAM Journal on Control and Optimization	2010-10-20	Paper
Optimal control under stochastic target constraints SIAM Journal on Control and Optimization	2010-10-20	Paper
The obstacle version of the geometric dynamic programming principle: application to the pricing of American options under constraints Applied Mathematics and Optimization	2010-04-20	Paper
scientific article; zbMATH DE number 5657859 (Why is no real title available?)	2010-01-13	Paper
Representation of continuous linear forms on the set of ladlag processes and the hedging of American claims under proportional costs Electronic Journal of Probability	2009-11-20	Paper
Optimal Reflection of Diffusions and Barrier Options Pricing under Constraints SIAM Journal on Control and Optimization	2009-07-22	Paper
A stochastic target formulation for optimal switching problems in finite horizon Stochastics	2009-06-02	Paper
Discrete-time approximation for continuously and discretely reflected BSDEs Stochastic Processes and their Applications	2009-01-16	Paper
Discrete-time approximation of decoupled Forward-Backward SDE with jumps Stochastic Processes and their Applications	2008-02-06	Paper
Barrier Option Hedging under Constraints: A Viscosity Approach SIAM Journal on Control and Optimization	2007-09-24	Paper
Explicit characterization of the super-replication strategy in financial markets with partial transaction costs Stochastic Processes and their Applications	2007-05-03	Paper
No-arbitrage in discrete-time markets with proportional transaction costs and general information structure Finance and Stochastics	2006-12-08	Paper
On the hedging of American options in discrete time markets with proportional transaction costs Electronic Journal of Probability	2006-11-03	Paper
Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns The Annals of Applied Probability	2006-07-10	Paper
Maturity randomization for stochastic control problems The Annals of Applied Probability	2006-07-10	Paper
A multidimensional bipolar theorem in \(L^0(\mathbb {R}^d, \Omega , \mathcal {F},P)\). Stochastic Processes and their Applications	2005-11-29	Paper
Stochastic targets with mixed diffusion processes and viscosity solutions. Stochastic Processes and their Applications	2005-11-29	Paper
Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations Stochastic Processes and their Applications	2005-08-05	Paper
A version of the \(\mathcal G\)-conditional bipolar theorem in \(L^0(\mathbb R^d_+;\Omega,\mathcal F,\mathbb P)\) Journal of Theoretical Probability	2005-06-14	Paper
Wealth-path dependent utility maximization in incomplete markets Finance and Stochastics	2005-05-20	Paper
On the Malliavin approach to Monte Carlo approximation of conditional expectations Finance and Stochastics	2004-11-24	Paper
Dual formulation of the utility maximization problem: the case of nonsmooth utility. The Annals of Applied Probability	2004-09-15	Paper
Utility maximization on the real line under proportional transaction costs Finance and Stochastics	2004-03-16	Paper
Option pricing by large risk aversion utility under transaction costs Decisions in Economics and Finance	2003-05-31	Paper
Explicit solution to the multivariate super-replication problem under transaction costs. The Annals of Applied Probability	2003-05-06	Paper