| Publication | Date of Publication | Type |
|---|
Nonzero-Sum Stochastic Impulse Games with an Application in Competitive Retail Energy Markets
ESAIM: Control, Optimisation and Calculus of Variations | 2024-03-11 | Paper |
Public private partnerships contract under moral hazard and ambiguous information
Stochastics and Dynamics | 2023-09-19 | Paper |
Optimal stopping contract for public private partnerships under moral hazard
Frontiers of Mathematical Finance | 2023-06-26 | Paper |
Viscosity solution of system of integro-partial differential equations with interconnected obstacles of non-local type without monotonicity conditions
Journal of Dynamics and Differential Equations | 2023-06-02 | Paper |
| The value of the information in the Moral Hazard setting | 2023-04-06 | Paper |
Expected utility maximization problem under state constraints and model uncertainty
Journal of Optimization Theory and Applications | 2019-12-11 | Paper |
Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem without monotonicity condition
Asymptotic Analysis | 2019-11-27 | Paper |
A policy iteration algorithm for nonzero-sum stochastic impulse games
ESAIM: Proceedings and Surveys | 2019-07-11 | Paper |
Optimal contract with moral hazard for public private partnerships
Stochastics | 2018-09-04 | Paper |
Optimal market dealing under constraints
Journal of Optimization Theory and Applications | 2017-09-01 | Paper |
Optimal stochastic control problem under model uncertainty with nonentropy penalty
International Journal of Theoretical and Applied Finance | 2017-05-16 | Paper |
Euler time discretization of backward doubly SDEs and application to semilinear SPDEs
Stochastic and Partial Differential Equations. Analysis and Computations | 2016-11-04 | Paper |
Numerical approximation for a portfolio optimization problem under liquidity risk and costs
Applied Mathematics and Optimization | 2016-09-23 | Paper |
Numerical methods for an optimal multiple stopping problem
Stochastics and Dynamics | 2016-08-23 | Paper |
Numerical methods for optimal insurance demand under marked point processes shocks
Communications on Stochastic Analysis | 2016-03-04 | Paper |
A general optimal multiple stopping problem with an application to swing options
Stochastic Analysis and Applications | 2015-10-23 | Paper |
Robust utility maximization under convex portfolio constraints
Applied Mathematics and Optimization | 2015-06-15 | Paper |
Optimal risk control under marked point processes shocks: a dynamic programming duality approach
International Journal of Theoretical and Applied Finance | 2014-02-11 | Paper |
Optimal selection portfolio problem: a semi-linear PDE approach
Stochastics | 2012-11-09 | Paper |
Maximization of Recursive Utilities: A Dynamic Maximum Principle Approach
SIAM Journal on Financial Mathematics | 2012-04-19 | Paper |
Portfolio Optimization with Stochastic Volatilities: A Backward Approach
Stochastic Analysis and Applications | 2011-10-21 | Paper |
OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS IN LÉVY MODELS
International Journal of Theoretical and Applied Finance | 2008-05-14 | Paper |
Portfolio optimization with stochastic volatilities and constraints: an application in high dimension
Applied Mathematics and Optimization | 2008-02-18 | Paper |
A model of optimal portfolio selection under liquidity risk and price impact
Finance and Stochastics | 2007-12-16 | Paper |
Optimal risk control and dividend policies under excess of loss reinsurance
Stochastics | 2005-12-09 | Paper |
Stochastic optimization under constraints.
Stochastic Processes and their Applications | 2004-11-26 | Paper |
