| Publication | Date of Publication | Type |
|---|
A stochastic target problem for branching diffusion processes
Stochastic Processes and their Applications | 2024-03-04 | Paper |
Master Bellman equation in the Wasserstein space: Uniqueness of viscosity solutions
Transactions of the American Mathematical Society | 2024-01-09 | Paper |
Discrete-time mean-field stochastic control with partial observations
Applied Mathematics and Optimization | 2023-11-29 | Paper |
Optimal control of path-dependent McKean-Vlasov SDEs in infinite-dimension
The Annals of Applied Probability | 2023-07-31 | Paper |
Optimal control of path-dependent McKean-Vlasov SDEs in infinite-dimension
The Annals of Applied Probability | 2023-07-31 | Paper |
| scientific article; zbMATH DE number 7604708 (Why is no real title available?) | 2022-10-21 | Paper |
Discretization and machine learning approximation of BSDEs with a constraint on the gains-process
Monte Carlo Methods and Applications | 2021-06-09 | Paper |
Optimal risk management problem of natural resources: application to oil drilling
Annals of Operations Research | 2021-05-05 | Paper |
Quenched mass transport of particles toward a target
Journal of Optimization Theory and Applications | 2020-08-25 | Paper |
Quenched mass transport of particles toward a target
Journal of Optimization Theory and Applications | 2020-08-25 | Paper |
Regulation of Renewable Resource Exploitation
SIAM Journal on Control and Optimization | 2020-03-02 | Paper |
Regulation of Renewable Resource Exploitation
SIAM Journal on Control and Optimization | 2020-03-02 | Paper |
Information uncertainty related to marked random times and optimal investment
Probability, Uncertainty and Quantitative Risk | 2020-02-17 | Paper |
Optimal exploitation of a resource with stochastic population dynamics and delayed renewal
Journal of Mathematical Analysis and Applications | 2019-07-30 | Paper |
Optimal switching in finite horizon under state constraints
SIAM Journal on Control and Optimization | 2016-09-06 | Paper |
Max-min optimization problem for variable annuities pricing
International Journal of Theoretical and Applied Finance | 2016-02-03 | Paper |
A decomposition approach for the discrete-time approximation of FBSDEs with a jump
Random Operators and Stochastic Equations | 2015-08-07 | Paper |
Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps
The Annals of Applied Probability | 2015-07-27 | Paper |
Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps
The Annals of Applied Probability | 2015-07-27 | Paper |
Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE
The Annals of Probability | 2015-07-10 | Paper |
Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE
The Annals of Probability | 2015-07-10 | Paper |
When terminal facelift enforces delta constraints
Finance and Stochastics | 2015-03-30 | Paper |
Adding constraints to BSDEs with jumps: an alternative to multidimensional reflections
ESAIM: Probability and Statistics | 2015-02-17 | Paper |
Progressive enlargement of filtrations and backward stochastic differential equations with jumps
Journal of Theoretical Probability | 2014-11-17 | Paper |
BSDE representations for optimal switching problems with controlled volatility
Stochastics and Dynamics | 2014-07-18 | Paper |
A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization
Monte Carlo Methods and Applications | 2014-06-30 | Paper |
Mean-variance hedging on uncertain time horizon in a market with a jump
Applied Mathematics and Optimization | 2014-03-24 | Paper |
Optimal investment under multiple defaults risk: a BSDE-decomposition approach
The Annals of Applied Probability | 2013-04-24 | Paper |
Optimal investment under multiple defaults risk: a BSDE-decomposition approach
The Annals of Applied Probability | 2013-04-24 | Paper |
| A decomposition approach for the discrete-time approximation of BSDEs with a jump II: the quadratic case | 2012-11-27 | Paper |
Discrete-time approximation of multidimensional BSDEs with oblique reflections
The Annals of Applied Probability | 2012-07-08 | Paper |
Discrete-time approximation of multidimensional BSDEs with oblique reflections
The Annals of Applied Probability | 2012-07-08 | Paper |
Time discretization and quantization methods for optimal multiple switching problem
Stochastic Processes and their Applications | 2012-06-01 | Paper |
A note on existence and uniqueness for solutions of multidimensional reflected BSDEs
Electronic Communications in Probability | 2011-09-09 | Paper |
Comparison theorem for Brownian multidimensional BSDEs via jump processes
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2011-05-10 | Paper |
| A decomposition approach for the discrete-time approximation of FBSDEs with a jump I : the Lipschitz case | 2011-03-15 | Paper |
Probabilistic representation and approximation for coupled systems of variational inequalities
Statistics & Probability Letters | 2010-08-26 | Paper |
Backward SDEs with constrained jumps and quasi-variational inequalities
The Annals of Probability | 2010-04-21 | Paper |
| Optimal portfolio liquidation with execution cost and risk | 2009-06-14 | Paper |
Optimal Stopping of Branching Diffusion Processes
(available as arXiv preprint) | N/A | Paper |
