| Publication | Date of Publication | Type |
|---|
Weak Dirichlet processes and generalized martingale problems
Stochastic Processes and their Applications | 2024-03-04 | Paper |
| On the compensator of step processes in progressively enlarged filtrations and related control problems | 2024-02-15 | Paper |
Optimal dividend payout under stochastic discounting
Mathematical Finance | 2023-09-28 | Paper |
| Path-dependent SDEs with jumps and irregular drift: well-posedness and Dirichlet properties | 2022-11-07 | Paper |
Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics
Stochastic Processes and their Applications | 2022-07-27 | Paper |
| Progressively Enlargement of Filtrations and Control Problems for Step Processes | 2021-12-23 | Paper |
Optimal control of infinite-dimensional piecewise deterministic Markov processes: a BSDE approach. Application to the control of an excitable cell membrane
Applied Mathematics and Optimization | 2021-10-08 | Paper |
Optimal control of infinite-dimensional piecewise deterministic Markov processes: a BSDE approach. Application to the control of an excitable cell membrane
Applied Mathematics and Optimization | 2021-10-08 | Paper |
The identification problem for BSDEs driven by possibly non-quasi-left-continuous random measures
Stochastics and Dynamics | 2020-11-11 | Paper |
A nonlinear Bismut-Elworthy formula for HJB equations with quadratic Hamiltonian in Banach spaces
NoDEA. Nonlinear Differential Equations and Applications | 2020-06-17 | Paper |
Constrained BSDEs driven by a non-quasi-left-continuous random measure and optimal control of PDMPs on bounded domains
SIAM Journal on Control and Optimization | 2019-11-20 | Paper |
Constrained BSDEs driven by a non-quasi-left-continuous random measure and optimal control of PDMPs on bounded domains
SIAM Journal on Control and Optimization | 2019-11-20 | Paper |
BSDE representation and randomized dynamic programming principle for stochastic control problems of infinite-dimensional jump-diffusions
Electronic Journal of Probability | 2019-09-19 | Paper |
BSDE representation and randomized dynamic programming principle for stochastic control problems of infinite-dimensional jump-diffusions
Electronic Journal of Probability | 2019-09-19 | Paper |
Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem
Stochastic Processes and their Applications | 2019-01-25 | Paper |
Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach
The Annals of Applied Probability | 2018-08-16 | Paper |
Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function
ESAIM: Control, Optimisation and Calculus of Variations | 2018-08-02 | Paper |
Special weak Dirichlet processes and BSDEs driven by a random measure
Bernoulli | 2018-03-27 | Paper |
Special weak Dirichlet processes and BSDEs driven by a random measure
Bernoulli | 2018-03-27 | Paper |
Weak Dirichlet processes with jumps
Stochastic Processes and their Applications | 2017-11-09 | Paper |
Weak Dirichlet processes with jumps
Stochastic Processes and their Applications | 2017-11-09 | Paper |
Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes
Stochastic Processes and their Applications | 2017-05-18 | Paper |
Optimal control of semi-Markov processes with a backward stochastic differential equations approach
MCSS. Mathematics of Control, Signals, and Systems | 2017-04-28 | Paper |
Existence and uniqueness for backward stochastic differential equations driven by a random measure, possibly non quasi-left continuous
Electronic Communications in Probability | 2015-12-01 | Paper |
| Randomization method and backward SDEs for optimal control of partially observed path-dependent stochastic systems | 2015-11-30 | Paper |
Singular limit of BSDEs and optimal control of two scale systems with jumps in infinite dimensional spaces
(available as arXiv preprint) | N/A | Paper |
