| Publication | Date of Publication | Type |
|---|
Optimal management and valuation of a natural resource: the case of optimal harvesting
Probability in the Engineering and Informational Sciences | 2025-06-30 | 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 |
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 |
Discretization and Machine Learning Approximation of BSDEs with a Constraint on the Gains-Process
(available as arXiv preprint) | 2020-01-01 | Paper |
Optimal exploitation of a resource with stochastic population dynamics and delayed renewal
Journal of Mathematical Analysis and Applications | 2019-07-30 | Paper |
Indifference fee rate for variable annuities
Applied Mathematical Finance | 2018-09-06 | Paper |
Some existence results for advanced backward stochastic differential equations with a jump time
ESAIM: Proceedings and Surveys | 2018-03-07 | Paper |
Optimal Exploitation of a Resource with Stochastic Population Dynamics and Delayed Renewal
(available as arXiv preprint) | 2018-01-01 | Paper |
Portfolio optimization in a default model under full/partial information
Probability in the Engineering and Informational Sciences | 2017-09-19 | Paper |
Optimization problem under change of regime of interest rate
Stochastics and Dynamics | 2016-08-23 | 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 |
Progressive enlargement of filtrations and backward stochastic differential equations with jumps
Journal of Theoretical Probability | 2014-11-17 | Paper |
Mean-variance hedging on uncertain time horizon in a market with a jump
Applied Mathematics and Optimization | 2014-03-24 | Paper |
Bid-Ask Spread Modelling, a Perturbation Approach
Seminar on Stochastic Analysis, Random Fields and Applications VII | 2014-02-19 | Paper |
| A decomposition approach for the discrete-time approximation of BSDEs with a jump II: the quadratic case | 2012-11-27 | Paper |
Exponential utility maximization in an incomplete market with defaults
Electronic Journal of Probability | 2012-06-22 | Paper |
A decomposition approach for the discrete-time approximation of BSDEs with a jump II: the quadratic case
(available as arXiv preprint) | 2012-01-01 | Paper |
| A decomposition approach for the discrete-time approximation of FBSDEs with a jump I : the Lipschitz case | 2011-03-15 | Paper |
A decomposition approach for the discrete-time approximation of FBSDEs with a jump I : the Lipschitz case
(available as arXiv preprint) | 2011-01-01 | Paper |
