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Bouchard B.No-arbitrage in discrete-time markets with proportional transaction costs and general information structure
Gobet E., Pagès G., Pham H., Printems J.Discretization and simulation for a class of SPDEs with applications to Zakai and McKean-Vlasov equationsSIAM Journal on Numerical Analysis, 2006, 44, 2505-2538.
Carassus L., Rasonyi M.Optimal strategies and utility-based prices converge when agents' preferences do.
Pagès G.A two armed bandit type problem revisited.
Carassus L. & Rasonyi M.Convergence of utility indifference prices to the superreplication price.
Luschgy H. & Pagès G.Functional quantization and metric entropy for Riemann-Liouville processes.
Graf S., Luschgy H., Pagès G.Optimal quantizers for Radon random vectors in a Banach space.
Ly Vath V., Pham H.Explicit solution to an optimal switching problem in the two regimes case.SIAM Journal on Control and Optimization, 2007, 395-426.
Sellami AQuantization based filtering method using first order approximation.
Pham H.On some recent aspects of stochastic control and their applications.Probability surveys, 2005, 2, 506-549
Ly Vath V., Mnif M., Pham H.A model of optimal portfolio selection under liquidity risk and price impact.Finance and Stochastics, 2007, 11, 51-90
Lamberton D., Pagès G.How fast is the bandit ?
Lamberton D., Pagès G.A penalized bandit algorithm
Bruder B.Super-replication of European options with a derivative asset under constrained finite variation strategies.
Sellami A.Comparative survey on non linear filtering methods : the quantization and the particle filtering approaches.
Luschgy H., Pagès G.High-resolution product quantization for Gaussian processes under sup-norm distortion.
Bouchard B., Elie R.Discrete time approximation of decoupled Forward-Backward SDE with jumps.
/var/www/wikis/mathfipronum/data/pages/preprints/2005.txt · Dernière modification: 2013/02/17 16:17 (modification externe)