bruno bouchard

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TOUZI NizarEcole PolytechniqueVerified email at polytechnique.edu
Romuald ElieDeepmind & Université Gustave EiffelVerified email at u-pem.fr
Tan XiaoluThe Chinese University of Hong KongVerified email at cuhk.edu.hk
Marcel NutzDepartment of Statistics, Columbia UniversityVerified email at columbia.edu
Minh DangResearch Associate, John von Neumann Institute, VNU-HCMVerified email at jvn.edu.vn
Xavier WarinEDFVerified email at edf.fr
Gregoire LoeperBNP Paribas Global Markets, ParisVerified email at monash.edu
Huyên PHAMProfessor, Ecole PolytechniqueVerified email at polytechnique.edu
Dylan PossamaïFull Professor, ETH Zürich, MathematicsVerified email at math.ethz.ch
Nicolas BARADELINRIA - Ecole PolytechniqueVerified email at polytechnique.edu
Chao ZhouAssociate Professor at Department of Mathematics, National University of SingaporeVerified email at nus.edu.sg
Ivar EkelandProfessorVerified email at math.ubc.ca
Martin HerdegenAssociate Professor of Financial Mathematics, University of WarwickVerified email at warwick.ac.uk
Masaaki FukasawaOsaka UniversityVerified email at sigmath.es.osaka-u.ac.jp
Johannes Muhle-KarbeChair in Mathematical Finance, Imperial College LondonVerified email at imperial.ac.uk
charles-albert lehalleAbu Dhabi Investment AuthorityVerified email at lehalle.net
Sara BiaginiAssociate Professor of Mathematical Finance, LUISS G. Carli, RomeVerified email at luiss.it
Constantinos KardarasProfessor of Statistics, London School of EconomicsVerified email at lse.ac.uk
Cyril ImbertCNRS & ENSVerified email at math.cnrs.fr
Halil Mete SonerDepartment of Operations Research and Financial Engineering, Princeton UniversityVerified email at princeton.edu

bruno bouchard

Université Paris Dauphine - PSL

Verified email at ceremade.dauphine.fr - Homepage

Numerical probability stochastic control mathematical finance


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Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations B Bouchard, N Touzi Stochastic Processes and their applications 111 (2), 175-206, 2004	715	2004
Arbitrage and duality in nondominated discrete-time models B Bouchard, M Nutz	269	2015
Weak dynamic programming principle for viscosity solutions B Bouchard, N Touzi SIAM Journal on Control and Optimization 49 (3), 948-962, 2011	248	2011
Discrete-time approximation of decoupled forward–backward SDE with jumps B Bouchard, R Elie Stochastic Processes and their Applications 118 (1), 53-75, 2008	198	2008
Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods B Bouchard, X Warin Numerical Methods in Finance: Bordeaux, June 2010, 215-255, 2012	171	2012
On the Malliavin approach to Monte Carlo approximation of conditional expectations B Bouchard, I Ekeland, N Touzi Finance and Stochastics 8, 45-71, 2004	136	2004
Stochastic target problems with controlled loss B Bouchard, R Elie, N Touzi SIAM Journal on Control and Optimization 48 (5), 3123-3150, 2010	133	2010
Optimal control of trading algorithms: a general impulse control approach B Bouchard, NM Dang, CA Lehalle SIAM Journal on financial mathematics 2 (1), 404-438, 2011	111	2011
Robust fundamental theorem for continuous processes S Biagini, B Bouchard, C Kardaras, M Nutz Mathematical Finance 27 (4), 963-987, 2017	103	2017
Optimal control under stochastic target constraints B Bouchard, R Elie, C Imbert SIAM Journal on Control and Optimization 48 (5), 3501-3531, 2010	103	2010
Wealth-path dependent utility maximization in incomplete markets B Bouchard, H Pham Finance and Stochastics 8, 579-603, 2004	86	2004
Discrete-time approximation for continuously and discretely reflected BSDEs B Bouchard, JF Chassagneux Stochastic Processes and their Applications 118 (12), 2269-2293, 2008	81	2008
Weak dynamic programming for generalized state constraints B Bouchard, M Nutz SIAM Journal on Control and Optimization 50 (6), 3344-3373, 2012	73	2012
A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations B Bouchard, D Possamaï, X Tan, C Zhou	60	2018
Discrete-time approximation of BSDEs and probabilistic schemes for fully nonlinear PDEs B Bouchard, R Elie, N Touzi Advanced financial modelling 8, 91-124, 2009	58	2009
A stochastic target formulation for optimal switching problems in finite horizon B Bouchard Stochastics: An International Journal of Probability and Stochastics …, 2009	57	2009
Dual formulation of the utility maximization problem: The case of nonsmooth utility B Bouchard, N Touzi, A Zeghal	56	2004
Explicit solution to the multivariate super-replication problem under transaction costs B Bouchard, N Touzi Annals of Applied Probability, 685-708, 2000	52	2000
Equilibrium returns with transaction costs B Bouchard, M Fukasawa, M Herdegen, J Muhle-Karbe Finance and Stochastics 22, 569-601, 2018	50	2018
Maturity randomization for stochastic control problems B Bouchard, N El Karoui, N Touzi	46	2005

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