14.2k citations
- Centre National de la Recherche ScientifiqueFR1.1k papers
- Institut de recherche mathématique de RennesFR519 papers
- Université Rennes 1FR408 papers
- Institut de Physique de RennesFR324 papers
- Institut de Recherche en Informatique et Systèmes AléatoiresFR228 papers
- Sorbonne UniversitéFR195 papers
- University of WarsawPL167 papers
- Observatoire de la Côte d’AzurFR165 papers
- University of Rome Tor VergataIT165 papers
- Université Paris-SaclayFR164 papers
- Massachusetts Institute of TechnologyUS162 papers
- California Institute of TechnologyUS161 papers
4 papers · 2 filters
Utility maximization in constrained and unbounded financial markets: Applications to indifference valuation, regime switching, consumption and Epstein-Zin recursive utility
Ying Hu, Gechun Liang, Shanjian Tang
This memoir presents a systematic study of the utility maximization problem of an investor in a constrained and unbounded financial market. Building upon the work of Hu et al. (200…
A bound on the 2-Wasserstein distance between linear combinations of independent random variables
Benjamin Arras, Ehsan Azmoodeh, Guillaume Poly +1
We provide a bound on a natural distance between finitely and infinitely supported elements of the unit sphere of , the space of real valued sequences with fi…
Reflected stochastic differential equations driven by -Brownian motion in non-convex domains
Yiqing Lin, Abdoulaye Soumana Hima
In this paper, we first review the penalization method for solving deterministic Skorokhod problems in non-convex domains and establish estimates for problems with -Hölder conti…
Kolmogorov Equations and Weak Order Analysis for SPDES with Nonlinear Diffusion Coefficient
Charles-Edouard Bréhier, Arnaud Debussche
We provide new regularity results for the solutions of the Kolmogorov equation associated to a SPDE with nonlinear diffusion coefficients and a Burgers type nonlinearity. This gene…