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7 papers · 2 filters
On the uniqueness of solutions to quadratic BSDEs with non-convex generators
Philippe Briand, Adrien Richou
In this paper we prove some uniqueness results for quadratic backward stochastic differential equations without any convexity assumptions on the generator. The bounded case is revi…
On the expected total reward with unbounded returns for Markov decision processes
François Dufour, Alexandre Genadot
We consider a discrete-time Markov decision process with Borel state and action spaces. The performance criterion is to maximize a total expected {utility determined by unbounded r…
Gradient Estimates on Dirichlet Eigenfunctions
Marc Arnaudon, Anton Thalmaier, Feng-Yu Wang
By methods of stochastic analysis on Riemannian manifolds, we derive explicit constants and for a -dimensional compact Riemannian manifold with boundary…
Obliquely Reflected BSDEs
Jean-François Chassagneux, Adrien Richou
In this paper, we study existence and uniqueness to multidimensional Reflected Backward Stochastic Differential Equation in an open convex domain, allowing for oblique directions o…
A martingale approach for the elephant random walk
Bernard Bercu
The purpose of this paper is to establish, via a martingale approach, some refinements on the asymptotic behavior of the one-dimensional elephant random walk (ERW). The asymptotic…
Probabilistic and Piecewise Deterministic models in Biology
Bertrand Cloez, Renaud Dessalles, Alexandre Genadot +3
We present recent results on Piecewise Deterministic Markov Processes (PDMPs), involved in biological modeling. PDMPs, first introduced in the probabilistic literature by Davis (19…