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6 papers · 2 filters
Age-structured Trait Substitution Sequence Process and Canonical Equation
Sylvie Méléard, Viet Chi Tran
We are interested in a stochastic model of trait and age-structured population undergoing mutation and selection. We start with a continuous time, discrete individual-centered popu…
A large deviation approach to optimal transport
Christian Léonard
A probabilistic method for solving the Monge-Kantorovich mass transport problem on is introduced. A system of empirical measures of independent particles is built in such a w…
Pricing, Hedging and Optimally Designing Derivatives Via Minimization of Risk Measures
Pauline Barrieu, Nicole El Karoui
The question of pricing and hedging a given contingent claim has a unique solution in a complete market framework. When some incompleteness is introduced, the problem becomes howev…
Measurability of optimal transportation and convergence rate for Landau type interacting particle systems
Joaquin Fontbona, Helene Guerin, Sylvie Meleard
In this paper, we consider nonlinear diffusion processes driven by space-time white noises, which have an interpretation in terms of partial differential equations. For a specific…
Rate of Converrgence for ergodic continuous Markov processes : Lyapunov versus Poincare
Dominique Bakry, Patrick Cattiaux, Arnaud Guillin
We study the relationship between two classical approaches for quantitative ergodic properties : the first one based on Lyapunov type controls and popularized by Meyn and Tweedie,…
Bid-Ask Dynamic Pricing in Financial Markets with Transaction Costs and Liquidity Risk
Jocelyne Bion-Nadal
We introduce, in continuous time, an axiomatic approach to assign to any financial position a dynamic ask (resp. bid) price process. Taking into account both transaction costs and…