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20022009
most citedA regression-based Monte Carlo method to solve backward stochastic differential equations

425 citations

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Showing 2007 · math.PRShow all

5 papers · 2 filters

math.PR2007★ 11 cited

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…

math.PR2007★ 123 cited

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…

math.PR2007★ 69 cited

Nonlinear SDEs driven by Lévy processes and related PDEs

Benjamin Jourdain, Sylvie Méléard, Wojbor Woyczynski

In this paper we study general nonlinear stochastic differential equations, where the usual Brownian motion is replaced by a Lévy process. We also suppose that the coefficient mult…

math.PR2007★ 3 cited

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,…

math.PR2007

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…