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math.PR2015
Some Results on Skorokhod Embedding and Robust Hedging with Local Time
Julien Claisse, Gaoyue Guo, Pierre Henry-Labordere
In this paper, we provide some results on Skorokhod embedding with local time and its applications to the robust hedging problem in finance. First we investigate the robust hedging…
math.PR2015
Optimal control of branching diffusion processes: a finite horizon problem
Julien Claisse
In this paper, we aim to develop the theory of optimal stochastic control for branching diffusion processes where both the movement and the reproduction of the particles depend on…
math.PR2015★ 2 cited
A pseudo-Markov property for controlled diffusion processes
Julien Claisse, Denis Talay, Xiaolu Tan
In this note, we propose two different approaches to rigorously justify a pseudo-Markov property for controlled diffusion processes which is often (explicitly or implicitly) used t…