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math.PR2021★ 2 cited
A -functional Itô's formula and its applications in mathematical finance
Bruno Bouchard, Grégoire Loeper, Xiaolu Tan
Using Dupire's notion of vertical derivative, we provide a functional (path-dependent) extension of the Itô's formula of Gozzi and Russo (2006) that applies to C^{0,1}-functions of…
math.PR2014
Regularity of BSDEs with a convex constraint on the gains-process
Bruno Bouchard, Romuald Elie, Ludovic Moreau
We consider the minimal super-solution of a backward stochastic differential equation with constraint on the gains-process. The terminal condition is given by a function of the ter…