64 citations · 133 across the 20 of their papers we have counts for
3 papers · 1 filter
Stochastic regularization effects of semi-martingales on random functions
Romain Duboscq, Anthony Réveillac
In this paper we address an open question formulated in [17]. That is, we extend the It{ô}-Tanaka trick, which links the time-average of a deterministic function f depending on a s…
Utility maximization with random horizon: a BSDE approach
Monique Jeanblanc, Thibaut Mastrolia, Dylan Possamaï +1
In this paper we study a utility maximization problem with random horizon and reduce it to the analysis of a specific BSDE, which we call BSDE with singular coefficients, when the…
A note on the Malliavin-Sobolev spaces
Peter Imkeller, Thibaut Mastrolia, Dylan Possamaï +1
In this paper, we provide a strong formulation of the stochastic G{â}teaux differentiability in order to study the sharpness of a new characterization, introduced in [6], of the Ma…