5 papers · 1 filter
Singular Backward SDEs for Optimal Control with State Constraints
Mathieu Lise, Nizar Touzi
We investigate a class of backward stochastic differential equations (BSDEs) with at most quadratic growth which explode at a possibly unbounded random horizon, defined through the…
Path-Dependent Ergodic Optimal Control and Backward Stochastic Differential Equations
Xuyang Lin, Mathieu Lise, Nizar Touzi
We investigate a new class of infinite-horizon backward stochastic differential equations for ergodic optimal control where the cost and state dynamics are time and path-dependent.…
Bridging Schrödinger and Bass: A Semimartingale Optimal Transport Problem with Diffusion Control
Pierre Henry-Labordere, Grégoire Loeper, Othmane Mazhar +2
We study a semimartingale optimal transport problem interpolating between the Schrödinger bridge and the stretched Brownian motion associated with the Bass solution of the Skorokho…
A PDE Derivation of the Schrödinger--Bass Bridge
Alexandre Alouadi, Pierre Henry-Labordère, Grégoire Loeper +3
This short paper announces the main results of \cite{SBB2026}, where the Schrödinger--Bass Bridge (SBB) problem is introduced and studied in full generality. Here we provide a dire…
Branching diffusion representation for nonlinear Cauchyproblems and Monte Carlo approximation
Pierre Henry-Labordere, Nizar Touzi
We provide a probabilistic representations of the solution of some semilinear hyperbolicand high-order PDEs based on branching diffusions. These representations pave theway for a M…