1 citations · 1 across the 4 of their papers we have counts for
6 papers
Limit theory for mean-field control problems with common noise adapted controls
Bruno Bouchard, Xiaolu Tan
We consider a mean-field control problem in which admissible controls are required to be adapted to the common noise filtration. The main objective is to show how the mean-field co…
Unbiased simulation of Asian options
Bruno Bouchard, Xiaolu Tan
We provide an extension of the unbiased simulation method for SDEs developed in Henry-Labordere et al. [Ann Appl Probab. 27:6 (2017) 1-37] to a class of path-dependent dynamics, pe…
On the regularity of solutions of some linear parabolic path-dependent PDEs
Bruno Bouchard, Xiaolu Tan
We study a class of linear parabolic path-dependent PDEs (PPDEs) defined on the space of càdlàg paths , in which the coefficient functions at time depend on $x(…
Near-continuous time Reinforcement Learning for continuous state-action spaces
Lorenzo Croissant, Marc Abeille, Bruno Bouchard
We consider the Reinforcement Learning problem of controlling an unknown dynamical system to maximise the long-term average reward along a single trajectory. Most of the literature…
Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view
Bruno Bouchard, Ki Chau, Arij Manai +1
We extend the viscosity solution characterization proved in [5] for call/put American option prices to the case of a general payoff function in a multi-dimensional setting: the pri…
Optimal trading with online parameters revisions
N Baradel, B Bouchard, Ngoc Minh Dang
The aim of this paper is to explain how parameters adjustments can be integrated in the design or the control of automates of trading. Typically, we are interested by the online es…