1 citations · 1 across the 1 of their papers we have counts for
4 papers
Asymptotic decomposition of solutions to parabolic equations with a random microstructure
Marina Kleptsyna, Andrey Piatnitski, Alexandre Popier
We consider a Cauchy problem for a divergence form second order parabolic operator with rapidly oscillating coefficients that are periodic in spatial variables and random stationar…
Time discretization of BSDEs with singular terminal condition using asymptotic expansion
Thomas Kruse, Julia Ackermann, Alexandre Popier
We consider a class of backward stochastic differential equations (BSDEs) with singular terminal condition and develop a numerical scheme to approximate their solution. To this end…
Homogenization of nonlocal equations in randomly evolving media. Diffusion approximation
Marina Kleptsyna, Andrey Piatnitski, Alexandre Popier
The paper deals with homogenization and higher order approximations of solutions to nonlocal evolution equations of convolution type whose coefficients are periodic in the spatial…
Matrix Riccati BSDEs with singular terminal condition and stochastic LQ control with linear terminal constraint
Julia Ackermann, Thomas Kruse, Petr Petrov +1
We analyze a class of multidimensional linear-quadratic stochastic control problems with random coefficients, motivated by multi-asset optimal trade execution. The problems feature…