62 citations · 133 across the 17 of their papers we have counts for
4 papers · 1 filter
HJB equations in infinite dimension with locally Lipschitz Hamiltonian and unbounded terminal condition
Federica Masiero, Adrien Richou
We study Hamilton Jacobi Bellman equations in an infinite dimensional Hilbert space, with Lipschitz coefficients, where the Hamiltonian has superquadratic growth with respect to th…
Large deviations for the Ornstein-Uhlenbeck process with shift
Bernard Bercu, Adrien Richou
We investigate the large deviation properties of the maximum likelihood estimators for the Ornstein-Uhlenbeck process with shift. We estimate simultaneously the drift and shift par…
Numerical simulation of quadratic BSDEs
Jean-François Chassagneux, Adrien Richou
This article deals with the numerical approximation of Markovian backward stochastic differential equations (BSDEs) with generators of quadratic growth with respect to and boun…
On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case
Freddy Delbaen, Ying Hu, Adrien Richou
In [3], the authors proved that uniqueness holds among solutions whose exponentials are with bigger than a constant ($p\textgreater{}γ$). In this paper, we consider t…