360 citations · 362 across the 5 of their papers we have counts for
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Quasilinear Stochastic PDEs with two obstacles: Probabilistic approach
Laurent Denis, Anis Matoussi, Jing Zhang
We prove an existence and uniqueness result for two-obstacle problem for quasilinear Stochastic PDEs (DOSPDEs for short). The method is based on the probabilistic interpretation of…
The existence and uniqueness result for Quasilinear Stochastic PDEs with Obstacle under weaker integrability conditions
Laurent Denis, Anis Matoussi, Jing Zhang
We prove an existence and uniqueness result for quasilinear Stochastic PDEs with Obstacle (in short OSPDE) under a weaker integrability condition on the coefficient and the barrier…
Drichlet forms for Poisson measures and Lévy processes : the lent particle method
Nicolas Bouleau, Laurent Denis
We present a new approach to absolute continuity of laws of Poisson functionals. The theoretical framework is that of local Dirichlet forms as a tool to study probability spaces. T…
Iteration of the lent particle method for existence of smooth densities of Poisson functionals
Nicolas Bouleau, Laurent Denis
In previous works we have introduced a new method called the lent particle method which is an efficient tool to establish existence of densities for Poisson functionals. We now go…
Energy image density property and the lent particle method for Poisson measures
Nicolas Bouleau, Laurent Denis
We introduce a new approach to absolute continuity of laws of Poisson functionals. It is based on the {\it energy image density} property for Dirichlet forms and on what we call {\…
A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
Laurent Denis, Claude Martini
The aim of this work is to evaluate the cheapest superreplication price of a general (possibly path-dependent) European contingent claim in a context where the model is uncertain.…