26 citations · 26 across the 4 of their papers we have counts for
6 papers
Optimal Control with Expectation Constraint in a Smooth Boundary Case
Bruno Bouchard, Lucas Gnecco Heredia, Ludovic Moreau +1
As in Bouchard et al. (2010) and Bouchard and Nutz (2014), we study a utility maximization problem with expectation constraint. We first consider a uniformly elliptic case in which…
On a class of path-dependent singular stochastic control problems
Romuald Elie, Ludovic Moreau, Dylan Possamaï
This paper studies a class of nonMarkovian singular stochastic control problems, for which we provide a novel probabilistic representation. The solution of such control problem…
Regularity of BSDEs with a convex constraint on the gains-process
Bruno Bouchard, Romuald Elie, Ludovic Moreau
We consider the minimal super-solution of a backward stochastic differential equation with constraint on the gains-process. The terminal condition is given by a function of the ter…
Trading with Small Price Impact
Ludovic Moreau, Johannes Muhle-Karbe, H. Mete Soner
An investor trades a safe and several risky assets with linear price impact to maximize expected utility from terminal wealth. In the limit for small impact costs, we explicitly de…
Hedging under an expected loss constraint with small transaction costs
Bruno Bouchard, Ludovic Moreau, Mete H. Soner
We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is very costly in such markets, we replace perfect hedging with a…
Stochastic target games with controlled loss
Bruno Bouchard, Ludovic Moreau, Marcel Nutz
We study a stochastic game where one player tries to find a strategy such that the state process reaches a target of controlled-loss-type, no matter which action is chosen by the o…