61 citations · 110 across the 9 of their papers we have counts for
4 papers · 1 filter
Birth Death Swap population in random environment and aggregation with two timescales
Sarah Kaakai, Nicole El Karoui
This paper deals with the stochastic modeling of a class of heterogeneous population in a random environment, called birth-death-swap. In addition to demographic events, swap event…
Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
Pauline Barrieu, Nicole El Karoui
In this paper, we study the stability and convergence of some general quadratic semimartingales. Motivated by financial applications, we study simultaneously the semimartingale and…
An Exact Connection between two Solvable SDEs and a Nonlinear Utility Stochastic PDE
Nicole El Karoui, Mohamed Mrad
Motivated by the work of Musiela and Zariphopoulou \cite{zar-03}, we study the Itô random fields which are utility functions for any . The main tool is the marginal…
On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation
Laurent Carraro, Nicole El Karoui, Jan Obłój
We study the class of Azéma-Yor processes defined from a general semimartingale with a continuous running maximum process. We show that they arise as unique strong solutions of the…