N. Touzi

activity

20052007

most citedMaturity randomization for stochastic control problems

30 citations · 69 across the 4 of their papers we have counts for

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Showing 2006 · math.PRShow all

2 papers · 2 filters

math.PR2006★ 30 cited

Maturity randomization for stochastic control problems

Bruno Bouchard, Nicole El Karoui, Nizar Touzi

We study a maturity randomization technique for approximating optimal control problems. The algorithm is based on a sequence of control problems with random terminal horizon which…

math.PR2006★ 21 cited

Small time path behavior of double stochastic integrals and applications to stochastic control

Patrick Cheridito, H. Mete Soner, Nizar Touzi

We study the small time path behavior of double stochastic integrals of the form $\int_{0}^{t} (\int_{0}^{r} b (u) d W (u))^{T} d W (r)$ , where $W$ is a $d$ -dimensional Brownian motion and $b$ is a…