97 citations · 798 across the 62 of their papers we have counts for
6 papers · 1 filter
Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps
Idris Kharroubi, Nicolas Langrené, Huyên Pham
We propose a new probabilistic numerical scheme for fully nonlinear equation of Hamilton-Jacobi-Bellman (HJB) type associated to stochastic control problem, which is based on the F…
A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization
Idris Kharroubi, Nicolas Langrené, Huyên Pham
We propose a probabilistic numerical algorithm to solve Backward Stochastic Differential Equations (BSDEs) with nonnegative jumps, a class of BSDEs introduced in [9] for representi…
Dual and backward SDE representation for optimal control of non-Markovian SDEs
Marco Fuhrman, Huyên Pham
We study optimal stochastic control problem for non-Markovian stochastic differential equations (SDEs) where the drift, diffusion coefficients, and gain functionals are path-depend…
High frequency trading and asymptotics for small risk aversion in a Markov renewal model
Pietro Fodra, Huyên Pham
We study a an optimal high frequency trading problem within a market microstructure model designed to be a good compromise between accuracy and tractability. The stock price is dri…
Reflected BSDEs with nonpositive jumps, and controller-and-stopper games
Sébastien Choukroun, Andrea Cosso, Huyen Pham
We study a class of reflected backward stochastic differential equations with nonpositive jumps and upper barrier. Existence and uniqueness of a minimal solution is proved by a dou…
Semi Markov model for market microstructure
Pietro Fodra, Huyên Pham
We introduce a new model for describing the fluctuations of a tick-by-tick single asset price. Our model is based on Markov renewal processes. We consider a point process associate…