1 citations · 1 across the 2 of their papers we have counts for
2 papers
math.PR2015
Probabilistic representation of a class of non conservative nonlinear Partial Differential Equations
Anthony Lecavil, Nadia Oudjane, Francesco Russo
We introduce a new class of nonlinear Stochastic Differential Equations in the sense of McKean, related to non conservative nonlinear Partial Differential equations (PDEs). We disc…
q-fin.PR2013★ 1 cited
Variance optimal hedging for continuous time additive processes and applications
Stéphane Goutte, Nadia Oudjane, Francesco Russo
For a large class of vanilla contingent claims, we establish an explicit Föllmer-Schweizer decomposition when the underlying is an exponential of an additive process. This allows t…