231 citations · 447 across the 35 of their papers we have counts for
45 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…
A -Itô's formula for flows of semimartingale distributions
Bruno Bouchard, Xiaolu Tan, Jixin Wang
We provide an Itô's formula for -functionals of flows of conditional marginal distributions of continuous semimartingales. This is based on the notion of weak Dirichlet proces…
Diffusive limit approximation of pure jump optimal ergodic control problems
Marc Abeille, Bruno Bouchard, Lorenzo Croissant
Motivated by the design of fast reinforcement learning algorithms, we study the diffusive limit of a class of pure jump ergodic stochastic control problems. We show that, whenever…
It{ô}-Dupire's formula for C^{0,1}-functionals of c{à}dl{à}g weak Dirichlet processes
Bruno Bouchard, Maximilien Vallet
We extend to c{à}dl{à}g weak Dirichlet processes the C^{0,1}-functional It{ô}-Dupire's formula of Bouchard, Loeper and Tan (2021). In particular, we provide sufficient conditions u…
Approximate viscosity solutions of path-dependent PDEs and Dupire's vertical differentiability
Bruno Bouchard, Grégoire Loeper, Xiaolu Tan
We introduce a notion of approximate viscosity solution for a class of nonlinear path-dependent PDEs (PPDEs), including the Hamilton-Jacobi-Bellman type equations. Existence, compa…
Diffusive limit approximation of pure-jump optimal stochastic control problems
Marc Abeille, Bruno Bouchard, Lorenzo Croissant
We consider the diffusive limit of a typical pure-jump Markovian control problem as the intensity of the driving Poisson process tends to infinity. We show that the convergence spe…