231 citations · 447 across the 35 of their papers we have counts for
25 papers · 1 filter
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…
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…
Understanding the dual formulation for the hedging of path-dependent options with price impact
Bruno Bouchard, Xiaolu Tan
We consider a general path-dependent version of the hedging problem with price impact of Bouchard et al. (2019), in which a dual formulation for the super-hedging price is obtained…
Second order stochastic target problems with generalized market impact
Bruno Bouchard, Grégoire Loeper, Halil Mete Soner +1
We extend the study of [7, 18] to stochastic target problems with general market impacts. Namely, we consider a general abstract model which can be associated to a fully nonlinear…
Numerical approximation of general Lipschitz BSDEs with branching processes
Bruno Bouchard, Xiaolu Tan, Xavier Warin
We extend the branching process based numerical algorithm of Bouchard et al. [3], that is dedicated to semilinear PDEs (or BSDEs) with Lipschitz nonlinearity, to the case where the…
Super-replication with proportional transaction cost under model uncertainty
Bruno Bouchard, Shuoqing Deng, Xiaolu Tan
We consider a discrete time financial market with proportional transaction cost under model uncertainty, and study a super-replication problem. We recover the duality results that…
Quenched mass transport of particles towards a target
Bruno Bouchard, Boualem Djehiche, Idris Kharroubi
We consider the stochastic target problem of finding the collection of initial laws of a mean-field stochastic differential equation such that we can control its evolution to ensur…
Stochastic invariance of closed sets with non-Lipschitz coefficients
Eduardo Abi Jaber, Bruno Bouchard, Camille Illand +1
This paper provides a new characterization of the stochastic invariance of a closed subset of R^d with respect to a diffusion. We extend the well-known inward pointing Stratonovich…
Optimal control under uncertainty and Bayesian parameters adjustments
N. Baradel, B. Bouchard, Ngoc Minh Dang
We propose a general framework for studying optimal impulse control problem in the presence of uncertainty on the parameters. Given a prior on the distribution of the unknown param…
Hedging of covered options with linear market impact and gamma constraint
B Bouchard, G Loeper, Y Zou
Within a financial model with linear price impact, we study the problem of hedging a covered European option under gamma constraint. Using stochastic target and partial differentia…
A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations
Bruno Bouchard, Dylan Possamaï, Xiaolu Tan +1
We provide a unified approach to a priori estimates for supersolutions of BSDEs in general filtrations, which may not be quasi left-continuous. Unlike the previous related approach…
A general Doob-Meyer-Mertens decomposition for -supermartingale systems
Bruno Bouchard, Dylan Possamaï, Xiaolu Tan
We provide a general Doob-Meyer decomposition for -supermartingale systems, which does not require any right-continuity on the system. In particular, it generalizes the Doob-Mey…
Regularity of BSDEs with a convex constraint on the gains-process
Bruno Bouchard, Romuald Elie, Ludovic Moreau
We consider the minimal super-solution of a backward stochastic differential equation with constraint on the gains-process. The terminal condition is given by a function of the ter…
A backward dual representation for the quantile hedging of Bermudan options
Bruno Bouchard, Jean-François Chassagneux, Géraldine Bouveret
Within a Markovian complete financial market, we consider the problem of hedging a Bermudan option with a given probability. Using stochastic target and duality arguments, we deriv…
Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions
Bruno Bouchard, Marcel Nutz
We study a class of stochastic target games where one player tries to find a strategy such that the state process almost-surely reaches a given target, no matter which action is ch…
First time to exit of a continuous Itô process: general moment estimates and L1-convergence rate for discrete time approximations
Bruno Bouchard, Stefan Geiss, Emmanuel Gobet
We establish general moment estimates for the discrete and continuous exit times of a general Itô process in terms of the distance to the boundary. These estimates serve as interme…
Portfolio management under risk contraints - Lectures given at MITACS-PIMS-UBC Summer School in Risk Management and Risk Sharing
Bruno Bouchard
The aim of these lectures at MITACS-PIMS-UBC Summer School in Risk Man- agement and Risk Sharing is to discuss risk controlled approaches for the pricing and hedging of financial r…
BSDEs with weak terminal condition
Bruno Bouchard, Romuald Elie, Anthony Réveillac
We introduce a new class of Backward Stochastic Differential Equations in which the -terminal value of the solution is not fixed as a random variable, but only s…
Strong Approximations of BSDEs in a domain
Bruno Bouchard, Stephane Menozzi
We study the strong approximation of a Backward SDE with finite stopping time horizon, namely the first exit time of a forward SDE from a cylindrical domain. We use the Euler schem…
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…
Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns
Bruno Bouchard, Huyên Pham
We consider a general discrete-time financial market with proportional transaction costs as in [Kabanov, Stricker and Rásonyi Finance and Stochastics 7 (2003) 403--411] and [Schach…
On the Hedging of American Options in Discrete Time Markets with Proportional Transaction Costs
Bruno Bouchard, Emmanuel Temam
In this note, we consider a general discrete time financial market with proportional transaction costs as in Kabanov and Stricker (2001), Kabanov et al. (2002), Kabanov et al. (200…
Explicit characterization of the super-replication strategy in financial markets with partial transaction costs
Imen Bentahar, Bruno Bouchard
We consider a multivariate financial market with transaction costs and study the problem of finding the minimal initial capital needed to hedge, without risk, European-type conting…
No-arbitrage in discrete-time markets with proportional transaction costs and general information structure
Bruno Bouchard
We discuss the no-arbitrage conditions in a general framework for discrete-time models of financial markets with proportional transaction costs and general information structure. W…