231 citations · 447 across the 35 of their papers we have counts for
3 papers · 2 filters
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…