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30 documents ordered by : Date Title first author name document type Submit date

1 - 2

Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE Kharroubi I. et al [hal-00761057 - version 1] (04/12/2012)

A probabilistic numerical method for optimal multiple switching problem and application to investments in electricity generation Aïd R. et al [hal-00747229 - version 1] (30/10/2012)

Smooth-fit principle for a degenerate two-dimensional singular stochastic control problem arising in irreversible investment Federico S. et al [hal-00676352 - version 1] (2012-03-05)

Time discretization and quantization methods for optimal multiple switching problem Paul G. et al [hal-00626258 - version 1] (24/09/2011)

Investment/consumption problem in illiquid markets with regimes switching Gassiat P. et al [hal-00610214 - version 1] (21/07/2011)

Optimal High Frequency Trading with limit and market orders Guilbaud F. et al [hal-00603385 - version 1] (24/06/2011)

Optimal investment under multiple defaults risk: a BSDE-decomposition approach Jiao Y. et al Research report [hal-00569230 - version 1]

Swing Options Valuation:a BSDE with Constrained Jumps Approach Bernhart M. et al [hal-00553356 - version 1] (2011-01-07)

Numerical methods for an optimal order execution problem Guilbaud F. et al [hal-00489069 - version 1] (03/06/2010)

Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management Pham H. [hal-00443874 - version 1] (04/01/2010)

Optimal portfolio liquidation with execution cost and risk Kharroubi I. et al SIAM Journals 1 (2010) 897-931 [hal-00394997 - version 1]

Optimal investment on finite horizon with random discrete order flow in illiquid markets Gassiat P. et al [hal-00403881 - version 1] (2009-07-13)

Optimal investment with counterparty risk: a default-density modeling approach Jiao Y. et al [hal-00365499 - version 1] (2009-03-03)

Optimal consumption policies in illiquid markets Cretarola A. et al [hal-00292673 - version 1] (02/07/2008)

Backward SDEs with constrained jumps and Quasi-Variational Inequalities Kharroubi I. et al [hal-00283407 - version 1] (29/05/2008)