Archives

RR-Fime-16-04 Erwan Pierre, Stéphane Villeneuve, Xavier Warin We consider a singular control problem with regime switching that arises in problems of optimal investment decisions of cash-constrained firms. The value function ...

RR-FiME-16-03 Pierre Henry-Labordère, Nadia Oudjane, Xiaolu Tan, Nizar Touzi, Xavier Warin We provide a representation result of parabolic semi-linear PD-Es, with polynomial nonlinearity, by branching diffusion processes. We extend the ...

RR-FiME-16-02 Thomas DESCHATRE We propose new copulae to model the dependence between two Brownian motions and to control the distribution of their difference. Our approach is based on the copula ...

RR-FIME-16-01 Mahamadou Doumbia, Nadia Oudjane, Xavier Warin We develop a pure Monte Carlo method to compute E(g(XT )) where g is a bounded and Lipschitz function and Xt an Ito ...

RR-FiME-15-04 E. GOBET, J. G. LOPEZ-SALAS, P. TURKEDJIEV, AND C. VAZQUEZ In this paper, we design a novel algorithm based on Least-Squares Monte Carlo (LSMC) in order to approximate the ...

RR-FiME-15-02 Anthony LECAVIL, Nadia OUDJANE and Francesco RUSSO We introduce a new class of nonlinear Stochastic Differential Equations in the sense ofMcKean, related to non conservative nonlinear Partial Differential equations ...

RR-FiME-15-05 Laure Durand-Viel and Bertrand Villeneuve We analyze the impact of the length of incomplete contracts on investment and surplus sharing. In the bilateral relationship explored, the seller controls the ...

RR-FiME-15-01 Corinne CHATON In this article, we focus on fuel poverty. More specifically, we analyse this phenomenon‟s dynamic by answering the following question: does France have a fuel poverty trap? ...

RR-FiME-15-03 Ivar Ekeland and Maurice Queyranne In open pit mining, one must dig a pit, that is, excavate the upper layers of ground before reaching the ore. The walls of ...

RR-FiME-15-06 Céline Grislain-Letrémy and Bertrand Villeneuve Urbanization in areas prone to natural hazards is massive and will grow. Economic analysis offers several tools to contain this phenomenon: insurance pricing in ...