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Archives
6
Jul
On the Robustness of the Snell envelope
in Reports
Pierre Del Moral, Peng Hu, Nadia Oudjane, Bruno Remillard We analyze the robustness properties of the Snell envelope backward evolution equation for the discrete time optimal stopping problem. We consider ...
1
May
Nonzero-sum Stochastic Differential Games with Impulse Controls and Applications to Retail Energy Markets
in Reports
RR-Fime-16-05 Rene Aïd, Matteo Basei, Giorgia Callegaro, Luciano Campi, Tiziano Vargiolu We consider a singular control problem with regime switching that arises in problems of optimal investment decisions of cash-constrained ...
1
Apr
Numerical Approximation of a Cash-Constrained Firm Value with Investment Opportunities
in Reports
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 ...
1
Mar
Branching Diffusion Representation of Semilinear PDEs and Monte Carlo Approximation
in Reports
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 ...
1
Jan
On the Control of the Difference between two Brownian Motions: A Dynamic Copula Approach
in Reports
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 ...
1
Jan
Computing Expectations for General SDE with Pure Monte Carlo Methods
in Reports
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 ...
1
Sep
Stratified Regression Monte-Carlo Scheme For Semilinear PDES and BSDES with Large Scale Parallelization on GPUS
in Reports
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 ...
1
Apr
Probabilistic Representation of a Class of Non Conservative Nonlinear Partial Differential Equations
in Reports
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 ...
1
Feb
Strategic Capacity Investment under Hold-up Threats: The Role of Contract Length and Width
in Reports
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 ...
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