Bruno Bouchard
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
2004/06/01 by Bruno Bouchard, Nizar Touzi · 6 citations
- Discrete-time approximation of decoupled Forward–Backward SDE with jumps
2007/04/24 by Bruno Bouchard, Romuald Elie, Romuald Élie · 3 citations
Economics, Econometrics and Finance · Decision Sciences · Mathematics · #Stochastic processes and financial applications #Risk and Portfolio Optimization #Statistical Methods and Inference
- First time to exit of a continuous Itô process: general moment estimates and L1-convergence rate for discrete time approximations
2013/07/16 by Bruno Bouchard, Stefan Geiß, Bouchard, Bruno +3 · 2 citations
Economics, Econometrics and Finance · Computer Science · Mathematics · #Stochastic processes and financial applications #Advanced Mathematical Modeling in Engineering #Stochastic processes and statistical mechanics
- Hedging of covered options with linear market impact and gamma constraint
2015/12/22 by Bruno Bouchard, Bouchard, B, Grégoire Loeper +3 · 1 citation
Economics, Econometrics and Finance · Social Sciences · #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Financial Markets and Investment Strategies #Insurance, Mortality, Demography, Risk Management #Probability (math.PR) #Stochastic processes and financial applications
- Diffusive limit approximation of pure-jump optimal stochastic control problems
2021/06/24 by Marc Abeille, Abeille, Marc, Bruno Bouchard +3 · 1 citation
Business, Management and Accounting · Decision Sciences · #Auction Theory and Applications #Consumer Market Behavior and Pricing #FOS: Mathematics #Optimization and Control (math.OC)
- Optimal Control with Expectation Constraint in a Smooth Boundary Case
2026/07/27 by Bruno Bouchard, Lucas Gnecco Heredia, Ludovic Moreau +1
#math.OC #q-fin.PM