Zobrazeno 1 - 10
of 469
pro vyhledávání: '"Bouchard Bruno"'
Publikováno v:
ESAIM: Proceedings and Surveys, Vol 65, Pp 145-181 (2019)
We model the behavior of three agent classes acting dynamically in a limit order book of a financial asset. Namely, we consider market makers (MM), high-frequency trading (HFT) firms, and institutional brokers (IB). Given a prior dynamic of the order
Externí odkaz:
https://doaj.org/article/80518ca30e5f4b838d4bf91906a67b3d
Publikováno v:
ESAIM: Proceedings and Surveys, Vol 65, Pp 309-329 (2019)
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 nonlinearity involves the gradient of the solution. As in [3], this r
Externí odkaz:
https://doaj.org/article/b2086f63863440d1b0bd30087ab780ae
Publikováno v:
ESAIM: Proceedings and Surveys, Vol 65, Pp I-I (2019)
Externí odkaz:
https://doaj.org/article/0a903739cbcb4b5c84a52d5f5d0d6057
Publikováno v:
ESAIM: Proceedings and Surveys, Vol 65, Pp 294-308x (2019)
We extend the viscosity solution characterization proved in [5] for call/put American option prices to the case of a general payoff function in a multi-dimensional setting: the price satisfies a semilinear reaction/diffusion type equation. Based on t
Externí odkaz:
https://doaj.org/article/92a7d34b164e4b19ad35df9d31a81776
Autor:
Bouchard, Bruno, Tan, Xiaolu
We study a class of linear parabolic path-dependent PDEs (PPDEs) defined on the space of c\`adl\`ag paths $x \in D([0,T])$, in which the coefficient functions at time $t$ depend on $x(t)$ and $\int_{0}^{t}x(s)dA_{s}$, for some (deterministic) continu
Externí odkaz:
http://arxiv.org/abs/2310.04308
We consider the Reinforcement Learning problem of controlling an unknown dynamical system to maximise the long-term average reward along a single trajectory. Most of the literature considers system interactions that occur in discrete time and discret
Externí odkaz:
http://arxiv.org/abs/2309.02815
We provide an It\^o's formula for $C^1$-functionals of flows of conditional marginal distributions of continuous semimartingales. This is based on the notion of weak Dirichlet process, and extends the $C^1$-It\^o's formula in Gozzi and Russo (2006) t
Externí odkaz:
http://arxiv.org/abs/2307.07165
Publikováno v:
ESAIM: Proceedings and Surveys, Vol 59, Pp I-II (2017)
Externí odkaz:
https://doaj.org/article/b099b39c289f4137bd2e7e3566a21d19
Motivated by the design of fast reinforcement learning algorithms, we study the diffusive limit of a class of pure jump ergodic stochastic control problems. We show that, whenever the intensity of jumps is large enough, the approximation error is gov
Externí odkaz:
http://arxiv.org/abs/2209.15284