Zobrazeno 1 - 10
of 21
pro vyhledávání: '"Géraldine Bouveret"'
Publikováno v:
Operations Research Perspectives, Vol 9, Iss , Pp 100225- (2022)
The need for clean water is expected to substantially increase while further reductions of water availability in sufficient quantity and quality are projected owing to climate change and anthropogenic activities. Accordingly, the debate on water secu
Externí odkaz:
https://doaj.org/article/7114cab06a72413c9ab2e06b277b170e
Autor:
Géraldine Bouveret, Athena Picarelli
Publikováno v:
Journal of Optimization Theory and Applications. 186:779-805
We study a family of optimal control problems under a set of controlled-loss constraints holding at different deterministic dates. The characterization of the associated value function by a Hamilton-Jacobi-Bellman equation usually calls for additiona
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e5008d6fd27607ac2fc64c55003c408e
https://doi.org/10.1007/s10957-020-01724-8
https://doi.org/10.1007/s10957-020-01724-8
Autor:
Géraldine Bouveret, Antoine Mandel
Publikováno v:
Journal of Mathematical Economics
Journal of Mathematical Economics, Elsevier, 2021, 93, pp.102486. ⟨10.1016/j.jmateco.2021.102486⟩
Journal of Mathematical Economics, 2021, 93, pp.102486. ⟨10.1016/j.jmateco.2021.102486⟩
Journal of Mathematical Economics, Elsevier, 2021, 93, pp.102486. ⟨10.1016/j.jmateco.2021.102486⟩
Journal of Mathematical Economics, 2021, 93, pp.102486. ⟨10.1016/j.jmateco.2021.102486⟩
We investigate the containment of epidemic spreading in networks from a normative point of view. We consider a susceptible/infected model in which agents can invest in order to reduce the contagiousness of network links. In this setting, we study the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::65474b3780ac76766d7417db6ef8e8f6
Publikováno v:
SSRN Electronic Journal.
The need for clean water is expected to substantially increase while further reductions of water availability in sufficient quantity and quality are projected owing to climate change and anthropogenic activities. Accordingly, the debate on water secu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::32688ba1f2dbc5232a6df71fa9748292
https://doi.org/10.2139/ssrn.3640181
https://doi.org/10.2139/ssrn.3640181
Publikováno v:
Bouveret, G, Dumitrescu, R & Tankov, P 2020, ' Mean-field games of optimal stopping : a relaxed solution approach ', SIAM JOURNAL ON CONTROL AND OPTIMIZATION, vol. 58, no. 4, pp. 1795–1821 . https://doi.org/10.1137/18M1233480
We consider the mean-field game where each agent determines the optimal time to exit the game by solving an optimal stopping problem with reward function depending on the density of the state processes of agents still present in the game. We place ou
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8a200c598a63ad274b61b12a602629c6
http://arxiv.org/abs/1812.06196
http://arxiv.org/abs/1812.06196
Autor:
Jeremy McDaniels, Gerard Dericks, Lucas Kruitwagen, Alexander Pfeiffer, Ben Caldecott, Géraldine Bouveret, Daniel J. Tulloch
Publikováno v:
SSRN Electronic Journal.
Between 2005 and 2008 EU utilities were determined to embark on a major coal-plant construction programme. They announced plans to build 49 GW of new coal-fired power capacity, about 6.3% of total EU installed generating capacity. The majority of pro
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6ee2938c99e1efc32915c1a96cdb414d
https://doi.org/10.2139/ssrn.3019030
https://doi.org/10.2139/ssrn.3019030
Publikováno v:
Applied Mathematics & Optimization. 78:493-493
In a Markovian framework, we consider the problem of finding the minimal initial value of a controlled process allowing to reach a stochastic target with a given level of expected loss. This question arises typically in approximate hedging problems.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5cfd9c5af99e4ba20e8168e8006e8d8b
https://doi.org/10.1007/s00245-017-9438-9
https://doi.org/10.1007/s00245-017-9438-9
Publikováno v:
SIAM Journal on Financial Mathematics
SIAM Journal on Financial Mathematics, Society for Industrial and Applied Mathematics 2016, 7 (1), pp.215-235
SIAM Journal on Financial Mathematics, Society for Industrial and Applied Mathematics 2016, 7 (1), pp.215-235
International audience; Within a Markovian complete financial market, we consider the problem of hedging a Bermudan option with a given probability. Using stochastic target and duality arguments, we derive a backward numerical scheme for the Fenchel
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::06d6d17c20da459c82535de57ed0de1d
Autor:
Bouveret, Géraldine1 geraldine.bouveret@smithschool.ox.ac.uk, Chassagneux, Jean-François2 jean-francois.chassagneux@univ-paris-diderot.fr
Publikováno v:
Applied Mathematics & Optimization. Dec2018, Vol. 78 Issue 3, p493-493. 1p.
Autor:
Bouveret, Géraldine1 geraldine.bouveret@smithschool.ox.ac.uk, Chassagneux, Jean-François2 jean-francois.chassagneux@univ-paris-diderot.fr
Publikováno v:
Applied Mathematics & Optimization. Dec2018, Vol. 78 Issue 3, p469-491. 23p.