Zobrazeno 1 - 10
of 166
pro vyhledávání: '"Popier, A."'
The classical optimal trading problem is the closure of a position in an asset over a time interval; the trader maximizes an expected utility under the constraint that the position be fully closed by terminal time. Since the asset price is stochastic
Externí odkaz:
http://arxiv.org/abs/2308.02276
Publikováno v:
In Journal of Mathematical Analysis and Applications 1 March 2025 543(1)
We study a class of nonlinear BSDEs with a superlinear driver process f adapted to a filtration F and over a random time interval [[0, S]] where S is a stopping time of F. The terminal condition $\xi$ is allowed to take the value +$\infty$, i.e., sin
Externí odkaz:
http://arxiv.org/abs/2011.05200
We consider Cauchy problem for a divergence form second order parabolic operator with rapidly oscillating coefficients that are periodic in spatial variable and random stationary ergodic in time. As was proved in [25] and [13] in this case the homoge
Externí odkaz:
http://arxiv.org/abs/2010.00240
Autor:
Popier, Alexandre
In this paper, we study backward stochastic Volterra integral equations introduced in [26, 45] and extend the existence, uniqueness or comparison results for general filtration as in [31] (not only Brownian-Poisson setting). We also consider Lp-data
Externí odkaz:
http://arxiv.org/abs/2002.06992
We consider a class of Backward Stochastic Differential Equations with superlinear driver process $f$ adapted to a filtration supporting at least a $d$ dimensional Brownian motion and a Poisson random measure on ${\mathbb R}^m- \{0\}.$ We consider th
Externí odkaz:
http://arxiv.org/abs/1911.07016
We consider the generic divergence form second order parabolic equation with coefficients that are regular in the spatial variables and just measurable in time. We show that the spatial derivatives of its fundamental solution admit upper bounds that
Externí odkaz:
http://arxiv.org/abs/1906.07604
Asymptotic approach for backward stochastic differential equation with singular terminal condition *
Autor:
Graewe, Paulwin, Popier, Alexandre
In this paper, we provide a one-to-one correspondence between the solution Y of a BSDE with singular terminal condition and the solution H of a BSDE with singular generator. This result provides the precise asymptotic behavior of Y close to the final
Externí odkaz:
http://arxiv.org/abs/1906.05154
We use the functional It{\^o} calculus to prove that the solution of a BSDE with singular terminal condition is continuous at the terminal time. Hence we extend known results for a non-Markovian terminal condition.
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Externí odkaz:
http://arxiv.org/abs/1903.03464
We consider a mean field game (MFG) of optimal portfolio liquidation under asymmetric information. We prove that the solution to the MFG can be characterized in terms of a FBSDE with possibly singular terminal condition on the backward component or,
Externí odkaz:
http://arxiv.org/abs/1804.04911