Category Publications

Feb
2011

Wellposedness of second order backward SDEs

M. Soner, N. Touzi et J. Zhang Probability Theory and Related Fields Février 2011 Plus d'infos.

Feb
2011

Stochastic representation of G-martingales

M. Soner, N. Touzi, J. Zhang Stochastic Processes and their Applications 121(2), pp 265-287 - Février 2011 Plus d'infos.

Feb
2011

A note on existence and uniqueness for solutions of multidimensional reflected BSDEs

J.-F. Chassagneux, R. Elie, I. Kharroubi Electronic Communications in Probability 16, pp 120-128 - Février 2011 Plus d'infos.

Dec
2010

Snell envelope with path dependent multiplicative optimality criteria

P. Del Moral, N. Oudjane soumis Décembre 2010

Sep
2010

Probabilistic representation and approximation for coupled systems of variational inequalities

R. Elie, I. Kharroubi Statistics and Probability letters 80 (17-18) pp 1388-1396 - Septembre 2010 Plus d'infos.

Sep
2010

Merger remedies and industry restructuring : A Case for Affirmative Action

B. Villeneuve, V. Yanhua Zhang  soumis Septembre 2010

Aug
2010

Market Design for Emissions Markets Trading Schemes

R. Carmona, M. Fehr, J. Hinz, A. Porchet SIAM Review 52, pp. 403-452 - Août 2010 Plus d'infos.

Jul
2010

Structure and estimation of a class of non stationary yet non explosive GARCH

N. Regnard, J.-M. Zakoïan Journal of Time Series Analysis 31(5) pp 348–364 - Juillet 2010 Plus d'infos.

Jun
2010

The VaR at Risk

A. Galichon International Journal on Theoretic and Applied Finance 23(4), pp 503-506 - Juin 2010 Plus d'infos.

Jun
2010

Equilibrium Storage in a Markov Economy,

A. Creti, B. Villeneuve  soumis Juin 2010

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