Category Publications

Feb
2010

Optimal Control under Stochastic Target Constraints

B. Bouchard, R. Elie, C. Imbert SIAM Journal on Control and Optimization 48, pp. 3501-3531 - Février 2010 Plus d'infos.

Dec
2009

Stochastic Target Problems with Controlled Loss

B. Bouchard, R. Elie, N. Touzi SIAM Journal on Control and Optimization 48(5), pp 3123-3150 - Décembre 2009 Plus d'infos.

Dec
2009

Option hedging under liquidity costs

U. Cetin, M. Soner, N. Touzi Finance and Stochastics 14, pp 317-341 - Décembre 2009 Plus d'infos.

Dec
2009

Gas Storage and Security of Supply

A. Creti, B. Villeneuve chapitre dans The Economics of Natural Gas Storage Décembre 2009 Plus d'infos.

Dec
2009

A real option approach to investing in the first nuclear power plant under cost uncertainty: the Tunisian case

M. B. Abdelhamid, C. Aloui, C. Chaton  International Journal of Oil, Gas and Coal Technology 2(1), pp 44-57 - Décembre 2009 Plus d'infos.

Nov
2009

Optimal features of gas transmission trunklines

J. André, J.F. Bonnans Optimization and Engineering 12(1-2), pp 175-198 - Novembre 2009 Plus d'infos.

Nov
2009

Convenience yield and commodity markets

D. Lautier Bankers, Markets & Investors 102, pp 59-66 - Novembre 2009 Plus d'infos.

Nov
2009

A Structural Risk Neutral Model of Electricity Prices

R. Aïd, L. Campi, A. Nguyen Huu, N. Touzi International Journal of Theoretical and Applied Finance 2(7) pp 925-947 - Novembre 2009 Plus d'infos.

Jun
2009

Valuation of a powerplant under production constraints and markets incompleteness

A. Porchet, N. Touzi, X. Warin Mathematical Methods of Operations research 70(1) pp 47-75 - Juin 2009 Plus d'infos.

May
2009

Large Scale Experiment and Optimization of a Distributed Stochastic Control Algorithm. Application to Energy Management Problems

P. Vezolle, S.Vialle, X.Warin Large-Scale Parallel Processing 2009 Mai 2009 Plus d'infos.

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