Mathematics – Optimization and Control
Scientist
Mathematics
Optimization and Control
Scientist
PMA, CREST
CREST, CEREMADE
LPMA, CREST
PMA, Crest
A decomposition approach for the discrete-time approximation of FBSDEs with a jump I : the Lipschitz case
Adding constraints to BSDEs with Jumps: an alternative to multidimensional reflections
Backward SDEs with constrained jumps and quasi-variational inequalities
Optimal investment under multiple defaults risk: a BSDE-decomposition approach
Optimal portfolio liquidation with execution cost and risk
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