Add to ORKGAn optimal stopping problem for stochastic differential equations with random coefficients is con-sidered. Dynamic programming principle leads to a Hamiltion-Jacobi-Bellman equation which, for the current case, is a backward stochastic partial differential variational inequality (BSPDVI, for short) for the value function. Well-posedness of such a BSPDVI is established and a verification theorem is proved
We study an optimal control problem on infinite horizon for a controlled stochastic differential equ...
International audienceIn the first part of the paper, we study reflected backward stochastic differe...
International audienceWe study the optimal stopping problem for a monotonous dynamic riskmeasure ind...
An optimal stopping problem for stochastic differential equations with random coefficients is consid...
This paper considers the computational issue of the optimal stop-ping problem for the stochastic fun...
We study an optimal stopping problem for a stochastic differential equation with delay driven by a L...
We study an optimal stopping problem for a stochastic differential equation with delay driven by a L...
We consider a class of backward stochastic differential equations (BSDEs) driven by Brownian motion ...
We consider a non-Markovian optimal stopping problem on finite horizon. We prove that the value proc...
We study a class of backward stochastic differential equations (BSDEs) driven by a random measure or...
This paper is concerned with a linear-quadratic (LQ, for short) optimal control problem for backward...
In this paper, we consider BSDEs with a Lipschitz coefficient reflected on one discontinuous (r.c.l....
The objective of this study is to provide an alternative characterization of the optimal value funct...
We study an optimal stopping problem for a stochastic differential equation with delay driven by a L...
We consider a general class of stochastic optimal control problems, where the state process lives in...
We study an optimal control problem on infinite horizon for a controlled stochastic differential equ...
International audienceIn the first part of the paper, we study reflected backward stochastic differe...
International audienceWe study the optimal stopping problem for a monotonous dynamic riskmeasure ind...
An optimal stopping problem for stochastic differential equations with random coefficients is consid...
This paper considers the computational issue of the optimal stop-ping problem for the stochastic fun...
We study an optimal stopping problem for a stochastic differential equation with delay driven by a L...
We study an optimal stopping problem for a stochastic differential equation with delay driven by a L...
We consider a class of backward stochastic differential equations (BSDEs) driven by Brownian motion ...
We consider a non-Markovian optimal stopping problem on finite horizon. We prove that the value proc...
We study a class of backward stochastic differential equations (BSDEs) driven by a random measure or...
This paper is concerned with a linear-quadratic (LQ, for short) optimal control problem for backward...
In this paper, we consider BSDEs with a Lipschitz coefficient reflected on one discontinuous (r.c.l....
The objective of this study is to provide an alternative characterization of the optimal value funct...
We study an optimal stopping problem for a stochastic differential equation with delay driven by a L...
We consider a general class of stochastic optimal control problems, where the state process lives in...
We study an optimal control problem on infinite horizon for a controlled stochastic differential equ...
International audienceIn the first part of the paper, we study reflected backward stochastic differe...
International audienceWe study the optimal stopping problem for a monotonous dynamic riskmeasure ind...