Add to ORKGRoot’s solution of the Skorokhod embedding problem, free boundary PDEs and model-independent bounds on options on variance we propose an approach with viscosity solutions. Besides extending the previous results, it gives a link with reflected FBSDEs as introduced by El Karoui et. al. (1997) and allows for easy convergence proofs of numerical schemes via the Barles–Souganidis (1991) method. 1
We prove the existence of a unique viscosity solution to certain systems of fully nonlinear paraboli...
We give a probabilistic interpretation of the viscosity solutions of parabolic integrodif-ferential ...
In this paper, by a probabilistic approach we prove that there exists a unique viscosity solution to...
We revisit work of Rost (1976), Dupire (2005) and Cox-Wang (2013) on connections between Root's solu...
Root's solution (Root [1969]) to the Skorokhod embedding problem can be described as the first hitti...
Recent work of Dupire and Carr and Lee has highlighted the importance of understanding the Skorokhod...
36 pagesInternational audienceThis paper deals with existence and uniqueness, in viscosity sense, of...
We prove the existence of a unique viscosity solution to certain systems of fully nonlinear paraboli...
International audienceThis paper examines the Root solution of the Skorohod embedding problem given ...
For stochastic differential equations reflecting on the boundary of a general convex domain the conv...
We provide a complete characterisation of the Root solution to the Skorokhod embedding problem (SEP)...
This thesis consist of an introduction and four research papers concerning numerical analysis for a ...
Formulate a notion of RBSDE in the case where the obstacle is not necessarily right-continuous Inves...
We solve the Skorokhod embedding problem for a class of Gaussian processes including Brownian motion...
In this paper we treat the numerical approximation of the two-phase parabolic obstacle-like problem:...
We prove the existence of a unique viscosity solution to certain systems of fully nonlinear paraboli...
We give a probabilistic interpretation of the viscosity solutions of parabolic integrodif-ferential ...
In this paper, by a probabilistic approach we prove that there exists a unique viscosity solution to...
We revisit work of Rost (1976), Dupire (2005) and Cox-Wang (2013) on connections between Root's solu...
Root's solution (Root [1969]) to the Skorokhod embedding problem can be described as the first hitti...
Recent work of Dupire and Carr and Lee has highlighted the importance of understanding the Skorokhod...
36 pagesInternational audienceThis paper deals with existence and uniqueness, in viscosity sense, of...
We prove the existence of a unique viscosity solution to certain systems of fully nonlinear paraboli...
International audienceThis paper examines the Root solution of the Skorohod embedding problem given ...
For stochastic differential equations reflecting on the boundary of a general convex domain the conv...
We provide a complete characterisation of the Root solution to the Skorokhod embedding problem (SEP)...
This thesis consist of an introduction and four research papers concerning numerical analysis for a ...
Formulate a notion of RBSDE in the case where the obstacle is not necessarily right-continuous Inves...
We solve the Skorokhod embedding problem for a class of Gaussian processes including Brownian motion...
In this paper we treat the numerical approximation of the two-phase parabolic obstacle-like problem:...
We prove the existence of a unique viscosity solution to certain systems of fully nonlinear paraboli...
We give a probabilistic interpretation of the viscosity solutions of parabolic integrodif-ferential ...
In this paper, by a probabilistic approach we prove that there exists a unique viscosity solution to...