Recherche - Archive ouverte HAL Accéder directement au contenu

Filtrer vos résultats

43 résultats
Page :
triés par
Image document

Limit behaviour of the minimal solution of a BSDE in the non Markovian setting

 Dmytro Marushkevych , Alexandre Popier
2019
Pré-publication, Document de travail hal-02059902v1

Design for estimation of the drift parameter in fractional diffusion systems

 Alexandre Brouste , Marina Kleptsyna , Alexandre Popier
Statistical Inference for Stochastic Processes, 2012, 15 (2), pp.133 - 149. ⟨10.1007/s11203-012-9067-5⟩
Article dans une revue istex hal-01634601v1

Backward stochastic differential equations with non-Markovian singular terminal conditions for general driver and filtration

 Mahdi Ahmadi , Alexandre Popier , Ali Devin Sezer
Electronic Journal of Probability, 2021, 26 (none), ⟨10.1214/21-EJP619⟩
Article dans une revue hal-03663073v1
Image document

Higher order homogenization for random non-autonomous parabolic operators

 Marina Kleptsyna , Andrey Piatnitski , Alexandre Popier
2022
Pré-publication, Document de travail hal-01419923v3

Integro-partial differential equations with singular terminal condition

 Alexandre Popier
Nonlinear Analysis: Hybrid Systems, 2017, 155, pp.72 - 96. ⟨10.1016/j.na.2017.01.012⟩
Article dans une revue hal-01639658v1

Fractional Diffusion with Partial Observations

 Alexandre Brouste , Marina Kleptsyna , Alexandre Popier
Communications in Statistics - Theory and Methods, 2011, 40 (19-20), pp.3479 - 3491. ⟨10.1080/03610926.2011.581173⟩
Article dans une revue hal-01634596v1
Image document

Backward Stochastic Differential Equations with Nonmarkovian Singular Terminal Values

 Ali Devin Sezer , Thomas Kruse , Alexandre Popier , Ali Devin Sezer
2018
Pré-publication, Document de travail hal-01401230v2
Image document

Asymptotic approach for backward stochastic differential equation with singular terminal condition *

 Paulwin Graewe , Alexandre Popier
2020
Pré-publication, Document de travail hal-02152177v2

Backward stochastic differential equations with non-Markovian singular terminal values

 Ali Devin Sezer , Thomas Kruse , Alexandre Popier
Stochastics and Dynamics, 2019, 19 (02), pp.1950006. ⟨10.1142/S0219493719500060⟩
Article dans une revue hal-02540612v1

Optimal Cross Hedging of Insurance Derivatives

 Alexandre Popier , Stefan Ankirchner , Peter Imkeller
Stochastic Analysis and Applications, 2008, 26 (4), pp.679 - 709. ⟨10.1080/07362990802128230⟩
Article dans une revue hal-01636317v1
Image document

Backward stochastic Volterra integral equations with jumps in a general filtration

 Alexandre Popier
2020
Pré-publication, Document de travail hal-02146381v2

BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration

 Alexandre Popier , T. Kruse
Stochastics: An International Journal of Probability and Stochastic Processes, 2015, pp.1 - 49. ⟨10.1080/17442508.2015.1090990⟩
Article dans une revue hal-01651607v1
Image document

Homogenization of random parabolic operators. Diffusion approximation.

 Marina Kleptsyna , Andrey Piatnitski , Alexandre Popier
2013
Pré-publication, Document de travail hal-00842809v3
Image document

Limit behaviour of the minimal solution of a BSDE with singular terminal condition in the non Markovian setting

 Dmytro Marushkevych , Alexandre Popier
Probability, Uncertainty and Quantitative Risk, 2020, 5 (1), ⟨10.1186/s41546-020-0043-5⟩
Article dans une revue hal-02540615v1

Backward stochastic differential equations with singular terminal condition

 Alexandre Popier
Stochastic Processes and their Applications, 2006, 116 (12), pp.2014 - 2056. ⟨10.1016/j.spa.2006.05.012⟩
Article dans une revue hal-01636313v1
Image document

Optimal Liquidation with Conditions on Minimum Price

 Alexandre Popier , Ali Devin Sezer , Mervan Aksu
2023
Pré-publication, Document de travail hal-04177334v1
Image document

Backward Stochastic Differential Equations with Non-Markovian Singular Terminal Conditions with General Driver and Filtration

 Mahdi Ahmadi , Alexandre Popier , Ali Devin Sezer
2020
Pré-publication, Document de travail hal-02379852v2
Image document

L^p -solution for BSDEs with jumps in the case p < 2. Corrections to the paper "BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration".

 Thomas Kruse , Alexandre Popier
2017
Pré-publication, Document de travail hal-01450966v1
Image document

Optimal position targeting via decoupling fields

 Stefan Ankirchner , Alexander Fromm , Thomas Kruse , Alexandre Popier
2018
Pré-publication, Document de travail hal-01500311v2
Image document

Second-order BSDE under monotonicity condition and liquidation problem under uncertainty

 Alexandre Popier , Chao Zhou
The Annals of Applied Probability, 2019, 29 (3), pp.1685-1739. ⟨10.1214/18-AAP1435⟩
Article dans une revue hal-02540614v1

A Mean Field Game of Optimal Portfolio Liquidation

 Guanxing Fu , Paulwin Graewe , Ulrich Horst , Alexandre Popier
Mathematics of Operations Research, 2021, 46 (4), pp.1250-1281. ⟨10.1287/moor.2020.1094⟩
Article dans une revue hal-03663072v1

A Finite Horizon Optimal Multiple Switching Problem

 Alexandre Popier , Boualem Djehiche , Said Hamadène
SIAM Journal on Control and Optimization, 2009, 48 (4), pp.2751 - 2770. ⟨10.1137/070697641⟩
Article dans une revue hal-01636320v1
Image document

Continuity problem for BSDE and IPDE with singular terminal condition

 Dorian Cacitti-Holland , Laurent Denis , Alexandre Popier
2023
Pré-publication, Document de travail hal-04193355v1
Image document

ASYMPTOTIC DECOMPOSITION OF SOLUTIONS TO RANDOM PARABOLIC OPERATORS WITH OSCILLATING COEFFICIENTS

 Marina Kleptsyna , Andrey Piatnitski , Alexandre Popier
2020
Pré-publication, Document de travail hal-02954085v1
Image document

Backward stochastic Volterra integral equations with jumps in a general filtration

 Alexandre Popier
ESAIM: Probability and Statistics, 2021, 25, pp.133-203. ⟨10.1051/ps/2021006⟩
Article dans une revue hal-03178603v1

Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting

 Alexandre Popier , T. Kruse
Stochastic Processes and their Applications, 2016, 126 (9), pp.2554 - 2592. ⟨10.1016/j.spa.2016.02.010⟩
Article dans une revue hal-01639645v1

L p -SOLUTIONS FOR REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS

 Alexandre Popier , Said Hamadène
Stochastics and Dynamics, 2012, 12 (02), ⟨10.1142/S0219493712003651⟩
Article dans une revue hal-01636326v1

Homogenization of random parabolic operators. Diffusion approximation

 Alexandre Popier , M. Kleptsyna , Andrey Piatnitski
Stochastic Processes and their Applications, 2015, 125 (5), pp.1926 - 1944. ⟨10.1016/j.spa.2014.12.002⟩
Article dans une revue hal-01636331v1

On measure solutions of backward stochastic differential equations

 Alexandre Popier , Stefan Ankirchner , Peter Imkeller
Stochastic Processes and their Applications, 2009, 119 (9), pp.2744 - 2772. ⟨10.1016/j.spa.2009.02.003⟩
Article dans une revue hal-01636319v1
Image document

A Mean Field Game of Optimal Portfolio Liquidation

 Guanxing Fu , Paulwin Graewe , Ulrich Horst , Alexandre Popier
2021
Pré-publication, Document de travail hal-01764399v3
Page :