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  • Search: person:"Choukroun, Sébastien"
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Subject
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Backward stochastic differential equations (BSDE) with constrained jumps 1 Controller-and-stopper game 1 Hamilton–Jacobi–Bellman Isaacs equation 1 Reflected BSDE 1 Regime-switching jump–diffusion 1
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Undetermined 1
Type of publication
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Article 2
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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French 1 Undetermined 1
Author
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Choukroun, Sébastien 2 Bertucci, Louis 1 Cosso, Andrea 1 Pham, Huyên 1 Prat, Julien 1
Published in...
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Revue d'économie financière : revue trimestrielle de l'Association Europe finances régulations 1 Stochastic Processes and their Applications 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Enjeux et promesses des stablecoins décentralisés
Bertucci, Louis; Choukroun, Sébastien; Prat, Julien - In: Revue d'économie financière : revue trimestrielle de … 149 (2023) 1, pp. 73-90
Persistent link: https://www.econbiz.de/10014452333
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Reflected BSDEs with nonpositive jumps, and controller-and-stopper games
Choukroun, Sébastien; Cosso, Andrea; Pham, Huyên - In: Stochastic Processes and their Applications 125 (2015) 2, pp. 597-633
We study a class of reflected backward stochastic differential equations with nonpositive jumps and upper barrier. Existence and uniqueness of a minimal solution are proved by a double penalization approach under regularity assumptions on the obstacle. In a suitable regime switching diffusion...
Persistent link: https://www.econbiz.de/10011194151
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