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Optimal liquidity management and hedging in the presence of a non-predictable investment opportunity
Villeneuve, Stéphane; Warin, Xavier - In: Mathematics and financial economics 8 (2014) 2, pp. 193-227
Persistent link: https://www.econbiz.de/10010342479
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Numerical methods for the quadratic hedging problem in Markov models with jumps
De Franco, Carmine; Tankov, Peter; Warin, Xavier - In: The journal of computational finance 19 (2015/2016) 2, pp. 29-67
Persistent link: https://www.econbiz.de/10011442638
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On conditional cuts for stochastic dual dynamic programming
Ackooij, Wim van; Warin, Xavier - In: EURO journal on computational optimization 8 (2020) 2, pp. 173-199
Persistent link: https://www.econbiz.de/10012240037
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Swarm gradient dynamics for global optimization : the density case
Bolte, Jérôme; Miclo, Laurent; Villeneuve, Stéphane - 2022
Persistent link: https://www.econbiz.de/10012888129
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"A two‐dimensional control problem arising from dynamic contracting theory"
Décamps, Jean-Paul; Villeneuve, Stéphane - 2018
Persistent link: https://www.econbiz.de/10011811839
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A two-dimensional control problem arising from dynamic contracting theory
Décamps, Jean-Paul; Villeneuve, Stéphane - 2018
Persistent link: https://www.econbiz.de/10012267516
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On a monotone dynamic approach to optimal stopping problems for continuous-time Markov chains
Miclo, Laurent; Villeneuve, Stéphane - 2019
Persistent link: https://www.econbiz.de/10012181506
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A two-dimensional control problem arising from dynamic contracting theory
Décamps, Jean-Paul; Villeneuve, Stéphane - In: Finance and stochastics 23 (2019) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10012023235