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bruno bouchard
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Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
B Bouchard, N Touzi
Stochastic Processes and their applications 111 (2), 175-206, 2004
6702004
Arbitrage and duality in nondominated discrete-time models
B Bouchard, M Nutz
2542015
Weak dynamic programming principle for viscosity solutions
B Bouchard, N Touzi
SIAM Journal on Control and Optimization 49 (3), 948-962, 2011
2452011
Discrete-time approximation of decoupled forward–backward SDE with jumps
B Bouchard, R Elie
Stochastic Processes and their Applications 118 (1), 53-75, 2008
1852008
Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods
B Bouchard, X Warin
Numerical Methods in Finance: Bordeaux, June 2010, 215-255, 2012
1662012
Stochastic target problems with controlled loss
B Bouchard, R Elie, N Touzi
SIAM Journal on Control and Optimization 48 (5), 3123-3150, 2010
1322010
On the Malliavin approach to Monte Carlo approximation of conditional expectations
B Bouchard, I Ekeland, N Touzi
Finance and Stochastics 8, 45-71, 2004
1322004
Optimal control of trading algorithms: a general impulse control approach
B Bouchard, NM Dang, CA Lehalle
SIAM Journal on financial mathematics 2 (1), 404-438, 2011
1022011
Optimal control under stochastic target constraints
B Bouchard, R Elie, C Imbert
SIAM Journal on Control and Optimization 48 (5), 3501-3531, 2010
1022010
Robust fundamental theorem for continuous processes
S Biagini, B Bouchard, C Kardaras, M Nutz
Mathematical Finance 27 (4), 963-987, 2017
1002017
Wealth-path dependent utility maximization in incomplete markets
B Bouchard, H Pham
Finance and Stochastics 8, 579-603, 2004
862004
Discrete-time approximation for continuously and discretely reflected BSDEs
B Bouchard, JF Chassagneux
Stochastic Processes and their Applications 118 (12), 2269-2293, 2008
742008
Weak dynamic programming for generalized state constraints
B Bouchard, M Nutz
SIAM Journal on Control and Optimization 50 (6), 3344-3373, 2012
722012
A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations
B Bouchard, D Possamaï, X Tan, C Zhou
552018
Discrete-time approximation of BSDEs and probabilistic schemes for fully nonlinear PDEs
B Bouchard, R Elie, N Touzi
Advanced financial modelling 8, 91-124, 2009
532009
A stochastic target formulation for optimal switching problems in finite horizon
B Bouchard
Stochastics: An International Journal of Probability and Stochastics …, 2009
512009
Dual formulation of the utility maximization problem: The case of nonsmooth utility
B Bouchard, N Touzi, A Zeghal
512004
Explicit solution to the multivariate super-replication problem under transaction costs
B Bouchard, N Touzi
Annals of Applied Probability, 685-708, 2000
512000
Equilibrium returns with transaction costs
B Bouchard, M Fukasawa, M Herdegen, J Muhle-Karbe
Finance and Stochastics 22, 569-601, 2018
482018
Utility maximization on the real line under proportional transaction costs
B Bouchard
Finance and Stochastics 6, 495-516, 2002
462002
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