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Results: 1-22 |
Results: 22
The maximum maximum of a martingale with given n marginals
Authors: Henry-Labordère, Pierre Ob.ój, Jan Spoida, Peter Touzi, Nizar
Citation: Henry-labordère, Pierre et al., The maximum maximum of a martingale with given n marginals, Annals of applied probability , 26(1), 2016, pp. 1-44
Path-dependent equations and viscosity solutions in infinite dimension
Authors: Cosso, Andrea Federico, Salvatore Gozzi, Fausto Rosestolato, Mauro Touzi, Nizar
Citation: Cosso, Andrea et al., Path-dependent equations and viscosity solutions in infinite dimension, Annals of probability (Online) , 46(1), 2018, pp. 126-174
On viscosity solutions of path dependent PDEs
Authors: Ekren, Ibrahim Keller, Christian Touzi, Nizar Zhang, Jianfeng
Citation: Ekren, Ibrahim et al., On viscosity solutions of path dependent PDEs, Annals of probability , 42(1), 2014, pp. 204-236
Optimal insurance demand under marked point processes shocks
Authors: Touzi, Nizar
Citation: Touzi, Nizar, Optimal insurance demand under marked point processes shocks, Annals of applied probability , 10(1), 2000, pp. 283-312
Dual formulation of second order target problems
Authors: Soner, H. Mete Touzi, Nizar Zhang, Jianfeng
Citation: Soner, H. Mete et al., Dual formulation of second order target problems, Annals of applied probability , 23(1), 2013, pp. 308-347
Explicit solution to the multivariate super-replication problem under transaction costs
Authors: Bouchard, Bruno Touzi, Nizar
Citation: Bouchard, Bruno et Touzi, Nizar, Explicit solution to the multivariate super-replication problem under transaction costs, Annals of applied probability , 10(3), 2000, pp. 685-708
Optimal skorokhod embedding given full marginals and azéma-yor peacocks
Authors: Källblad, Sigrid Tan, Xiaolu Touzi, Nizar
Citation: Källblad, Sigrid et al., Optimal skorokhod embedding given full marginals and azéma-yor peacocks, Annals of applied probability , 27(2), 2017, pp. 686-719
Singular forward.backward stochastic differential equations and emissions derivatives
Authors: Carmona, René Delarue, François Espinosa, Gilles-Edouard Touzi, Nizar
Citation: Carmona, René et al., Singular forward.backward stochastic differential equations and emissions derivatives, Annals of applied probability , 23(3), 2013, pp. 1086-1128
Viscosity solutions of fully nonlinear parabolic path dependent PDEs
Authors: Ekren, Ibrahim Touzi, Nizar Zhang, Jianfeng
Citation: Ekren, Ibrahim et al., Viscosity solutions of fully nonlinear parabolic path dependent PDEs, Annals of probability (Online) , 44(2), 2016, pp. 1212-1253
Viscosity solutions of fully nonlinear parabolic path dependent PDEs: Part I
Authors: Ekren, Ibrahim Touzi, Nizar Zhang, Jianfeng
Citation: Ekren, Ibrahim et al., Viscosity solutions of fully nonlinear parabolic path dependent PDEs: Part I, Annals of probability , 44(2), 2016, pp. 1212-1253
A probabilistic numerical method for fully nonlinear parabolic PDEs
Authors: Fahim, Arash Touzi, Nizar Warin, Xavier
Citation: Fahim, Arash et al., A probabilistic numerical method for fully nonlinear parabolic PDEs, Annals of applied probability , 21(4), 2011, pp. 1322-1364
Dual Formulation of the Utility Maximization Problem Under Transaction Costs
Authors: Deelstra, Griselda Pham,Huyên Touzi, Nizar
Citation: Deelstra, Griselda et al., Dual Formulation of the Utility Maximization Problem Under Transaction Costs, Annals of applied probability , 11(4), 2001, pp. 1353-1383
Kernel estimation of Greek weights by parameter randomization
Authors: Elie, Romuald Fermanian, Jean-David Touzi, Nizar
Citation: Elie, Romuald et al., Kernel estimation of Greek weights by parameter randomization, Annals of applied probability , 17(4), 2007, pp. 1399-1423
Irreducible convex paving for decomposition of multidimensional martingale transport plans.
Authors: De March, Hadrien Touzi, Nizar
Citation: De March, Hadrien et Touzi, Nizar, Irreducible convex paving for decomposition of multidimensional martingale transport plans., Annals of probability (Online) , 47(3), 2019, pp. 1726-1774
Small time path behavior of double stochastic integrals and applications to stochastic control
Authors: Patrick, Cheridito, Soner, H. Mete Touzi, Nizar
Citation: Patrick, Cheridito, et al., Small time path behavior of double stochastic integrals and applications to stochastic control, Annals of applied probability , 15(4), 2005, pp. 2472-2495
Viscosity solutions of fully nonlinear parabolic path dependent PDEs: Part II.
Authors: Ekren, Ibrahim Touzi, Nizar Zhang, Jianfeng
Citation: Ekren, Ibrahim et al., Viscosity solutions of fully nonlinear parabolic path dependent PDEs: Part II., Annals of probability (Online) , 44(4), 2016, pp. 2507-2553
Viscosity solutions of fully nonlinear parabolic path dependent PDEs: Part II
Authors: Ekren, Ibrahim Touzi, Nizar Zhang, Jianfeng
Citation: Ekren, Ibrahim et al., Viscosity solutions of fully nonlinear parabolic path dependent PDEs: Part II, Annals of probability , 44(4), 2016, pp. 2507-2553
Maturity randomization for stochastic control problems
Authors: Bouchard, Bruno Karoui, Nicole El Touzi, Nizar
Citation: Bouchard, Bruno et al., Maturity randomization for stochastic control problems, Annals of applied probability , 15(4), 2005, pp. 2575-2605
Complete duality for martingale optimal transport on the line
Authors: Beiglböck, Mathias Nutz, Marcel Touzi, Nizar
Citation: Beiglböck, Mathias et al., Complete duality for martingale optimal transport on the line, Annals of probability (Online) , 45(5), 2017, pp. 3038-3074
Complete duality for martingale optimal transport on the line
Authors: Beiglböck, Mathias Nutz, Marcel Touzi, Nizar
Citation: Beiglböck, Mathias et al., Complete duality for martingale optimal transport on the line, Annals of probability , 45(5), 2017, pp. 3038-3074
Optimal transportation under controlled stochastic dynamics
Authors: Tan, Xiaolu Touzi, Nizar
Citation: Tan, Xiaolu et Touzi, Nizar, Optimal transportation under controlled stochastic dynamics, Annals of probability , 41(5), 2013, pp. 3201-3240
Unbiased simulation of stochastic differential equations
Authors: Henry-Labordère, Pierre Tan, Xiaolu Touzi, Nizar
Citation: Henry-labordère, Pierre et al., Unbiased simulation of stochastic differential equations, Annals of applied probability , 27(6), 2017, pp. 3305-3341
Risultati: 1-22 |