Preprints

- BSDE representations for optimal switching problems with controlled volatility, with I. Kharroubi

- Optimal stopping of a mean reverting diffusion: minimizing the relative distance to the maximum, with G. Espinosa

- Adding constraints to BSDEs with Jumps: an alternative to multidimensional reflections, with I. Kharroubi,

Publications

- A note on utility based pricing and asymptotic risk diversification, with B. Bouchard & L. Moreau, Mathematics and Financial Economics, to appear.

- Discrete-time Approximation of Multidimensional BSDEs with oblique reflections, with J.-F. Chassagneux & I. Kharroubi,

Annals of Applied Probability, to appear.

- A note on existence and uniqueness for solutions of multidimensional reflected BSDEs, with J.-F. Chassagneux & I. Kharroubi,

Electronic Communications in Probability, 16, pp 120–128 (2011)

- Probabilistic representation and approximation for coupled systems of variational inequalities, with I. Kharroubi,

Statistics and Probability letters, 80 (17-18) pp 1388-1396 (2010)

- Optimal control under stochastic target constraints, with B. Bouchard & C. Imbert, SIAM Journal on Control and Optimization 48-5 pp. 3501-3531 (2010)

- Stochastic target problems with control loss, with B. Bouchard  & N. Touzi

SIAM Journal on Control and Optimization 48-5 pp. 3123-3150 (2009)

- Double Kernel estimation of sensitivities,

Journal of Applied probability, 46-3 (2009)

1. -Discrete-time Approximation of BSDEs and Probabilistic schemes for Fully Nonlinear PDEs, with B. Bouchard & N. Touzi,
   

Radon Series on Computational and Applied Mathematics (2009)

1. -Finite time strategy under drawdown constraint: a viscosity approach,
   

Applied Mathematics and Optimization, 58-3 (2008), pp. 411-431

1. -Optimal lifetime consumption-investment strategy under drawdown constraint, with N. Touzi, Finance and Stochastics, 12-3 (2008), pp. 299-330
   

- Discrete time approximation of decoupled FBSDE with jumps,

   with B. Bouchard, Stochastic Processes and Applications, 118-1 (2008), 53-75

- Kernel estimation of Greek weights by parameter randomization,

with J.-D. Fermanian & N. Touzi, Annals of Applied Probability 17-4 (2007)