Preprints

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

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

- Constrained BSDEs with jumps: Application to optimal switching,

with I. Kharroubi,      (new version)

Publications

- Probabilistic representation and approximation for coupled systems of variational inequalities, with I. Kharroubi. Statistics and Probability letters, to appear.

- 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)