We consider the problem of superhedging under volatility uncertainty for an investor allowed
to dynamically trade the underlying asset, and statically trade European call options for all …

We consider a nondominated model of a discrete-time financial market where stocks are
traded dynamically, and options are available for static hedging. In a general measure …

We study the optimal transport between two probability measures on the real line, where the
transport plans are laws of one-step martingales. A quasi-sure formulation of the dual …

We study the McKean–Vlasov optimal control problem with common noise which allow the
law of the control process to appear in the state dynamics under various formulations: strong …

We aim to give an overview on how to derive the dynamic programming principle for a
general stochastic control/stopping problem, using measurable selection techniques. By …

We develop a general construction for nonlinear Lévy processes with given characteristics.
More precisely, given a set $\Theta $ of Lévy triplets, we construct a sublinear expectation …

We study a continuous‐time financial market with continuous price processes under model
uncertainty, modeled via a family of possible physical measures. A robust notion of no …

We consider a stochastic control problem for a class of nonlinear kernels. More precisely,
our problem of interest consists in the optimization, over a set of possibly nondominated …

We pursue a robust approach to pricing and hedging in mathematical finance. We consider
a continuous-time setting in which some underlying assets and options, with continuous …

We give a brief presentation of the capacity theory and show how it derives naturally a
measurable selection theorem following the approach of Dellacherie (1972). Then we …