Assume that an agent models a financial asset through a measure ℚ with the goal to
price/hedge some derivative or optimise some expected utility. Even if the model ℚ is …

We propose a deep signature/log-signature FBSDE algorithm to solve forward-backward
stochastic differential equations (FBSDEs) with state and path dependent features. By …

We show a concise extension of the monotone stability approach to backward stochastic
differential equations (BSDEs) that are jointly driven by a Brownian motion and a random …

We solve the problem of super-hedging European or Asian options for discrete-time
financial market models where executable prices are uncertain. The risky asset prices are …

The subject of the thesis is: Order structures with applications in finance and economiy. This
subject is motivated by the following arguments. In economiy, it is usual to study relations of …

This paper proposes a quasi closed-form solution for the reweighting of transition
probabilities in finite state, finite action distributionally robust Markov decision processes …

We solve the problem of super-hedging European or Asian options for discrete-time
financial market models where executable prices are uncertain. The risky asset prices are …

This thesis concerns distributionally robust Markov decision processes for multistage
stochastic programming problems. Despite recent advancements in algorithms for …

It is well known that the minimal superhedging price of a contingent claim is too high for
practical use. In a continuous-time model uncertainty framework, we consider a relaxed …

This thesis deals with the study of optimal control of McKean-Vlasov dynamics and its
applications in mathematical finance. This thesis contains two parts. In the first part, we …