Adapted Wasserstein distances and stability in mathematical finance

J Backhoff-Veraguas, D Bartl, M Beiglböck… - Finance and …, 2020 - Springer
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 …

Deep signature FBSDE algorithm

Q Feng, M Luo, Z Zhang - arXiv preprint arXiv:2108.10504, 2021 - arxiv.org
We propose a deep signature/log-signature FBSDE algorithm to solve forward-backward
stochastic differential equations (FBSDEs) with state and path dependent features. By …

On the monotone stability approach to BSDEs with jumps: Extensions, concrete criteria and examples

D Becherer, M Büttner, K Kentia - International Symposium on BSDEs, 2017 - Springer
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 …

Robust discrete-time super-hedging strategies under AIP condition and under price uncertainty

M El Mansour, E Lépinette - MathematicS In Action, 2022 - numdam.org
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 …

Conditional random sets with applications in mathematical finance and optimization

M El Mansour - 2023 - theses.hal.science
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 …

An active-set strategy to solve Markov decision processes with good-deal risk measure

S Tu, B Defourny - Optimization Letters, 2019 - Springer
This paper proposes a quasi closed-form solution for the reweighting of transition
probabilities in finite state, finite action distributionally robust Markov decision processes …

[PDF][PDF] In Action

M El Mansour, E Lépinette - 2022 - academia.edu
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 …

Distributionally Robust Markov Decision Processes and Applications

S Tu - 2019 - search.proquest.com
This thesis concerns distributionally robust Markov decision processes for multistage
stochastic programming problems. Despite recent advancements in algorithms for …

Efficient hedging under ambiguity in continuous time

L Tangpi - Probability, Uncertainty and Quantitative Risk, 2020 - Springer
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 …

[PDF][PDF] Xiaoli WEI

D par Pr, P Huyên - 2018 - theses.md.univ-paris-diderot.fr
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 …