Bruno Bouchard

31 papers B 1Journal 30
YearRankTypeTitle / Venue / Authors
2026 J jnl
Unbiased Simulation of Asian Options.
SIAM J. Financial Math.
Bruno Bouchard, Xiaolu Tan
2024 B conf
Near-continuous time Reinforcement Learning for continuous state-action spaces.
ALT
Lorenzo Croissant, Marc Abeille, Bruno Bouchard
2023 J jnl
Diffusive Limit Approximation of Pure-Jump Optimal Stochastic Control Problems.
J. Optim. Theory Appl.
Marc Abeille, Bruno Bouchard, Lorenzo Croissant
2023 J jnl
Near-continuous time Reinforcement Learning for continuous state-action spaces.
CoRR
Lorenzo Croissant, Marc Abeille, Bruno Bouchard
2020 J jnl
Quenched Mass Transport of Particles Toward a Target.
J. Optim. Theory Appl.
Bruno Bouchard, Boualem Djehiche, Idris Kharroubi
2019 J jnl
Second-Order Stochastic Target Problems with Generalized Market Impact.
SIAM J. Control. Optim.
Bruno Bouchard, Grégoire Loeper, Halil Mete Soner, Chao Zhou
2018 J jnl
Equilibrium returns with transaction costs.
Finance Stochastics
Bruno Bouchard, Masaaki Fukasawa, Martin Herdegen, Johannes Muhle-Karbe
2018 J jnl
Optimal Control Under Uncertainty and Bayesian Parameters Adjustments.
SIAM J. Control. Optim.
Nicolas Baradel, Bruno Bouchard, Ngoc-Minh Dang
2018 J jnl
Special Issue: Optimization and Stochastic Control in Finance, Journal of Optimization Theory and Applications.
J. Optim. Theory Appl.
Bruno Bouchard, H. Mete Soner, Nizar Touzi
2017 J jnl
Hedging of Covered Options with Linear Market Impact and Gamma Constraint.
SIAM J. Control. Optim.
Bruno Bouchard, Grégoire Loeper, Yiyi Zou
2017 J jnl
Numerical approximation of BSDEs using local polynomial drivers and branching processes.
Monte Carlo Methods Appl.
Bruno Bouchard, Xiaolu Tan, Xavier Warin, Yiyi Zou
2016 J jnl
A Backward Dual Representation for the Quantile Hedging of Bermudan Options.
SIAM J. Financial Math.
Bruno Bouchard, Géraldine Bouveret, Jean-François Chassagneux
2016 J jnl
Almost-sure hedging with permanent price impact.
Finance Stochastics
Bruno Bouchard, Grégoire Loeper, Yiyi Zou
2016 J jnl
Consistent price systems under model uncertainty.
Finance Stochastics
Bruno Bouchard, Marcel Nutz
2016 J jnl
Hedging Under an Expected Loss Constraint with Small Transaction Costs.
SIAM J. Financial Math.
Bruno Bouchard, Ludovic Moreau, H. Mete Soner
2016 J jnl
Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions.
Math. Oper. Res.
Bruno Bouchard, Marcel Nutz
2013 J jnl
Generalized stochastic target problems for pricing and partial hedging under loss constraints - application in optimal book liquidation.
Finance Stochastics
Bruno Bouchard, Ngoc-Minh Dang
2012 J jnl
A Stochastic Target Approach for P&L Matching Problems.
Math. Oper. Res.
Bruno Bouchard, Thanh Nam Vu
2012 J jnl
Optimal control versus stochastic target problems: An equivalence result.
Syst. Control. Lett.
Bruno Bouchard, Ngoc-Minh Dang
2012 J jnl
Weak Dynamic Programming for Generalized State Constraints.
SIAM J. Control. Optim.
Bruno Bouchard, Marcel Nutz
2011 J jnl
Optimal Control of Trading Algorithms: A General Impulse Control Approach.
SIAM J. Financial Math.
Bruno Bouchard, Ngoc-Minh Dang, Charles-Albert Lehalle
2011 J jnl
Weak Dynamic Programming Principle for Viscosity Solutions.
SIAM J. Control. Optim.
Bruno Bouchard, Nizar Touzi
2011 J jnl
Weak Dynamic Programming for Generalized State Constraints
CoRR
Bruno Bouchard, Marcel Nutz
2010 J jnl
Optimal Control under Stochastic Target Constraints.
SIAM J. Control. Optim.
Bruno Bouchard, Romuald Elie, Cyril Imbert
2009 J jnl
Stochastic Target Problems with Controlled Loss.
SIAM J. Control. Optim.
Bruno Bouchard, Romuald Elie, Nizar Touzi
2008 J jnl
Optimal Reflection of Diffusions and Barrier Options Pricing under Constraints.
SIAM J. Control. Optim.
Bruno Bouchard
2006 J jnl
Barrier Option Hedging under Constraints: A Viscosity Approach.
SIAM J. Control. Optim.
Imen Bentahar, Bruno Bouchard
2006 J jnl
No-arbitrage in Discrete-time Markets with Proportional Transaction Costs and General Information structure.
Finance Stochastics
Bruno Bouchard
2004 J jnl
On the Malliavin approach to Monte Carlo approximation of conditional expectations.
Finance Stochastics
Bruno Bouchard, Ivar Ekeland, Nizar Touzi
2004 J jnl
Wealth-path dependent utility maximization in incomplete markets.
Finance Stochastics
Bruno Bouchard, Huyên Pham
2002 J jnl
Utility maximization on the real line under proportional transaction costs.
Finance Stochastics
Bruno Bouchard