Bruno Bouchard

Publication Activity (10 Years)

Years Active: 2002-2024
Publications (10 Years): 15

Top Topics

Transaction Costs

Randomized Approximation

Continuous State

Stochastic Control

Top Venues

Finance Stochastics

J. Optim. Theory Appl.

SIAM J. Control. Optim.

SIAM J. Financial Math.

Publications

Lorenzo Croissant, Marc Abeille, Bruno Bouchard
Near-continuous time Reinforcement Learning for continuous state-action spaces. ALT (2024)
Marc Abeille, Bruno Bouchard, Lorenzo Croissant
Diffusive Limit Approximation of Pure-Jump Optimal Stochastic Control Problems. J. Optim. Theory Appl. 196 (1) (2023)
Lorenzo Croissant, Marc Abeille, Bruno Bouchard
Near-continuous time Reinforcement Learning for continuous state-action spaces. CoRR (2023)
Bruno Bouchard, Boualem Djehiche, Idris Kharroubi
Quenched Mass Transport of Particles Toward a Target. J. Optim. Theory Appl. 186 (2) (2020)
Bruno Bouchard, Grégoire Loeper, Halil Mete Soner, Chao Zhou
Second-Order Stochastic Target Problems with Generalized Market Impact. SIAM J. Control. Optim. 57 (6) (2019)
Bruno Bouchard, Masaaki Fukasawa, Martin Herdegen, Johannes Muhle-Karbe
Equilibrium returns with transaction costs. Finance Stochastics 22 (3) (2018)
Nicolas Baradel, Bruno Bouchard, Ngoc-Minh Dang
Optimal Control Under Uncertainty and Bayesian Parameters Adjustments. SIAM J. Control. Optim. 56 (2) (2018)
Bruno Bouchard, H. Mete Soner, Nizar Touzi
Special Issue: Optimization and Stochastic Control in Finance, Journal of Optimization Theory and Applications. J. Optim. Theory Appl. 179 (2) (2018)
Bruno Bouchard, Grégoire Loeper, Yiyi Zou
Hedging of Covered Options with Linear Market Impact and Gamma Constraint. SIAM J. Control. Optim. 55 (5) (2017)
Bruno Bouchard, Xiaolu Tan, Xavier Warin, Yiyi Zou
Numerical approximation of BSDEs using local polynomial drivers and branching processes. Monte Carlo Methods Appl. 23 (4) (2017)
Bruno Bouchard, Géraldine Bouveret, Jean-François Chassagneux
A Backward Dual Representation for the Quantile Hedging of Bermudan Options. SIAM J. Financial Math. 7 (1) (2016)
Bruno Bouchard, Marcel Nutz
Consistent price systems under model uncertainty. Finance Stochastics 20 (1) (2016)
Bruno Bouchard, Grégoire Loeper, Yiyi Zou
Almost-sure hedging with permanent price impact. Finance Stochastics 20 (3) (2016)
Bruno Bouchard, Marcel Nutz
Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions. Math. Oper. Res. 41 (1) (2016)
Bruno Bouchard, Ludovic Moreau, H. Mete Soner
Hedging Under an Expected Loss Constraint with Small Transaction Costs. SIAM J. Financial Math. 7 (1) (2016)
Bruno Bouchard, Ngoc-Minh Dang
Generalized stochastic target problems for pricing and partial hedging under loss constraints - application in optimal book liquidation. Finance Stochastics 17 (1) (2013)
Bruno Bouchard, Thanh Nam Vu
A Stochastic Target Approach for P&L Matching Problems. Math. Oper. Res. 37 (3) (2012)
Bruno Bouchard, Marcel Nutz
Weak Dynamic Programming for Generalized State Constraints. SIAM J. Control. Optim. 50 (6) (2012)
Bruno Bouchard, Ngoc-Minh Dang
Optimal control versus stochastic target problems: An equivalence result. Syst. Control. Lett. 61 (2) (2012)
Bruno Bouchard, Ngoc-Minh Dang, Charles-Albert Lehalle
Optimal Control of Trading Algorithms: A General Impulse Control Approach. SIAM J. Financial Math. 2 (1) (2011)
Bruno Bouchard, Nizar Touzi
Weak Dynamic Programming Principle for Viscosity Solutions. SIAM J. Control. Optim. 49 (3) (2011)
Bruno Bouchard, Marcel Nutz
Weak Dynamic Programming for Generalized State Constraints CoRR (2011)
Bruno Bouchard, Romuald Elie, Cyril Imbert
Optimal Control under Stochastic Target Constraints. SIAM J. Control. Optim. 48 (5) (2010)
Bruno Bouchard, Romuald Elie, Nizar Touzi
Stochastic Target Problems with Controlled Loss. SIAM J. Control. Optim. 48 (5) (2009)
Bruno Bouchard
Optimal Reflection of Diffusions and Barrier Options Pricing under Constraints. SIAM J. Control. Optim. 47 (4) (2008)
Imen Bentahar, Bruno Bouchard
Barrier Option Hedging under Constraints: A Viscosity Approach. SIAM J. Control. Optim. 45 (5) (2006)
Bruno Bouchard
No-arbitrage in Discrete-time Markets with Proportional Transaction Costs and General Information structure. Finance Stochastics 10 (2) (2006)
Bruno Bouchard, Ivar Ekeland, Nizar Touzi
On the Malliavin approach to Monte Carlo approximation of conditional expectations. Finance Stochastics 8 (1) (2004)
Bruno Bouchard, Huyên Pham
Wealth-path dependent utility maximization in incomplete markets. Finance Stochastics 8 (4) (2004)
Bruno Bouchard
Utility maximization on the real line under proportional transaction costs. Finance Stochastics 6 (4) (2002)