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Bruno Bouchard · Study
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Author
Bruno Bouchard
35 works
· latest 2018
· 6 institutions
cluster: provisional
ORCID 0000-0002-4716-1253
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35
Citations
2,522
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Most cited in this library
Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
2004 · 518 citations
Arbitrage and duality in nondominated discrete-time models
2015 · 240 citations
Weak Dynamic Programming Principle for Viscosity Solutions
2011 · 190 citations
Discrete-time approximation of decoupled Forward–Backward SDE with jumps
2007 · 140 citations
Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods
2012 · 101 citations
Works
35 shown
Equilibrium returns with transaction costs
Finance and Stochastics
·
2018
·
4 authors
·
Open access
51
citations
A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations
Annales de l Institut Henri Poincaré Probabilités et Statistiques
·
2018
·
4 authors
·
Open access
48
citations
Numerical approximation of BSDEs using local polynomial drivers and branching processes
Monte Carlo Methods and Applications
·
2017
·
4 authors
·
Open access
30
citations
Hedging of Covered Options with Linear Market Impact and Gamma Constraint
SIAM Journal on Control and Optimization
·
2017
·
3 authors
·
Open access
25
citations
Almost-sure hedging with permanent price impact
Finance and Stochastics
·
2016
·
3 authors
·
Open access
29
citations
A general Doob-Meyer-Mertens decomposition for g-supermartingale systems
Electronic Journal of Probability
·
2016
·
3 authors
·
Open access
20
citations
Consistent price systems under model uncertainty
Finance and Stochastics
·
2015
·
2 authors
·
Open access
21
citations
ROBUST FUNDAMENTAL THEOREM FOR CONTINUOUS PROCESSES
Mathematical Finance
·
2015
·
4 authors
·
Open access
82
citations
Arbitrage and duality in nondominated discrete-time models
The Annals of Applied Probability
·
2015
·
2 authors
·
Open access
240
citations
BSDEs with weak terminal condition
The Annals of Probability
·
2015
·
3 authors
·
Open access
27
citations
Stochastic target games with controlled loss
The Annals of Applied Probability
·
2014
·
2 authors
·
Open access
36
citations
Generalized stochastic target problems for pricing and partial hedging under loss constraints—application in optimal book liquidation
Finance and Stochastics
·
2012
·
2 authors
30
citations
A Stochastic Target Approach for P&L Matching Problems
Mathematics of Operations Research
·
2012
·
2 authors
·
Open access
22
citations
Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods
Springer proceedings in mathematics
·
2012
·
2 authors
·
chapter
·
Open access
101
citations
Weak Dynamic Programming for Generalized State Constraints
SIAM Journal on Control and Optimization
·
2012
·
2 authors
·
Open access
53
citations
Weak Dynamic Programming Principle for Viscosity Solutions
SIAM Journal on Control and Optimization
·
2011
·
2 authors
·
Open access
190
citations
Optimal Control of Trading Algorithms: A General Impulse Control Approach
SIAM Journal on Financial Mathematics
·
2011
·
3 authors
·
Open access
92
citations
Optimal Control under Stochastic Target Constraints
SIAM Journal on Control and Optimization
·
2010
·
3 authors
72
citations
Stochastic Target Problems with Controlled Loss
SIAM Journal on Control and Optimization
·
2009
·
3 authors
95
citations
Discrete-time approximation of BSDEs and probabilistic schemes for fully nonlinear PDEs
De Gruyter eBooks
·
2009
·
3 authors
·
chapter
·
Open access
47
citations
The Obstacle Version of the Geometric Dynamic Programming Principle: Application to the Pricing of American Options Under Constraints
Applied Mathematics & Optimization
·
2009
·
2 authors
·
Open access
33
citations
A stochastic target formulation for optimal switching problems in finite horizon
Stochastics
·
2009
·
1 author
·
Open access
50
citations
Discrete-time approximation for continuously and discretely reflected BSDEs
Stochastic Processes and their Applications
·
2008
·
2 authors
·
Open access
57
citations
Discrete-time approximation of decoupled Forward–Backward SDE with jumps
Stochastic Processes and their Applications
·
2007
·
2 authors
·
Open access
140
citations
No-arbitrage in Discrete-time Markets with Proportional Transaction Costs and General Information structure
Finance and Stochastics
·
2006
·
1 author
20
citations
Maturity randomization for stochastic control problems
The Annals of Applied Probability
·
2005
·
3 authors
·
Open access
30
citations
On the Hedging of American Options in Discrete Time with Proportional Transaction Costs
Electronic Journal of Probability
·
2005
·
2 authors
·
Open access
24
citations
Wealth-path dependent utility maximization in incomplete markets
Finance and Stochastics
·
2004
·
2 authors
·
Open access
63
citations
Dual formulation of the utility maximization problem: The case of nonsmooth utility
The Annals of Applied Probability
·
2004
·
3 authors
·
Open access
44
citations
Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
Stochastic Processes and their Applications
·
2004
·
2 authors
·
Open access
518
citations
On the Malliavin approach to Monte Carlo approximation of conditional expectations
Finance and Stochastics
·
2004
·
3 authors
·
Open access
81
citations
Utility maximization on the real line under proportional transaction costs
Finance and Stochastics
·
2002
·
1 author
50
citations
Stochastic targets with mixed diffusion processes and viscosity solutions
Stochastic Processes and their Applications
·
2002
·
1 author
·
Open access
20
citations
Option pricing by large risk aversion utility¶under transaction costs
Decisions in Economics and Finance
·
2001
·
3 authors
·
Open access
32
citations
Explicit solution to the multivariate super-replication problem under transaction costs
The Annals of Applied Probability
·
2000
·
2 authors
·
Open access
49
citations