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Bruno Bouchard

  1. Weak Dynamic Programming for Generalized State Constraints.

    Втр, 05/10/2011 - 15:01 — SomNambul
    Authors: Marcel Nutz, Bruno Bouchard
    Subjects: Optimization and Control
    Abstract

    We provide a dynamic programming principle for stochastic optimal control
    problems with expectation constraints. A weak formulation, using test functions
    and a probabilistic relaxation of the constraint, avoids restrictions related
    to a measurable selection but still implies the Hamilton-Jacobi-Bellman
    equation in the viscosity sense. We treat open state constraints as a special
    case of expectation constraints and prove a comparison theorem to obtain the
    equation for closed state constraints.

  2. No-arbitrage of second kind in countable markets with proportional transaction costs.

    Пнд, 10/11/2010 - 15:01 — SomNambul
    Authors: Erik Taflin, Bruno Bouchard
    Subjects: Computational Finance
    Abstract

    Motivated by applications to bond markets, we propose a multivariate
    framework for discrete time financial markets with proportional transaction
    costs and a countable infinite number of tradable assets. We show that the
    no-arbitrage of second kind property (NA2 in short), introduced by \cite{ras09}
    for finite dimensional markets, allows to provide a closure property for the
    set of attainable claims in a very natural way, under a suitable efficient
    friction condition.

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