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Alexandre Popier
Researcher at University of Maine
Publications - 44
Citations - 676
Alexandre Popier is an academic researcher from University of Maine. The author has contributed to research in topics: Stochastic differential equation & Uniqueness. The author has an hindex of 12, co-authored 44 publications receiving 594 citations.
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A Finite Horizon Optimal Multiple Switching Problem
TL;DR: The problem of optimal multiple switching in a finite horizon when the state of the system is a general adapted stochastic process is considered and it is shown that the associated vector of value functions provides a viscosity solution to a system of variational inequalities with interconnected obstacles.
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BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration
Thomas Kruse,Alexandre Popier +1 more
TL;DR: In this paper, the authors analyzed multidimensional BSDEs in a filtration that supports a Brownian motion and a Poisson random measure under a monotonicity assumption on the driver, and established existence and uniqueness of solutions in provided that the generator and the terminal condition satisfy appropriate integrability conditions.
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Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting
Thomas Kruse,Alexandre Popier +1 more
TL;DR: In this article, the existence of a minimal supersolution for backward stochastic differential equations when the terminal data can take the value + ∞ with positive probability is studied, and the time horizon can be random.
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Backward stochastic differential equations with singular terminal condition
TL;DR: In this article, backward stochastic differential equations (BSDEs) of the following type are considered: (1) backward BSDEs of the form (2) and (3)
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Lp-SOLUTIONS FOR REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS
Said Hamadène,Alexandre Popier +1 more
TL;DR: In this article, the authors deal with the problem of existence and uniqueness of a solution for a backward stochastic differential equation (BSDE) with one reflecting barrier in the case when the terminal value, the generator and the obstacle process are Lp-integrable with p ∈ ]1, 2[.