B
Bruno Bouchard
Researcher at Paris Dauphine University
Publications - 156
Citations - 3762
Bruno Bouchard is an academic researcher from Paris Dauphine University. The author has contributed to research in topics: Bellman equation & Stochastic control. The author has an hindex of 28, co-authored 151 publications receiving 3480 citations. Previous affiliations of Bruno Bouchard include Pierre-and-Marie-Curie University & University of Paris.
Papers
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Journal ArticleDOI
Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
Bruno Bouchard,Nizar Touzi +1 more
TL;DR: In this paper, a discrete-time approximation for decoupled forward-backward stochastic dierential equations is proposed, and the L p norm of the error is shown to be of the order of the time step.
Journal ArticleDOI
Weak Dynamic Programming Principle for Viscosity Solutions
Bruno Bouchard,Nizar Touzi +1 more
TL;DR: A weak version of the dynamic programming principle is proved for standard stochastic control problems and mixed control-stopping problems, which avoids the technical difficulties related to the measurable selection argument.
Journal ArticleDOI
Arbitrage and Duality in Nondominated Discrete-Time Models
Bruno Bouchard,Marcel Nutz +1 more
TL;DR: In this article, the authors consider a non-nominated model of a discrete-time financial market where stocks are traded dynamically and options are available for static hedging, and show that absence of arbitrage in a quasi-sure sense is equivalent to the existence of a suitable family of martingale measures.
Journal ArticleDOI
Discrete time approximation of decoupled Forward-Backward SDE with jumps
TL;DR: In this paper, the authors studied a discrete-time approximation for decoupled Forward-Backward Stochastic Differential Equations (FBSDEs) with jumps and proved the convergence of the scheme when the number of time steps n goes to infinity.
Book ChapterDOI
Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods
Bruno Bouchard,Xavier Warin +1 more
TL;DR: In this paper, the authors discuss efficient algorithms for the pricing of American options by two recently proposed Monte-Carlo type methods, namely the Malliavian calculus and the regression based approaches.