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Papers



  • 27. Dorian Cacitti-Holland, Laurent Denis. Continuity problem for BSDE and IPDE with singular terminal condition. Journal of Mathematical Analysis and Applications (2024) [DOI] (hal-04193355 [pdf]).

  • 26. Marina Kleptsyna, Andrey Piatnitski. Higher order homogenization for random non-autonomous parabolic operators. Stochastics and Partial Differential Equations: Analysis and Computations (2024) [DOI] (hal-02158195 or Arxiv 1906.07604 [pdf]).

  • 25. Marina Kleptsyna, Andrey Piatnitski. Asymptotic decomposition of solutions to parabolic equations with a random microstructure. Pure Appl. Funct. Anal. 7 (2022), no. 4, 1339--1382. [pdf] (hal-02954085 or Arxiv 2010.00240).

  • 24. Sharoy Augustine Samuel, Ali Devin Sezer Continuity problem for singular BSDE with random terminal time. ALEA, 2022, Vol. 19, 1185-1220 [lien]. Also available on hal-02995123 or Arxiv 2011.05200 [pdf]

  • 23. Mahdi Ahmadi, Ali Devin Sezer Backward Stochastic Differential Equations with Non-Markovian Singular Terminal Conditions with General Driver and Filtration. Electronic Journal of Probability, 2021, Vol. 26, 1-27 [lien]. Also avaible on hal-02379852 [pdf]

  • 22. Backward stochastic Volterra integral equations with jumps in a general filtration. ESAIM-PS, 2021, Vol. 25, 133-203 [lien]

  • 21. Paulwin Graewe. Asymptotic approach for backward stochastic differential equation with singular terminal condition. Stochastic Processes and their Applications 2021, Vol. 133, 247-277 [pdf] (hal-02152177 or Arxiv 1906.05154).

  • 20. Guanxing Fu, Paulwin Graewe and Ulrich Horst. A Mean Field Game of Optimal Portfolio Liquidation. Mathematics of Operations Research (2021), Vol.46, No.4, 1250-1281 [pdf] (hal-01764399v2 or Arxiv 1804.04911).

  • 19. Dmytro Marushkevych. Limit behaviour of the minimal solution of a BSDE in the non Markovian setting. Probability, Uncertainty and Quantitative Risk 2020, Vol.5, No. 1. [pdf] (hal-02059902 or Arxiv 1903.03464).

  • 18. Stefan Ankirchner, Alexander Fromm and Thomas Kruse. Optimal position targeting via decoupling fields. Annals of Applied Probability 2020, Vol. 30, No. 2, 644-672. [pdf] (hal-01500311).

  • 17. Chao Zhou. Second order BSDE under monotonicity condition and liquidation problem under uncertainty. Annals of Applied Probability 2019, Vol. 29, No. 3, 1685-1739. [pdf] (hal-01670329 or Arxiv 1712.10253).

  • 16. Thomas Kruse and Devin Sezer. Backward Stochastic Differential Equations with Nonmarkovian Singular Terminal Values. Stochastics and Dynamics 2019, Vol. 19, No. 2 [pdf] (hal-01401230 or Arxiv 1611.09022).

  • 15. Thomas Kruse . Lp-solution for BSDEs with jumps in the case p<2. Stochastics, 89(8):1201-1227, 2017. [pdf] (hal-01450966 or ArXiv 1701.09071).

  • 14. Integro-partial differential equations with singular terminal condition. Nonlinear Analysis: Theory, Methods & Applications, Volume 155, May 2017, Pages 72-96 (link). [pdf] (hal-01293775 or ArXiv 1603.07907).

  • 13. Anis Matoussi, Lambert Piozin . Stochastic partial differential equations with singular terminal condition. Stochastic Processes and their Applications, Volume 127, Issue 3, March 2017, Pages 831-876 (link). [pdf] (hal-01152687 or ArXiv 1505.04624).

  • 12. Limit behaviour of BSDE with jumps and with singular terminal condition. ESAIM PS, vol. 20 (2016), pages 480--509 (link). [pdf] (hal-01254986 or ArXiv 1601.03186).

  • 11. Thomas Kruse . Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting. Stochastic Processes and their Applications, 126 (2016), no. 9, pages 2554-2592 (link). [pdf] (hal-01139364 or ArXiv 1504.01150).

  • The quasi left-continuity condition of the filtration can be removed (see the comments in Paper 13).

  • 10. Thomas Kruse . BSDEs with monotone generator driven by Brownian and Poisson noise in a general filtration. Stochastics, 88(4):491-539, 2016 (link). [pdf] (hal-01094836 ou ArXiv 1412.4622)

  • Remark concerning this paper when p < 2: if the generator does not depend on U (integrand in the integral w.r.t. the Poisson measure), our paper is safe. But if not, there is a mistake in the proof. Paper 15 gives the complete answer. Note that the conditions are quite different in this case (p<2) compared to p >=2.
  • The quasi left-continuity condition of the filtration can be removed (see the comments in Papers 13 and 15).

  • 9. Marina Kleptsyna and Andrey Piatnitski. Homogenization of random parabolic operators. Diffusion approximation. Stochastic Process. Appl. 125 (2015), no. 5, pages 1926-1944. [pdf]

  • 8. Alexandre Brouste and Marina Kleptsyna. Design for estimation of the drift parameter in fractional diffusion systems. Stat. Inference Stoch. Process. 15 (2012), no. 2, pages 133-149. [pdf]

  • 7. Saïd Hamadène . $L^p$-solutions for reflected backward stochastic differential equations. Stoch. Dyn. 12 (2012), no. 2, 1150016, 35 pp. [pdf]

  • 6. Alexandre Brouste and Marina Kleptsyna. Fractional diffusion with partial observations. Comm. Statist. Theory Methods 40 (2011), no. 19-20, pages 3479-3491. [pdf]

  • 5. Boualem Djehiche and Saïd Hamadène . A Finite Horizon Optimal Multiple Switching Problem.   SIAM J. Control Optim., 48, no 3 (2009), pages 2751-2770. [pdf]

  • 4. Stefan Ankirchner and Peter Imkeller. On measure solutions of backward stochastic differential equations. Stochastic Processes and their Applications, 119, no 9 (2009), pages 2744-2772. [pdf]

  • 3. Stefan Ankirchner and Peter Imkeller . Optimal cross hedging for insurance derivatives. Stochastic Analysis and their Applications 26, no 4 (2008), pages 679-709. [pdf]

  • 2. Backward stochastic differential equations with stopping time and singular terminal condition. Annals of Probability 35, no 3 (2007), pages 1071-1117. [pdf]

  • 1. Backward stochastic differential equations with singular terminal condition. Stochastic Processes and their Applications 116 (2006), pages 2014-2056. [pdf]


    • Submitted or working papers


  • Dorian Cacitti-Holland, Laurent Denis. Growth condition on the generator of BSDE with singular terminal value ensuring continuity up to terminal time (2024) 26pp. [pdf] (hal-04449583).
  • Mervan Aksu and Devin Sezer. Optimal Liquidation with Conditions on Minimum Price. (2023) 56pp. [pdf] (hal-04177334 or Arxiv 2308.02276).
  • Mohamed Mrad. Composition of approximations of two SDEs with jumps with non-finite Levy measures. (2023) 34pp. [pdf] (hal-04040355).
  • Marina Kleptsyna and Andrey Piatnitski. Homogenization for non-local operator.
  • Manal Jakani. SDEs with normal reflection in time varying domain.
  • Dorian Cacitti-Holland, Laurent Denis. Malliavin calculus for Hawkes process.
  • Xavier Fairise, Jhon Jair Gonzalez Pulgarin, François Langot. Reforms for a sustainable Social Security system.
  • Julia Ankermann and Thomas Kruse. Simulation of BSDE with singular terminal condition and driver polynomial in Y.
  • Marina Kleptsyna and Andrey Piatnitski. On the fundamental solution of heat and stochastic heat equations. (2019) 31pp. [pdf] (hal-02158195 or Arxiv 1906.07604).



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    Other papers

    HDR Thesis: Equations rétrogrades avec singularités et autres contributions au calcul stochastique. [pdf]

    PhD Thesis: Equations différentielles stochastiques rétrogrades avec condition finale singulière. [pdf]

    D.E.A. report: "Contrôle optimal stochastique en essentiel supremum". [pdf]

    Report: "Quantic electromagnetic theory and rigorous treatment on some integrals". [pdf]

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    Talks


    BSDE with singular terminal condition and optimal closure
    		 Slides
    New results on BSDE with singular terminal condition Slides
    Homogenization Slides
    Mean field game for portofolio liquidation
    		 Slides
    Optimal switching Slides
    Intégrale stochastique et EDS, séminaire des doctorants Abstract of the talk

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