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BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration
We analyze multidimensional BSDEs in a filtration that supports a Brownian motion and a Poisson random measure. Under a monotonicity assumption on the driver, the paper extends several results fromExpand
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Optimal Control of an Epidemic through Social Distancing
We analyze how to optimally engage in social distancing (SD) in order to minimize the spread of an infectious disease. We identify conditions under which the optimal policy is single-peaked, i.e.,Expand
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Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting
We study the existence of a minimal supersolution for backward stochastic differential equations when the terminal data can take the value +$\infty$ with positive probability. We deal with equationsExpand
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BSDEs with Singular Terminal Condition and a Control Problem with Constraints
TLDR
We provide a probabilistic solution of a not necessarily Markovian control problem with a state constraint by means of a backward stochastic differential equation (BSDE). Expand
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BSDEs with jumps in a general filtration
In this paper, we show existence and uniqueness of the solution of a multidimensional backward stochastic differential equation (BSDE). The aim is to extend several results on BSDE (L solutions,Expand
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Optimal stopping with private information
TLDR
We show that under a dynamic single crossing condition a stopping rule can be implemented by a transfer that only depends on the realized stopping decision if it is a cut-off rule. Expand
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Safety evaluation of automotive electronics using Virtual Prototypes: State of the art and research challenges
TLDR
This paper shows the advantages of such a methodology based on today's industrial needs, presents the current state of the art in this field, and outlines upcoming research challenges to make this vision a reality. Expand
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Optimal Trade Execution Under Price-Sensitive Risk Preferences
We consider the problem of how to close a large asset position in an illiquid market in such a way that very high liquidation costs are unlikely. To this end we introduce a discrete-time model thatExpand
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Lp-solution for BSDEs with jumps in the case p<2
In T. Kruse and A. Popier, we established existence and uniqueness of solutions of backward stochastic differential equations in under a monotonicity condition on the generator and in a generalExpand
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