Romuald ELIE
Romuald ELIE
ACADEMIC PROFILE
Projects
- Chaire ACTINFO, Valorisation et nouveaux usages actuariels de l'information
- Projet FUI MacroNOW, prévision en temps réel des principaux indicateurs macroéconomiques.
- Projet ANR MFG, Mean Field Games.
Preprint
- An adverse selection approach to power pricing, with C. Alasseur, I. Ekeland, N. Hernandez Santibanez & D. Possamai.
- Contracting theory with competitive interacting Agents, with D. Possamai.
- Optimal Claiming Strategies in Bonus Malus Systems and Implied Markov Chains, with A. Charpentier & A. David.
- On a class of path-dependent singular stochastic control problems, with L. Moreau & D. Possamai.
Publications
- A tale of a Principal and many many Agents, with D. Possamai & T. Mastrolia, Mathematics of Operations Research, to appear.
- BSDEs with mean reflexion, with P. Briand & Y. Hu, Annals of Applied Probability, to appear (2017).
- Regularity of BSDEs with a convex constraint on the gains-process, with B. Bouchard & L. Moreau, Bernoulli, to appear (2016).
- Segmentation et mutualisation, les deux faces d'une même pièce?, with A. Charpentier & M. denuit, Risques 103 (2016).
- Approximate hedging for non linear transaction costs on the volume of traded assets, with E. Lepinette, Finance and Stochastics, 19-3 (2015).
- BSDE with weak terminal condition , with B. Bouchard & A. Reveillac, Annals of Probability, 43-2 (2015)
- When terminal facelift enforces Delta constraints , with J.-F. Chassagneux & I. Kharroubi, Finance and Stochastics, 19-2 (2015).
- Optimal selling rules for monetary invariant criteria: tracking the maximum of a portfolio with negative drift, with G. Espinosa,
Mathematical Finance, 25-4 (2015).
- On the expectation of normalized Brownian functionals up to first hitting times , with M. Rosenbaum & M. Yor,
Electronic Journal of Probability, 19-37 (2014).
- BSDE representations for optimal switching problems with controlled volatility, with I. Kharroubi, Stochastics and Dynamics, 14-3 (2014).
- Adding constraints to BSDEs with Jumps: an alternative to multidimensional reflections, with I. Kharroubi,
ESAIM Probability and Statistics, 18 (2014).
- A simple constructive approach to quadratic BSDEs with or without delay, with P. Briand
Stochastic Processes and Applications, 123(8) pp 2921-2939 (2013).
- Discrete-time Approximation of Multidimensional BSDEs with oblique reflections, with J.-F. Chassagneux & I. Kharroubi,
Annals of Applied Probability, 22(3), pp 971-1007 (2012).
- A note on utility based pricing and asymptotic risk diversification, with B. Bouchard & L. Moreau, Mathematics and Financial Economics, 6-1 pp 59-74 (2012)
- A note on existence and uniqueness for solutions of multidimensional reflected BSDEs, with J.-F. Chassagneux & I. Kharroubi,
Electronic Communications in Probability, 16, pp 120–128 (2011)
- Probabilistic representation and approximation for coupled systems of variational inequalities, with I. Kharroubi,
Statistics and Probability letters, 80 (17-18) pp 1388-1396 (2010)
- Optimal control under stochastic target constraints, with B. Bouchard & C. Imbert, SIAM Journal on Control and Optimization 48-5 pp. 3501-3531 (2010)
- Stochastic target problems with control loss, with B. Bouchard & N. Touzi
SIAM Journal on Control and Optimization 48-5 pp. 3123-3150 (2009)
- Double Kernel estimation of sensitivities,
Journal of Applied probability, 46-3 (2009)
-Discrete-time Approximation of BSDEs and Probabilistic schemes for Fully Nonlinear PDEs, with B. Bouchard & N. Touzi,
Radon Series on Computational and Applied Mathematics (2009)
Applied Mathematics and Optimization, 58-3 (2008), pp. 411-431
-Optimal lifetime consumption-investment strategy under drawdown constraint, with N. Touzi, Finance and Stochastics, 12-3 (2008), pp. 299-330
- Discrete time approximation of decoupled FBSDE with jumps,
with B. Bouchard, Stochastic Processes and Applications, 118-1 (2008), 53-75
- Kernel estimation of Greek weights by parameter randomization,
with J.-D. Fermanian & N. Touzi, Annals of Applied Probability 17-4 (2007)
ACADEMIC POsition
Professor
Adjunct Professor at ENSAE
Affiliated to:
2011-2015 research grant:
Director of the
Research interests
Machine learning
Stochastic control
Game theory
Mathematical Finance
LECTURE NOTES
SEMINARS
contact
romuald.elie@univ-mlv.fr