Finance and Stochastic Control Papers by
Frédéric Bonnans
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STOCHASTIC CONTROL
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J. F. Bonnans:
Second order Pontryagin's principle for stochastic control problems.
Hal-Inria, Sept. 2015.
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J. F. Bonnans, J. Gianatti, F. J. Silva:
On the convergence of the Sakawa-Shindo algorithm in stochastic
control.
Hal-Inria, May 2015.
Mathematical Control and Related Fields, to appear.
- J.F. Bonnans F. Silva :
First and second order necessary conditions
for stochastic optimal control problems.
Applied Mathematics and Optimization 65-3 (2012), 403-439.
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J.F. Bonnans F. Silva :
Error estimates for the logarithmic barrier method
in linear quadratic stochastic optimal control problems.
Systems and Control Letters 61 (2012), 143-147.
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K. Aouiche, J.F. Bonnans, G. Granato, H. Zidani:
A Stochastic Dynamic Principle for Hybrid Systems with
Execution Delay and Decision Lags.
IEEE Conf. on Decision and Control,
Orlando, Dec. 12-15, 2011.
OPTION PRICING, NUMERICAL ANALYSIS
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I. Ben Latifa, J.F. Bonnans, M. Mnif:
Numerical methods for an optimal multiple stopping problem.
Stochastics and Dynamics, 2015.
Hal archive .
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I. Ben Latifa, J.F. Bonnans, M. Mnif:
A general optimal multiple stopping problem with an
application to Swing Options.
Stochastic Analysis and Applications,
33-4 (2015) , 715-739.
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J.F. Bonnans, X. Tan:
A Monotonicity condition for the $\theta$-scheme for diffusion equations.
Rapport de Recherche INRIA RR 7778, Oct. 2011.
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J.F. Bonnans, X. Tan:
A model-free no-arbitrage price bound for variance options.
Applied Math. Optimization 68-1 (2013), 43-73.
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With S. Maroso and H. Zidani:
Error estimates for a stochastic impulse control problem.
Applied Mathematics and Optimization, 55-3 (2007), 327--357.
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With S. Maroso and H. Zidani:
Error estimates for stochastic differential games:
the adverse stopping case.
IMA Journal of Numerical Analysis 26-1 (2006), 188--212.
Also
Preprint version, 2004.
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With H. Zidani and E. Ottenwaelter:
A fast algorithm for the two dimensional
HJB equation of stochastic control.
Pdf Version.
Paru dans
ESAIM:M2AN 38-4, 723-735 (2004).
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With H. Zidani:
Consistency of Generalized
Finite Difference Schemes for the Stochastic HJB Equation.
SIAM J. Numerical Analysis 41-3(2003), 1008-1021.
Pdf Version.
SWING OPTIONS, TRADING OF LIQUEFIED NATURAL GAS
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J.F. Bonnans, Z. Cen, and Th. Christel:
Energy contracts management by stochastic programming techniques.
Annals of Operations Research 200-1 (2012), 199-222.
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J.F. Bonnans, Z. Cen, and Th. Christel:
Sensitivity analysis of energy contracts
by stochastic programming techniques.
R. Carmona, P. Del Moral, P. Hu, N. Oudjane eds,
Springer Proceeding in Mathematics series 12 (2012), 447-471.
CALIBRATION