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1

Investment/Consumption Problem in Illiquid Markets with Regime-Switching

Gassiat, Paul, Gozzi, Fausto, Pham, Huyên

Journal:

SIAM Journal on Control and Optimization

Year:

2014

Language:

english

File:

PDF, 375 KB

english, 2014

2

OPTIMAL INVESTMENT ON FINITE HORIZON WITH RANDOM DISCRETE ORDER FLOW IN ILLIQUID MARKETS

GASSIAT, PAUL, PHAM, HUYÊN, SÎRBU, MIHAI

Journal:

International Journal of Theoretical and Applied Finance

Year:

2011

Language:

english

File:

PDF, 280 KB

english, 2011

3

Physical Brownian motion in a magnetic field as a rough path

Friz, Peter, Gassiat, Paul, Lyons, Terry

Journal:

Transactions of the American Mathematical Society

Year:

2015

Language:

english

File:

PDF, 251 KB

english, 2015

4

Root’s barrier, viscosity solutions of obstacle problems and reflected FBSDEs

Gassiat, Paul, Oberhauser, Harald, dos Reis, Gonçalo

Journal:

Stochastic Processes and their Applications

Year:

2015

Language:

english

File:

PDF, 570 KB

english, 2015

5

Eikonal equations and pathwise solutions to fully non-linear SPDEs

Friz, Peter K., Gassiat, Paul, Lions, Pierre-Louis, Souganidis, Panagiotis E.

Journal:

Stochastic Partial Differential Equations: Analysis and Computations

Year:

2017

Language:

english

File:

PDF, 544 KB

english, 2017

6

Quadratic deviation of penalized mean squares regression estimates

Paul Doukhan, Elisabeth Gassiat

Journal:

Journal of Multivariate Analysis

Year:

1992

Language:

english

File:

PDF, 541 KB

english, 1992

7

Time discretization and quantization methods for optimal multiple switching problem

Paul Gassiat, Idris Kharroubi, Huyên Pham

Journal:

Stochastic Processes and their Applications

Year:

2012

Language:

english

File:

PDF, 344 KB

english, 2012

8

Viscosity Characterization of the Value Function of an Investment-Consumption Problem in Presence of an Illiquid Asset

Salvatore Federico, Paul Gassiat

Journal:

Journal of Optimization Theory and Applications

Year:

2014

Language:

english

File:

PDF, 855 KB

english, 2014

9

Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation

Federico, Salvatore, Gassiat, Paul, Gozzi, Fausto

Journal:

Finance and Stochastics

Year:

2015

Language:

english

File:

PDF, 1.03 MB

english, 2015

10

Stochastic control with rough paths

Diehl, Joscha, Friz, Peter K., Gassiat, Paul

Journal:

Applied Mathematics & Optimization

Year:

2017

Language:

english

File:

PDF, 595 KB

english, 2017

11

IMPACT OF TIME ILLIQUIDITY IN A MIXED MARKET WITHOUT FULL OBSERVATION

Federico, Salvatore, Gassiat, Paul, Gozzi, Fausto

Journal:

Mathematical Finance

Year:

2015

Language:

english

File:

PDF, 493 KB

english, 2015

12

An integral equation for Root’s barrier and the generation of Brownian increments

Gassiat, Paul, Mijatović, Aleksandar, Oberhauser, Harald

Journal:

The Annals of Applied Probability

Year:

2015

Language:

english

File:

PDF, 472 KB

english, 2015

13

A stochastic Hamilton–Jacobi equation with infinite speed of propagation

Journal:

Comptes Rendus Mathematique

Year:

2017

Language:

english

File:

PDF, 203 KB

english, 2017

14

Regularization by noise for stochastic Hamilton–Jacobi equations

Gassiat, Paul, Gess, Benjamin

Journal:

Probability Theory and Related Fields

Year:

2018

Language:

english

File:

PDF, 630 KB

english, 2018

15

Speed of propagation for Hamilton–Jacobi equations with multiplicative rough time dependence and convex Hamiltonians

Gassiat, Paul, Gess, Benjamin, Lions, Pierre-Louis, Souganidis, Panagiotis E.

Journal:

Probability Theory and Related Fields

Year:

2019

Language:

english

File:

PDF, 591 KB

english, 2019

16

A regularity structure for rough volatility

Bayer, Christian, Friz, Peter K., Gassiat, Paul, Martin, Jorg, Stemper, Benjamin

Journal:

Mathematical Finance

Year:

2019

File:

PDF, 1.09 MB

2019