Marie-Claire Quenez

Optimal multiple stopping time problem.

We study the optimal multiple stopping time problem defined for each stopping time

Game options in an imperfect market with default

S

Generalized Dynkin games and doubly reflected BSDEs with jumps

by

Mixed generalized Dynkin game and stochastic control in a Markovian framework

\displaystyle{ v(S)=\esssup_ {\tau_1,\cdots,\tau_d \geq S } E[\psi( \tau_1,\cdots,\tau_d)\, |\,\F_S]\,}

Portfolio optimization in a default model under full/partial information

.\\ The key point is the construction of a {\em new reward}

Optimal stopping and a non-zero-sum Dynkin game in discrete time with risk measures induced by BSDEs

\phi

Optimal Portfolio in Partially Observed Stochastic Volatility Models

such that the value function

BSDEs with jumps, optimization and applications to dynamic risk measures

v(S)

Exponential Utility Maximization in an Incomplete Market with Defaults

satisfies also

Optimal stopping time problem in a general framework

v(S)=\esssup_ {\theta \geq S } \,E[\phi(\theta)\, |\,\F_S]\,.