publication

A Hamilton Jacobi Bellman Isaacs equation for a financial risk model,
    chapter of   Controle Optimal et EDP: Innovations et Application (Optimal Control and PDEs),
    (2000) 558-568. Edited by J-L. Menaldi, E. Rofman and A. Sulem, IOS Press.
    Joint with D. Talay.
Volatility Model Risk measurement and strategies against worst case volatilities,
    Journal of the French Society of Statistics, vol 141, num 1-2, (2000) 73-86.
    Joint with M. Bossy, R. Gibson, F-L Lhabitant, N. Pistre, D. Talay.
    This paper is the results of a joint collaboration between INRIA, RiskLab Institute (Zurich)
    and University of Lausanne.
Worst case model risk management, Finance & Stochastics, vol VI, issue 4, 517-537, (2002).

Quantiles of the Euler scheme for diffusion processes and financial applications,

Numerical Analysis of Stochastic Differential Systems and its applications in Finance,
Chapter in the Handbook of Numerical Methods in Finance, 399-432, (2004), edited by Z. Rachev, Birkhaeuser.
The Pedestrian Principle for Differential Games, to appear in International Game Theory Review. Joint with R.H.Stockbridge. This paper provides an original perspective for equilibrium and its implementation.
A New Theory of Speculation: Invisible hand, Rational noise and Pedestrian principle. This paper aims to characterize the casino aspect of financial market and to model the price dynamics via an non-tatonnement process driven by excess demand.
From Rationality to Bounded Rationality, to appear in the Special Issue of Australian Economic Papers. This paper shows that market may stay between the weak-form efficiency and the semi-strong-form efficiency without noise supply.

Recrossing the Bridge from Discrete Time to Continuous Time Towards a Complete Model with Stochastic Volatility I. This paper introduces a complete and weakly efficient stochastic volatility model which is the continuous time limit of HARCH processes.
A Realistic, Complete and Efficient Stochastic Volatility Model, Joint with D.M. Ke. This paper demonstrate the SV model above is realistic.
Weak Solutions for Forward-Backward SDEs, Joint with J. Ma and J.F. Zhang.

Analyse du risque de modèle en finance. Equations différentielles stochastiques rétrogrades réfléchies avec temps terminal aléatoire, Thesis of PHD, (2002)
A general maximum principle for optimal stochastic control on manifolds, Thesis of MS, (1998)
Reflected BSDEs with random terminal time and applications, (2002-?), Joint with D. Talay.
Reflected BSDEs with random terminal time and Applications Part II: Variational Inequalities, (2002-?)

Reflected BSDEs with random terminal time and Applications Part III: linear Dirichlet Problems, (2002-?) This paper shows the existence and representation for possibly discontinuous solutions to linear Dirichlet Problems on nearly arbitrary domain.
Information Game, Proceedings of the Eleventh International Symposium on Dynamic Games and Applications, 1198 - 1212, 2004.
A Dynamic Normal Formulation and the Pedestrian Principle for Differential Game, Proceedings of the Eleventh International Symposium on Dynamic Games and Applications, 1184-1197, 2004.