Mathematical research

My wonderful research works mostly concern stochastic optimization.



Habilitation PDF


About compactification methods


            ♠      An Probabilistic methods in stochastic control, Notes de Cours, Université de Pescara, Avril 1996 PDF
            ♠       Etude d'un problème de contrôle stochastique partiellement observable avec sauts, CRAS Paris, 1,308,Série I, pp.479-482, 1989
            ♠       Mixed control problem under partial observation, Applied Mathematics and optimization, 27, pp.57-84, 1993
            ♠       Comparison between optimal costs for relaxed and non-relaxed control problems with jumps, System and Control letters, 17, pp.313-319, 1991
            ♠       An algorithm for a stochastic control problem under partial observation, prépublication , 1992
            ♠       A note on weak viability for controlled diffusions, Statistics and Probability Letters, 49; pp.331-336;2000
            ♠       Stochastic control methods in optimal design of life testing (avec N.El Karoui et A.Gerardi), Stochastic Processes and their Application, 52, pp.309-328, 1994
            ♠      Optimal design in semiparametric life testing (avec C.Ceci).Stat.Inf.Stoch. Proc., 2004
            ♠      Optimal control for rough differential equations, Stoch. Dyn. 8, No. 1, 23-33, 2008 (avec I.Nourdin)


Algorithms


            ♠       An algorithm for solving a stochastic control problem, Stochastic Analysis and Applications, 14(5), pp.513-533, 1996
            ♠       Approximation of a Partially Observable Stochastic Control Problem, Markov Processes and related fields,5, .477-486, 1999


Other optimization problems


            ♠       Filtering and control with information increasing (avec J-D.Benarous et R.Rouge), Methodology and Computing in Applied Probability, 2; pp.123-135, 2000
            ♠       Controlled Trees (avec C.Ceci), Revista Brasileira de Probabilidade e Estatistica,2, pp.93-105, 1994
            ♠       Some results about stopping times of the marked tree space (avec C.Ceci et A.Gerardi), Teorija Verojatnost'ej i jejo Primenienia, 41(3), pp.579-590, 1996
            ♠      
            ♠      Possible and exact viability for controlled diffusion (avec C.Rainer). Statistics and Probability Letters, 2003.
            ♠      Dynamic programming for a set-indexed control problem (avec D.Saada). Prépublication:septembre 2002. PDF
            ♠      A multidimensional bipolar theorem (avec B.Bouchard). Stochastic Processes and their Applications, 107, 2, pp.213-231, 2003


Other works


            ♠       Homogenization of two randomly weakly connected materials (avec M.Briane), Portugaliae Mathematica, 55(2), pp.187-207, 1998
            ♠       Branching Properties of Brownian paths and Trees (avec R.Abraham), Expositiones Mathematicae, 16; pp.59-74, 1998