Laboratoire Manceau
de Mathématiques
Equipe d'Accueil N° 3263
Membre de la Fédération de mathématiques des Pays de Loire
Faculté des Sciences et Techniques - Université du Maine
POPIER Alexandre
Membres BEN HARIZ Samir BROUSTE Alexandre DENIS Laurent DUTANG Christophe FARINETTO Christian HAMADENE Saïd KLEPTSYNA Marina KUTOYANTS Yury MATOUSSI Anis MAUGEAIS Sylvain MORLAIS Marie-Amélie POPIER Alexandre VOTSI Irène

Maître de conférences
Tel : + 33 +(0)2 43 83 37 19
Fax : + 33 +(0)2 43 83 35 79
Courriel : Alexandre.Popier@univ-lemans.fr
Page web : http://perso.univ-lemans.fr/~apopie...

Main research topics

  • Fractional Brownian motion and Statistics
  • Backward stochastic differential equations (BSDE) :
    • Weak and measure solutions
    • Quadratic BSDE
    • Existence and uniqueness under singular conditions ; link with parabolic or elliptic PDE for singular data (blow-up problem)
    • Reflected BSDE
    • Link with partial differential equations (PDE), viscosity solutions
    • Numerical simulations
  • Optimal stochastic control.
  • Financial mathematics :
    • Incompleted market with external risk sources (climate, weather, etc.)
    • Switching problem

Papers

  • Backward stochastic differential equations with singular terminal condition. Published in Stochastic Processes and their Applications 116 (2006), pages 2014-2056 - Pdf version
  • Backward stochastic differential equations with stopping time and singular terminal condition. Published in Annals of Probability 35, no 3 (2007), pages 1071-1117 - Pdf version
  • Optimal cross hedging for insurance derivatives. With Stefan Ankirchner and Peter Imkeller . Published in Stochastic Analysis and their Applications, 26, no 4 (2008), pages 679-709 - Pdf version
  • On measure solutions of backward stochastic differential equations. With Stefan Ankirchner and Peter Imkeller. Published in Stochastic Processes and their Applications, 119, no 9 (2009), pages 2744—2772 - Pdf version
  • A Finite Horizon Optimal Multiple Switching Problem. With Boualem Djehiche and Saïd Hamadène. Published in SIAM J. Control Optim., 48, no 3 (2009), pages 2751-2770 - Pdf version.
  • Lp solutions for reflected BSDE. With Saïd Hamadène - Pdf version.
  • Design for estimation of drift parameter in fractional diffusion system. With Alexandre Brouste and Marina Kleptsyna - Pdf version.
Laboratoire Manceau de Mathématiques
Université du Maine - Faculté des Sciences et Techniques
Avenue Olivier Messiaen - 72085 Le Mans Cedex 9 (France)
Tel : +(33) 2 43 83 32 19
[ Contacts ]