In this paper, we define and study a new class of optimal stochastic control problems which is closely related to the theory of Backward SDE's and forward-backward SDE's. The controlled process takes values in RXR and a given initial data for X(O). Then, the control problem is to find the...

In order to get rid of the condition X=Y, we introduce an extension of the Dynkin game by allowing for an extended set of strategies, namely the set of mixed strategies. The main result of the paper is that the extended Dynkin game has a value when the processes X and Y are only restricted to be...

We consider two-player repeated games with lack of information on one side: first, payoff matrices are chosen according to a known probability, and are only announced to one of the players called the informed player. Then, the game with the selected payoffs is infinitely repeated. We prove here...

Ce travail est constitue de deux parties. Dans un premier temp, nous etudions un modele ou les actifs sont des projets d'investissements decrits par leurs flux. Ceux-ci sont modelises par des processus stochastiques dont la dynamique est decrite par un arbre binomial. Les investissements ont la...

We consider a financial market consisting of a nonrisky asset and a risky one. We study the minimal initial capital needed in order to super-replicate a given contingent claim under the Gamma constraint, i.e. a constraint on the unbounded variation part of the hedging porfolio. In the general...

In a first time we draw a rough shape of a general formal framework for polynomial approximation theory which encompasses the existing one by allowing the expression of new types of results. We show how this framework incorporates all the existing approximation results and, moreover, how new...

We establish necessary conditions of optimality for problems of optimal control Theory in the discrete time framework with infinite horizon. Our necessary conditions are in the form of Pontryagin principles. We treat smooth and partially nonsmooth settings, without concavity. A strong motivation...

In this paper we develop a new version of the algortihm proposed in [17] for solving exactly some variants of (un)weighted constrained two-dimensional cutting stock problems. We introduce one-dimensional bounded knapsacks in order to obtain an improved initial lower bound for limitating...

Semi-definite programming (SDP) is of growing importance in various filed: system control, mechanics, combinatorial optimization, ... Usually, it is solved by interior point methods, which are elegant, efficicent and well-suited. However, they have limitations, particularly in large-scale or...

In this paper we propose two exact algorithms for solving both two-staged and three-staged unconstrained (un) weighted cutting problems. The two-staged problem is solved by applying a dynamic programming procedure originally developed by Gilmore and Gomory [10]. The three-staged problem is...