Javier de Frutos

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We analyze a differential game with spatially distributed controls to study a multiregional transboundary pollution problem. The dynamics of the state variab...

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We analyze a transboundary pollution differential game where, in addition to the standard temporal dimension, a spatial dimension is introduced to capture th...

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This note revisits the problem of how to select an equilibrium in a differential game in the case of multiplicity of Nash equilibria. Most of the previous ap...

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We analyze a transboundary pollution differential game where pollution control is spatially distributed among a number of agents with predetermined spatial r...

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Under some standard market assumptions, evaluating a derivative implies computing the discounted expected value of its future cash flows. In that context, th...

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In this paper, we propose a Partial Differential Equation formulation for the value of an option when the underlying asset's price is described by a discrete...

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The aim of this paper is to compute upper and lower bounds for convex value functions of derivative contracts. Laprise et al. (2006) compute bounds for Ame...

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