1. Recherche
26 résultats  enregistrer la recherche
...
hal-01343702v2  Pré-publication, Document de travail
Ying Jiao, Idris Kharroubi. Information uncertainty related to marked random times and optimal investment
2016
...
hal-00761057v2  Article dans une revue
Idris Kharroubi, Huyen Pham. Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE
Annals of Probability, 2015, 43 (4), pp.1823-1865
...
hal-01103691v1  Article dans une revue
Idris Kharroubi, Thomas Lim, Armand Ngoupeyou. Mean-Variance Hedging on Uncertain Time Horizon in a Market with a Jump
Applied Mathematics and Optimization, 2013, 68, pp.413 - 444. <10.1007/s00245-013-9213-5>
...
hal-01103709v1  Article dans une revue
Idris Kharroubi, Thomas Lim. Progressive enlargement of filtrations and Backward SDEs with jumps
Journal of Theoretical Probability, Sprnger, 2014, pp.683-724. <10.1007/s10959-012-0428-1>
...
hal-00283407v1  Pré-publication, Document de travail
Idris Kharroubi, Jin Ma, Huyen Pham, Jianfeng Zhang. Backward SDEs with constrained jumps and Quasi-Variational Inequalities
2008
...
hal-00555787v2  Pré-publication, Document de travail
Idris Kharroubi, Thomas Lim. Progressive enlargement of filtrations and Backward SDEs with jumps
2011
...
hal-00905899v1  Pré-publication, Document de travail
Idris Kharroubi, Nicolas Langrené, Huyên Pham. A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization
2013
...
hal-00475628v1  Article dans une revue
Romuald Elie, Idris Kharroubi, Jean-François Chassagneux. Discrete-time Approximation of Multidimensional BSDEs with oblique reflections
Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2012, 22 (3), pp 971 - 1007
...
hal-01103699v1  Article dans une revue
Romuald Elie, Idris Kharroubi. BSDE representations for optimal switching problems with controlled volatility
Stochastics and Dynamics, World Scientific Publishing, 2014, 14, pp.1450003. <10.1142/S0219493714500038>
...
hal-00413161v2  Article dans une revue
Romuald Elie, Idris Kharroubi. Probabilistic Representation and Approximation for Coupled Systems of Variational Inequalities
Statistics and Probability Letters, Elsevier, 2010, 80 (17-18), pp.1388-1396
...
hal-00573428v1  Pré-publication, Document de travail
Romuald Elie, Idris Kharroubi. BSDE representations for optimal switching problems with controlled volatility
2011
...
hal-00708597v2  Pré-publication, Document de travail
Idris Kharroubi, Thomas Lim, Armand Ngoupeyou. Mean-Variance Hedging on uncertain time horizon in a market with a jump
2012
...
hal-00394997v1  Article dans une revue
Idris Kharroubi, Huyen Pham. Optimal portfolio liquidation with execution cost and risk
SIAM Journals, 2010, 1, pp.897-931. <10.1137/09076372X>
...
hal-00757426v1  Pré-publication, Document de travail
Idris Kharroubi, Thomas Lim. A decomposition approach for the discrete-time approximation of BSDEs with a jump II: the quadratic case
2012
...
hal-00576922v3  Pré-publication, Document de travail
Idris Kharroubi, Thomas Lim. A decomposition approach for the discrete-time approximation of FBSDEs with a jump I : the Lipschitz case
2011
...
hal-00569230v1  Rapport
Ying Jiao, Idris Kharroubi, Huyen Pham. Optimal investment under multiple defaults risk: a BSDE-decomposition approach
2011
...
hal-00626258v1  Pré-publication, Document de travail
Gassiat Paul, Idris Kharroubi, Huyen Pham. Time discretization and quantization methods for optimal multiple switching problem
2011
...
tel-00439542v1  Thèse
Idris Kharroubi. EDS Rétrogrades et Contrôle Stochastique Séquentiel en Temps Continu en Finance
Mathématiques [math]. Université Paris-Diderot - Paris VII, 2009. Français
...
tel-01091559v1  HDR
Idris Kharroubi. Probabilistic Representations and Approximations in Stochastic Control and Financial Mathematics
Probability [math.PR]. Université Paris Dauphine, 2014
...
hal-01127659v1  Article dans une revue
Idris Kharroubi, Thomas Lim. A decomposition approach for the discrete-time approximation of FBSDEs with a jump
Random Operators and Stochastic Equations, De Gruyter, 2015, 23 (2), <10.1515/rose-2014-0031>
...
hal-01103771v1  Article dans une revue
Romuald Elie, Idris Kharroubi. Adding constraints to BSDEs with jumps: an alternative to multidimensional reflections
ESAIM: Probability and Statistics, EDP Sciences, 2014, 18, pp.233 - 250. <10.1051/ps/2013036>
...
hal-00573430v1  Article dans une revue
Jean-François Chassagneux, Romuald Elie, Idris Kharroubi. A note on existence and uniqueness for solutions of multidimensional reflected BSDEs
Electronic Communications in Probability, Institute of Mathematical Statistics (IMS), 2011, 16, pp.120-128
...
hal-00990981v4  Article dans une revue
Idris Kharroubi. Optimal Switching in Finite Horizon under State Constraints
SIAM Journal on Control and Optimization, Society for Industrial and Applied Mathematics, 2016, 54 (4), pp.2202-2233
...
hal-00630251v1  Article dans une revue
Idris Kharroubi. Comparison theorem for Brownian multidimensional BSDEs via jump processes
Comptes rendus de l'Académie des sciences. Série I, Mathématique, Elsevier, 2011, 349 (7-8), pp.463-468. <10.1016/j.crma.2011.03.012>
...
hal-00369404v3  Pré-publication, Document de travail
Romuald Elie, Idris Kharroubi. Adding constraints to BSDEs with Jumps: an alternative to multidimensional reflections
2011
...
hal-00905416v3  Article dans une revue
Idris Kharroubi, Nicolas Langrené, Huyên Pham. Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps
Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2015, 25 (4)

Contact


archive-ouverte@inria.fr