KHARROUBI, IDRIS: search on Z-Library

The world's largest scientific articles store. 70,000,000+ articles for free.

Don't use scam websites

1

Optimal risk management problem of natural resources: application to oil drilling

Gaïgi, M’hamed, Goutte, Stéphane, Kharroubi, Idris, Lim, Thomas

Journal:

Annals of Operations Research

Year:

2019

Language:

english

File:

PDF, 1.19 MB

english, 2019

2

Adding constraints to BSDEs with jumps: an alternative to multidimensional reflections

Elie, Romuald, Kharroubi, Idris

Journal:

ESAIM Probability and Statistics

Year:

2014

Language:

english

File:

PDF, 472 KB

english, 2014

3

A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization

Kharroubi, Idris, Langrené, Nicolas, Pham, Huyên

Journal:

Monte Carlo Methods and Applications

Year:

2014

Language:

english

File:

PDF, 887 KB

english, 2014

4

Optimal Portfolio Liquidation with Execution Cost and Risk

Kharroubi, Idris, Pham, Huyên

Journal:

SIAM Journal on Financial Mathematics

Year:

2010

Language:

english

File:

PDF, 745 KB

english, 2010

5

BACKWARD SDES WITH CONSTRAINED JUMPS AND QUASI-VARIATIONAL INEQUALITIES

Idris Kharroubi, Jin Ma, Huyên Pham and Jianfeng Zhang

Journal:

The Annals of Probability

Year:

2010

Language:

english

File:

PDF, 2.19 MB

english, 2010

6

A decomposition approach for the discrete-time approximation of FBSDEs with a jump

Kharroubi, Idris, Lim, Thomas

Journal:

Random Operators and Stochastic Equations

Year:

2015

Language:

english

File:

PDF, 738 KB

english, 2015

7

MAX–MIN OPTIMIZATION PROBLEM FOR VARIABLE ANNUITIES PRICING

BLANCHET-SCALLIET, CHRISTOPHETTE, CHEVALIER, ETIENNE, KHARROUBI, IDRIS, LIM, THOMAS

Journal:

International Journal of Theoretical and Applied Finance

Year:

2015

Language:

english

File:

PDF, 452 KB

english, 2015

8

Optimal Switching in Finite Horizon under State Constraints

Kharroubi, Idris

Journal:

SIAM Journal on Control and Optimization

Year:

2016

Language:

english

File:

PDF, 479 KB

english, 2016

9

Comparison theorem for Brownian multidimensional BSDEs via jump processes

Idris Kharroubi

Journal:

Comptes Rendus Mathematique

Year:

2011

File:

PDF, 160 KB

2011

10

Probabilistic representation and approximation for coupled systems of variational inequalities

Romuald Elie, Idris Kharroubi

Journal:

Statistics & Probability Letters

Year:

2010

Language:

english

File:

PDF, 387 KB

english, 2010

11

Time discretization and quantization methods for optimal multiple switching problem

Paul Gassiat, Idris Kharroubi, Huyên Pham

Journal:

Stochastic Processes and their Applications

Year:

2012

Language:

english

File:

PDF, 344 KB

english, 2012

12

Progressive Enlargement of Filtrations and Backward Stochastic Differential Equations with Jumps

Idris Kharroubi, Thomas Lim

Journal:

Journal of Theoretical Probability

Year:

2014

Language:

english

File:

PDF, 1.20 MB

english, 2014

13

Mean-Variance Hedging on Uncertain Time Horizon in a Market with a Jump

Kharroubi, Idris, Lim, Thomas, Ngoupeyou, Armand

Journal:

Applied Mathematics & Optimization

Year:

2013

Language:

english

File:

PDF, 982 KB

english, 2013

14

Optimal investment under multiple defaults risk: A BSDE-decomposition approach

Jiao, Ying, Kharroubi, Idris, Pham, Huyên

Journal:

The Annals of Applied Probability

Year:

2013

Language:

english

File:

PDF, 348 KB

english, 2013

15

BSDE representations for optimal switching problems with controlled volatility

Elie, Romuald, Kharroubi, Idris

Journal:

Stochastics and Dynamics

Year:

2014

Language:

english

File:

PDF, 275 KB

english, 2014

16

When terminal facelift enforces delta constraints

Chassagneux, Jean-François, Elie, Romuald, Kharroubi, Idris

Journal:

Finance and Stochastics

Year:

2015

Language:

english

File:

PDF, 1.04 MB

english, 2015

17

Backward SDEs with constrained jumps and quasi-variational inequalities

Kharroubi, Idris, Ma, Jin, Pham, Huyên, Zhang, Jianfeng

Journal:

The Annals of Probability

Year:

2010

Language:

english

File:

PDF, 447 KB

english, 2010

18

DISCRETE-TIME APPROXIMATION OF MULTIDIMENSIONAL BSDES WITH OBLIQUE REFLECTIONS

Jean-Francois Chassagneux, Romuald Elie and Idris Kharroubi

Journal:

The Annals of Applied Probability

Year:

2012

Language:

english

File:

PDF, 1.97 MB

english, 2012

19

Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps

Kharroubi, Idris, Langrené, Nicolas, Pham, Huyên

Journal:

The Annals of Applied Probability

Year:

2015

Language:

english

File:

PDF, 364 KB

english, 2015

20

Discrete-time approximation of multidimensional BSDEs with oblique reflections

Chassagneux, Jean-Francois, Elie, Romuald, Kharroubi, Idris

Journal:

The Annals of Applied Probability

Year:

2012

Language:

english

File:

PDF, 365 KB

english, 2012

21

Feynman–Kac representation for Hamilton–Jacobi–Bellman IPDE

Kharroubi, Idris, Pham, Huyên

Journal:

The Annals of Probability

Year:

2015

Language:

english

File:

PDF, 390 KB

english, 2015

22

A note on existence and uniqueness for solutions of multidimensional reflected BSDEs

Chassagneux, Jean François, Elie, Romuald, Kharroubi, Idris

Journal:

Electronic Communications in Probability

Year:

2011

Language:

english

File:

PDF, 162 KB

english, 2011

23

Information uncertainty related to marked random times and optimal investment

Jiao, Ying, Kharroubi, Idris

Journal:

Probability, Uncertainty and Quantitative Risk

Year:

2018

Language:

english

File:

PDF, 583 KB

english, 2018

24

Optimal management of an oil exploitation

Goutte, Stéphane, Kharroubi, Idris, Lim, Thomas

Journal:

International Journal of Global Energy Issues

Year:

2018

Language:

english

File:

PDF, 1.01 MB

english, 2018

25

Optimal Management of an Oil Exploitation

Goutte, Stephane, Kharroubi, Idris, Lim, Thomas

Journal:

SSRN Electronic Journal

Year:

2017

Language:

english

File:

PDF, 591 KB

english, 2017

26

Optimal exploitation of a resource with stochastic population dynamics and delayed renewal

Kharroubi, Idris, Lim, Thomas, Vath, Vathana Ly

Journal:

Journal of Mathematical Analysis and Applications

Year:

2019

Language:

english

File:

PDF, 1.34 MB

english, 2019

27

Regulation of Renewable Resource Exploitation

Kharroubi, Idris, Lim, Thomas, Mastrolia, Thibaut

Journal:

SIAM Journal on Control and Optimization

Year:

2020

File:

PDF, 1.79 MB

2020

28

Quenched Mass Transport of Particles Toward a Target

Bouchard, Bruno, Djehiche, Boualem, Kharroubi, Idris

Journal:

Journal of Optimization Theory and Applications

Year:

2020

File:

PDF, 481 KB

2020

29

Optimal Exploitation of a General Renewable Natural Resource under State and Delay Constraints

GaÃ¯gi, Mâhamed, Kharroubi, Idris, Lim, Thomas

Journal:

Year:

2020

File:

PDF, 739 KB

2020