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- Laboratoire de Mathématiques et Modélisation d'ÉvryFR24 papers
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6 papers · 1 filter
Existence of optimal controls for stochastic Volterra equations
Andrés Cárdenas, Sergio Pulido, Rafael Serrano
We provide sufficient conditions that guarantee the existence of relaxed optimal controls in the weak formulation of stochastic control problems for stochastic Volterra equations (…
Quantifying extinction probabilities of endangered species for phylogenetic conservation prioritization may not be as sensitive as might be feared
Alain Billionnet
In this study we are concerned with the general problem of choosing from a set of endangered species T a subset S of k species to protect as a priority. Here, the interest to prote…
Using a conic bundle method to accelerate both phases of a quadratic convex reformulation
Alain Billionnet, Sourour Elloumi, Amélie Lambert +1
We present algorithm MIQCR-CB that is an advancement of method MIQCR~(Billionnet, Elloumi and Lambert, 2012). MIQCR is a method for solving mixed-integer quadratic programs and wor…
A decomposition approach for the discrete-time approximation of BSDEs with a jump II: the quadratic case
Idris Kharroubi, Thomas Lim
We study the discrete-time approximation for solutions of quadratic forward back- ward stochastic differential equations (FBSDEs) driven by a Brownian motion and a jump process whi…
Mean-Variance Hedging on uncertain time horizon in a market with a jump
Idris Kharroubi, Thomas Lim, Armand Ngoupeyou
In this work, we study the problem of mean-variance hedging with a random horizon T ^ tau, where T is a deterministic constant and is a jump time of the underlying asset price proc…
Progressive enlargement of filtrations and Backward SDEs with jumps
Idris Kharroubi, Thomas Lim
This work deals with backward stochastic differential equation (BSDE) with random marked jumps, and their applications to default risk. We show that these BSDEs are linked with Bro…