17 citations · 17 across the 6 of their papers we have counts for
6 papers
Numerical approximations of the value of zero-sum stochastic differential impulse controls game in finite horizon
Antoine Zolome, Brahim El Asri
In this paper, we consider a differential stochastic zero-sum game in which two players intervene by adopting impulse controls in a finite time horizon. We provide a numerical solu…
One dimensional reflected BSDEs with two barriers under logarithmic growth and applications
Brahim El Asri, Khalid Oufdil, Nacer Ourkiya
In this paper we deal with the problem of the existence and the uniqueness of a solution for one dimensional reflected backward stochastic differential equations with two strictly…
Stochastic optimal switching and systems of variational inequalities with interconnected obstacles
Brahim El Asri, Imade Fakhouri, Nacer Ourkiya
This paper studies a system of variational inequalities with interconnected obstacles in infinite horizon associated to optimal multi-modes switching problems. Our main result…
Mixed Zero-Sum Stochastic Differential Game and Doubly Reflected BSDEs with a Specific Generator
Brahim El Asri, Nacer Ourkiya
This paper studies the mixed zero-sum stochastic differential game problem. We allow the functionals and dynamics to be of polynomial growth. The problem is formulated as an extend…
The Finite Horizon impulse control Problem with arbitrary cost functions : the Viscosity Solution Approach
Brahim El Asri, Sehail Mazid
We consider stochastic impulse control problems when the impulses cost functions are arbitrary. We use the dynamic programming principle and viscosity solutions approach to show th…
Viscosity Solutions for a System of PDEs and Optimal Switching
Brahim El Asri, Imade Fakhouri
In this paper, we study the -states optimal switching problem in finite horizon, when the switching cost functions are arbitrary and can be positive or negative. This has an eco…