4 papers
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…
Infinite Horizon Multi-Dimensional BSDE with Oblique Reflection and Switching Problem
Brahim El Asri, Nacer Ourkiya
This paper studies a system of multi-dimensional reflected backward stochastic differential equations with oblique reflections (RBSDEs for short) in infinite horizon associated to…