89 citations · 212 across the 27 of their papers we have counts for
27 papers · 1 filter
Forward recursive aggregator systems and the forward Epstein-Zin recursive paradigm
Zakaria Bensaid, Anis Matoussi, Thaleia Zariphopoulou
We introduce forward recursive aggregator systems in It{ô}-diffusion markets, bridging the theories of recursive utilities and of forward performance criteria. The resulting criter…
Deep learning scheme for forward utilities using ergodic BSDEs
Guillaume Broux-Quemerais, Sarah Kaakaï, Anis Matoussi +1
In this paper, we present a probabilistic numerical method for a class of forward utilities in a stochastic factor model. For this purpose, we use the representation of dynamic con…
Quasilinear Stochastic PDEs with two obstacles: Probabilistic approach
Laurent Denis, Anis Matoussi, Jing Zhang
We prove an existence and uniqueness result for two-obstacle problem for quasilinear Stochastic PDEs (DOSPDEs for short). The method is based on the probabilistic interpretation of…
Mean-Field Backward-Forward SDE with Jumps and Storage problem in Smart Grids
Anis Matoussi, Arij Manai, Rym Salhi
In this paper, we prove the existence and uniqueness of the solution of a coupled Mean-Field Forward-Backward SDE system with Jumps. Then, we give an application in the field of st…
Exponential Quadratic BSDEs with infinite activity Jumps
Anis Matoussi, Rym Salhi
In this paper, we study a Backward Stochastic Differential Equation with Jumps (BSDEJs in short) where the jumps have infinite activity. Following a forward approach based on Expon…
Large Deviation Principles of Obstacle Problems for Quasilinear Stochastic PDEs
Anis Matoussi, Wissal Sabbagh, Tusheng Zhang
In this paper, we present a sufficient condition for the large deviation criteria of Budhiraja, Dupuis and Maroulas for functionals of Brownian motions. We then establish a large d…