89 citations · 212 across the 27 of their papers we have counts for
6 papers · 2 filters
Second-order BSDEs with general reflection and game options under uncertainty
Anis Matoussi, Lambert Piozin, Dylan Possamaï
The aim of this paper is twofold. First, we extend the results of [33] concerning the existence and uniqueness of second-order reflected 2BSDEs to the case of two obstacles. Under…
The obstacle problem for quasilinear stochastic PDEs: Analytical approach
Laurent Denis, Anis Matoussi, Jing Zhang
We prove an existence and uniqueness result for quasilinear Stochastic PDEs with obstacle (OSPDE in short). Our method is based on analytical technics coming from the parabolic pot…
Robust utility maximization problem in model with jumps and unbounded claim
Monique Jeanblanc, Anis Matoussi, Armand Ngoupeyou
We study a problem of utility maximization under model uncertainty with information including jumps. We prove first that the value process of the robust stochastic control problem…
Maximum principle for quasilinear SPDE's on a bounded domain without regularity assumptions
Laurent Denis, Anis Matoussi
We prove a maximum principle for local solutions of quasi-linear parabolic stochastic PDEs, with non-homogeneous second order operator on a bounded domain and driven by a space-tim…
Robust utility maximization in non-dominated models with 2BSDEs
Anis Matoussi, Dylan Possamaï, Chao Zhou
The problem of robust utility maximization in an incomplete market with volatility uncertainty is considered, in the sense that the volatility of the market is only assumed to lie…
Second order reflected backward stochastic differential equations
Anis Matoussi, Dylan Possamaï, Chao Zhou
In this article, we build upon the work of Soner, Touzi and Zhang [Probab. Theory Related Fields 153 (2012) 149-190] to define a notion of a second order backward stochastic differ…