89 citations · 212 across the 27 of their papers we have counts for
5 papers · 2 filters
The obstacle problem for semilinear parabolic partial integro-differential equations
Anis Matoussi, Wissal Sabbagh, Chao Zhou
This paper presents a probabilistic interpretation for the weak Sobolev solution of the obstacle problem for semilinear parabolic partial integro-differential equations (PIDEs). Th…
Maximization of recursive utilities under convex portfolio constraints
Anis Matoussi, Hanen Mezghani, Mohamed Mnif
We study a robust maximization problem from terminal wealth and consumption under a convex constraints on the portfolio. We state the existence and the uniqueness of the consumptio…
The existence and uniqueness result for Quasilinear Stochastic PDEs with Obstacle under weaker integrability conditions
Laurent Denis, Anis Matoussi, Jing Zhang
We prove an existence and uniqueness result for quasilinear Stochastic PDEs with Obstacle (in short OSPDE) under a weaker integrability condition on the coefficient and the barrier…
Optimal stochastic control problem under model uncertainty with non-entropic penalty
Wahid Faidi, Anis Matoussi, Mohamed Mnif
In this paper, a stochastic control problem under model uncertainty with general penalty term is studied. Two types of penalties are considered. The first one is of type f-divergen…
Euler time discretization of Backward Doubly SDEs and Application to Semilinear SPDEs
Achref Bachouch, Mohamed Anis Ben Lasmar, Anis Matoussi +1
This paper investigates a numerical probabilistic method for the solution of some semilinear stochastic partial differential equations (SPDEs in short). The numerical scheme is bas…