35 citations · 50 across the 9 of their papers we have counts for
9 papers
Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs
Marco Fuhrman, Marie-Amélie Morlais
We address a general optimal switching problem over finite horizon for a stochastic system described by a differential equation driven by Brownian motion. The main novelty is the f…
Viscosity solutions for second order integro-differential equations without monotonicity conditions: The Probabilistic Approach
Marie-Amélie Morlais, Said Hamadène
In this paper, we establish a new uniqueness result of a (continuous) viscosity solution for some integro-partial differential equation (IPDE in short). The novelty is that we rela…
On the Equality of Solutions of Max-Min and Min-Max Systems of Variational Inequalities with Interconnected Bilateral Obstacles
Boualem Djehiche, Said Hamadène, Marie-Amélie Morlais +1
In this paper, we deal with the solutions of systems of PDEs with bilateral inter-connected obstacles of min-max and max-min types. These systems arise naturally in stochastic swit…
Viscosity solutions of systems of PDEs with interconnected obstacles and Multi modes switching problems
Said Hamadène, Marie-Amélie Morlais
This paper deals with existence and uniqueness, in viscosity sense, of a solution for a system of m variational partial differential inequalities with inter-connected obstacles. A…
Optimal stopping of expected profit and cost yields in an investment under uncertainty
Boualem Djehiche, Said Hamadène, Marie Amélie Morlais
We consider a finite horizon optimal stopping problem related to trade-off strategies between expected profit and cost cash-flows of an investment under uncertainty. The optimal pr…
An extended existence result for quadratic BSDEs with jumps with application to the utility maximization problem
Marie Amelie Morlais
In this study, we consider the exponential utility maximization problem in the context of a jump-diffusion model. To solve the problem, we rely on the dynamic programming principle…