35 citations · 50 across the 9 of their papers we have counts for
4 papers · 1 filter
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…
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…
Utility Maximization in a jump market model
Marie-Amelie Morlais
In this paper, we consider the classical problem of utility maximization in a financial market allowing jumps. Assuming that the constraint set is a compact set, rather than a conv…
Quadratic BSDEs driven by a continuous martingale and application to utility maximization problem
Marie-Amelie Morlais
In this paper, we study a class of quadratic Backward Stochastic Differential Equations (BSDEs) which arises naturally when studying the problem of utility maximization with portfo…