8 citations · 23 across the 5 of their papers we have counts for
5 papers · 1 filter
Lp-Solutions for Reected Backward Stochastic Differential Equations
Said Hamadene, Alexandre Popier
This paper deals with the problem of existence and uniqueness of a solution for a backward stochastic differential equation (BSDE for short) with one reflecting barrier in the case…
Stochastic Impulse Control of Non-Markovian Processes
Boualem Djehiche, Said Hamadene, Ibtissam Hdhiri
We consider a class of stochastic impulse control problems of general stochastic processes i.e. not necessarily Markovian. Under fairly general conditions we establish existence of…
The Finite Horizon Optimal Multi-Modes Switching Problem: the Viscosity Solution Approach
Brahim El Asri, Said Hamadene
In this paper we show existence and uniqueness of a solution for a system of m variational partial differential inequalities with inter-connected obstacles. This system is the dete…
The Starting and Stopping Problem under Knightian Uncertainty and Related Systems of Reflected BSDEs
Said Hamadene, Jianfeng Zhang
This article deals with the starting and stopping problem under Knightian uncertainty, i.e., roughly speaking, when the probability under which the future evolves is not exactly kn…
A Finite Horizon Optimal Multiple Switching Problem
Boualem Djehiche, Said Hamadene, Alexandre Popier
We consider the problem of optimal multiple switching in finite horizon, when the state of the system, including the switching costs, is a general adapted stochastic process. The p…