322 citations · 403 across the 40 of their papers we have counts for
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math.PR2014★ 1 cited
A Full Balance Sheet Two-modes Optimal Switching problem
Boualem Djehiche, Ali Hamdi
We formulate and solve a finite horizon full balance sheet two-modes optimal switching problem related to trade-off strategies between expected profit and cost yields. Given the cu…
math.PR2014★ 2 cited
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…