3 papers
math.NA2026
Deep numerical schemes for systems of Ergodic BSDEs with applications to regime-switching forward utilities
Guillaume Broux-Quemerais, Sarah Kaakai, Anis Matoussi +1
In this paper, we introduce two neural-network-based numerical schemes for solving systems of coupled ergodic Backward Stochastic Differential Equations (eBSDEs), motivated by the…
math.OC2026
Optimal Impulse Control for Cyber Risk Management
Caroline Hillairet, Thibaut Mastrolia, Wissal Sabbagh
We explore an optimal impulse control problem wherein an electronic device owner strategically calibrates protection levels against cyber attacks. Utilizing epidemiological compart…
math.OC2026
Law-invariant BSDEs and dynamic risk measures: new characterizations
Zakaria Bensaid, Roxana Dumitrescu, Anis Matoussi +1
We provide a new characterization of law-invariant backward stochastic differential equations (i.e. BSDEs) with quadratic growth. This answers the open question raised in Xu--Xu--Z…