4 citations · 8 across the 9 of their papers we have counts for
4 papers · 1 filter
Deep Learning for the Multiple Optimal Stopping Problem
Mathieu Laurière, Mehdi Talbi
This paper presents a novel deep learning framework for solving multiple optimal stopping problems in high dimensions. While deep learning has recently shown promise for single sto…
Optimal control of Volterra integral diffusions and application to contract theory
Dylan Possamaï, Mehdi Talbi
This paper focuses on the optimal control of a class of stochastic Volterra integral equations. Here the coefficients are regular and not assumed to be of convolution type. We show…
Itô-Wentzell formulas for semimartingale conditional laws with applications to mean-field control
Nizar Touzi, Mehdi Talbi
The present paper is an extension of Fadle-Touzi (2024). Following the same methodology, merely based on Taylor expansions, we establish the Itô and Itô-Wentzell formulae for flows…
Markov approximation for controlled Hawkes Jump-Diffusions with general kernels
Mahmoud Khabou, Mehdi Talbi
We present a Markov approximation for jump-diffusions whose jump part consists in a Hawkes process with intensity driven by a general (possibly non-monotone) kernel. Under minimal…