4 papers
Deep Learning for Energy Market Contracts: Dynkin Game with Doubly RBSDEs
Nacira Agram, Ihsan Arharas, Giulia Pucci +1
We formulate a Contract for Difference (CfD) with early exit options as a two-player zero-sum Dynkin game, reflecting the strategic interaction between an electricity producer and…
Optimal Stopping Under Model Uncertainty in a General Setting
Ihsan Arharas, Siham Bouhadou, Astrid Hilbert +1
We consider the optimal stopping time problem under model uncertainty $R(v)= {\text{ess}\sup\limits}_{ \mathbb{P} \in \mathcal{P}} {\text{ess}\sup\limits}_{τ\in \mathcal{S}_v} E^\m…
Reflected and Doubly RBSDEs with Irregular Obstacles and a Large Set of Stopping Strategies
Ihsan Arharas, Youssef Ouknine
We introduce a new formulation of reflected BSDEs and doubly reflected BSDEs associated with irregular obstacles. In the first part of the paper, we consider an extension of the cl…
Doubly Reflected BSDEs in the predictable setting
Ihsan Arharas, Siham Bouhadou, Youssef Ouknine
In this paper, we introduce a specific kind of doubly reflected Backward Stochastic Differential Equations (in short DRBSDEs), defined on probability spaces equipped with general f…