3 papers
math.PR2026
Forward recursive aggregator systems and the forward Epstein-Zin recursive paradigm
Zakaria Bensaid, Anis Matoussi, Thaleia Zariphopoulou
We introduce forward recursive aggregator systems in It{ô}-diffusion markets, bridging the theories of recursive utilities and of forward performance criteria. The resulting criter…
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…
math.NA2024
Deep learning algorithms for FBSDEs with jumps: Applications to option pricing and a MFG model for smart grids
Clémence Alasseur, Zakaria Bensaid, Roxana Dumitrescu +1
In this paper, we introduce various machine learning solvers for (coupled) forward-backward systems of stochastic differential equations (FBSDEs) driven by a Brownian motion and a…