3 papers
math.OC2026
Portfolio Exponential Utility Maximization with Jump Signals
Lokmane Abbas Turki, Sigui Brice Dro, Idris Kharroubi
In this paper, we study the portfolio utility maximization in the case where the risky asset is driven by a Brownian motion and an independent homogeneous Poisson measure, with str…
math.OC2025
Stochastic maximum principle for optimal control problem of non exchangeable mean field systems
Idris Kharroubi, Samy Mekkaoui, Huyên Pham
We study the Pontryagin maximum principle by deriving necessary and sufficient conditions for a class of optimal control problems arising in non exchangeable mean field systems, wh…
math.PR2024
Optimal Stopping of Branching Diffusion Processes
Idris Kharroubi, Antonio Ocello
This article explores an optimal stopping problem for branching diffusion processes. It consists in looking for optimal stopping lines, a type of stopping time that maintains the b…