1 citations · 1 across the 3 of their papers we have counts for
3 papers
math.OC2021
Nonzero-sum stochastic impulse games with an application in competitive retail energy markets
René Aïd, Lamia Ben Ajmia, M'hamed Gaïgi +1
We study a nonzero-sum stochastic differential game with both players adopting impulse controls, on a finite time horizon. The objective of each player is to maximize her total exp…
q-fin.CP2010
Numerical methods for optimal insurance demand under marked point processes shocks
Mohamed Mnif
This paper deals with numerical solutions of maximizing expected utility from terminal wealth under a non-bankruptcy constraint. The wealth process is subject to shocks produced by…
math.OC2010★ 1 cited
Optimal insurance demand under marked point processes shocks: a dynamic programming duality approach
Mohamed Mnif
We study the stochastic control problem of maximizing expected utility from terminal wealth under a non-bankruptcy constraint. The wealth process is subject to shocks produced by a…