61 citations · 110 across the 9 of their papers we have counts for
10 papers
Simulating long-term impacts of mortality shocks: learning from the cholera pandemic
Nicole El Karoui, Kaouther Hadji, Sarah Kaakai
The aim of this paper is to study the long-term consequence on longevity of a mortality shock. We adopt an historical and modeling approach to study how the population evolution fo…
Birth Death Swap population in random environment and aggregation with two timescales
Sarah Kaakai, Nicole El Karoui
This paper deals with the stochastic modeling of a class of heterogeneous population in a random environment, called birth-death-swap. In addition to demographic events, swap event…
Dynamics of multivariate default system in random environment
Nicole El Karoui, Monique Jeanblanc, Ying Jiao
We consider a multivariate default system where random environmental information is available. We study the dynamics of the system in a general setting and adopt the point of view…
Ramsey Rule with Progressive utility and Long Term Affine Yields Curves
Nicole El Karoui, Mohamed Mrad, Caroline Hillairet
The purpose of this paper relies on the study of long term affine yield curves modeling. It is inspired by the Ramsey rule of the economic literature, that links discount rate and…
Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling
Nicole El Karoui, Caroline Hillairet, Mohamed Mrad
The purpose of this paper relies on the study of long term yield curves modeling. Inspired by the economic litterature, it provides a financial interpretation of the Ramsey rule th…
Capacities, Measurable Selection and Dynamic Programming Part II: Application in Stochastic Control Problems
Nicole El Karoui, Xiaolu Tan
We provide an overview on how to use the measurable selection techniques to derive the dynamic programming principle for a general stochastic optimal control/stopping problem. By c…
Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
Pauline Barrieu, Nicole El Karoui
In this paper, we study the stability and convergence of some general quadratic semimartingales. Motivated by financial applications, we study simultaneously the semimartingale and…
Stochastic Utilities With a Given Optimal Portfolio : Approach by Stochastic Flows
N. El Karoui, Mohamed M'Rad
The paper generalizes the construction by stochastic flows of consistent utility processes introduced by M. Mrad and N. El Karoui in (2010). The utilities random fields are defined…
An Exact Connection between two Solvable SDEs and a Nonlinear Utility Stochastic PDE
Nicole El Karoui, Mohamed Mrad
Motivated by the work of Musiela and Zariphopoulou \cite{zar-03}, we study the Itô random fields which are utility functions for any . The main tool is the marginal…
On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation
Laurent Carraro, Nicole El Karoui, Jan Obłój
We study the class of Azéma-Yor processes defined from a general semimartingale with a continuous running maximum process. We show that they arise as unique strong solutions of the…