3 papers
math.PR2013
Maximization of recursive utilities under convex portfolio constraints
Anis Matoussi, Hanen Mezghani, Mohamed Mnif
We study a robust maximization problem from terminal wealth and consumption under a convex constraints on the portfolio. We state the existence and the uniqueness of the consumptio…
math.PR2013
Optimal stochastic control problem under model uncertainty with non-entropic penalty
Wahid Faidi, Anis Matoussi, Mohamed Mnif
In this paper, a stochastic control problem under model uncertainty with general penalty term is studied. Two types of penalties are considered. The first one is of type f-divergen…
math.PR2013
Euler time discretization of Backward Doubly SDEs and Application to Semilinear SPDEs
Achref Bachouch, Mohamed Anis Ben Lasmar, Anis Matoussi +1
This paper investigates a numerical probabilistic method for the solution of some semilinear stochastic partial differential equations (SPDEs in short). The numerical scheme is bas…