24 citations · 53 across the 26 of their papers we have counts for
30 papers
A stochastic mirror descent algorithm for mean-field control problems
Noufel Frikha, Aymen Haouas
We develop a stochastic mirror descent method for continuous-time McKean-Vlasov control with measure-valued controls and general Bregman regularisation. The dependence on the state…
Entropy-regularized penalization schemes and reflected BSDEs with singular generators
Daniel Chee, Noufel Frikha, Libo Li
This paper extends our previous work to continuous-time optimal stopping, focusing on American options in an exploratory setting. Our first contribution is an entropy-regularized p…
A Monotone Limit Approach to Entropy-Regularized American Options
Daniel Chee, Noufel Frikha, Libo Li
Recent advances in continuous-time optimal stopping have been driven by entropy-regularized formulations of randomized stopping problems, with most existing approaches relying on p…
An Entropy Regularized BSDE Approach to Bermudan Options and Games
Noufel Frikha, Libo Li, Daniel Chee
In this paper, we investigate optimal stopping problems in a continuous-time framework where only a discrete set of stopping dates is admissible, corresponding to the Bermudan opti…
On the convergence of the Euler-Maruyama scheme for McKean-Vlasov SDEs
Noufel Frikha, Xuanye Song
Building on the well-posedness of the backward Kolmogorov partial differential equation in the Wasserstein space, we analyze the strong and weak convergence rates for approximating…
Mirror Descent Algorithms for Risk Budgeting Portfolios
Martin Arnaiz Iglesias, Adil Rengim Cetingoz, Noufel Frikha
This paper introduces and examines numerical approximation schemes for computing risk budgeting portfolios associated to positive homogeneous and sub-additive risk measures. We emp…
Full error analysis of policy gradient learning algorithms for exploratory linear quadratic mean-field control problem in continuous time with common noise
Noufel Frikha, Huyên Pham, Xuanye Song
We consider reinforcement learning (RL) methods for finding optimal policies in linear quadratic (LQ) mean field control (MFC) problems over an infinite horizon in continuous time,…
Adaptive Multilevel Stochastic Approximation of the Value-at-Risk
Stéphane Crépey, Noufel Frikha, Azar Louzi +1
Crépey, Frikha, and Louzi (2025) introduced a multilevel stochastic approximation scheme to compute the value-at-risk of a financial loss that is only simulatable by Monte Carlo. T…
Asymptotic Error Analysis of Multilevel Stochastic Approximations for the Value-at-Risk and Expected Shortfall
Stéphane Crépey, Noufel Frikha, Azar Louzi +1
Crépey, Frikha, and Louzi (2025) introduced a nested stochastic approximation algorithm and its multilevel acceleration to compute the value-at-risk and expected shortfall of a ran…
Integration by parts formula for exit times of one dimensional diffusions
Noufel Frikha, Arturo Kohatsu-Higa, Libo Li
In line with the methodology introduced in our recent article for formulating probabilistic representations of integration by parts involving killed diffusion, we establish an inte…
A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation
Stéphane Crépey, Noufel Frikha, Azar Louzi
We propose a multilevel stochastic approximation (MLSA) scheme for the computation of the value-at-risk (VaR) and expected shortfall (ES) of a financial loss, which can only be com…
Actor-Critic learning for mean-field control in continuous time
Noufel Frikha, Maximilien Germain, Mathieu Laurière +2
We study policy gradient for mean-field control in continuous time in a reinforcement learning setting. By considering randomised policies with entropy regularisation, we derive a…
Deep Runge-Kutta schemes for BSDEs
Jean-François Chassagneux, Junchao Chen, Noufel Frikha
We propose a new probabilistic scheme which combines deep learning techniques with high order schemes for backward stochastic differential equations belonging to the class of Runge…
A learning scheme by sparse grids and Picard approximations for semilinear parabolic PDEs
Jean-François Chassagneux, Junchao Chen, Noufel Frikha +1
Relying on the classical connection between Backward Stochastic Differential Equations (BSDEs) and non-linear parabolic partial differential equations (PDEs), we propose a new prob…
Probabilistic representation of integration by parts formulae for some stochastic volatility models with unbounded drift
Junchao Chen, Noufel Frikha, Houzhi Li
In this paper, we establish a probabilistic representation as well as some integration by parts formulae for the marginal law at a given time maturity of some stochastic volatility…
Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs
Noufel Frikha, Libo Li
In this article, we are interested in the strong well-posedness together with the numerical approximation of some one-dimensional stochastic differential equations with a non-linea…
Well-posedness of some non-linear stable driven SDEs
Noufel Frikha, Valentin Konakov, Stéphane Menozzi
We prove the well-posedness of some non-linear stochastic differential equations in the sense of McKean-Vlasov driven by non-degenerate symmetric -stable Lévy processes with val…
Integration by parts formula for killed processes: A point of view from approximation theory
Noufel Frikha, Arturo Kohatsu-Higa, Libo Li
In this paper, we establish a probabilistic representation for two integration by parts formulas, one being of Bismut-Elworthy-Li's type, for the marginal law of a one-dimensional…
From the backward Kolmogorov PDE on the Wasserstein space to propagation of chaos for Mckean-Vlasov SDEs
Noufel Frikha, Paul-Eric Chaudru de Raynal
This article is a continuation of our first work \cite{chaudruraynal:frikha}. We here establish some new quantitative estimates for propagation of chaos of non-linear stochastic di…
Well-Posedness for Some Non-Linear Diffusion Processes and Related PDE on the Wasserstein Space
Paul-Eric Chaudru de Raynal, Noufel Frikha
In this paper, we investigate the well-posedness of the martingale problem associated to non-linear stochastic differential equations (SDEs) in the sense of McKean-Vlasov under mil…
Weak uniqueness and density estimates for sdes with coefficients depending on some path-functionals
Noufel Frikha, Libo Li
In this paper, we develop a general methodology to prove weak uniqueness for stochastic differential equations with coefficients depending on some path-functionals of the process.…
On the weak approximation of a skew diffusion by an Euler-type scheme
Noufel Frikha
We study the weak approximation error of a skew diffusion with bounded measurable drift and Hölder diffusion coefficient by an Euler-type scheme, which consists of iteratively simu…
On the first hitting times of one dimensional elliptic diffusions
Noufel Frikha, Arturo Kohatsu-Higa, Libo Li
In this article, we obtain properties of the law associated to the first hitting time of a threshold by a one-dimensional uniformly elliptic diffusion process and to the associated…
A Multi-Step Richardson-Romberg Extrapolation Method For Stochastic Approximation
Noufel Frikha, Lorick Huang
We obtain an expansion of the implicit weak discretization error for the target of stochastic approximation algorithms introduced and studied in [Frikha2013]. This allows us to ext…