4 citations · 5 across the 8 of their papers we have counts for
13 papers
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…
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…