4 citations · 7 across the 12 of their papers we have counts for
8 papers · 1 filter
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…
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…
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…
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…