93 citations · 436 across the 25 of their papers we have counts for
30 papers
Portfolio Exponential Utility Maximization with Jump Signals
Lokmane Abbas Turki, Sigui Brice Dro, Idris Kharroubi
In this paper, we study the portfolio utility maximization in the case where the risky asset is driven by a Brownian motion and an independent homogeneous Poisson measure, with str…
Stochastic maximum principle for optimal control problem of non exchangeable mean field systems
Idris Kharroubi, Samy Mekkaoui, Huyên Pham
We study the Pontryagin maximum principle by deriving necessary and sufficient conditions for a class of optimal control problems arising in non exchangeable mean field systems, wh…
Mean-field control of non exchangeable systems
Anna De Crescenzo, Marco Fuhrman, Idris Kharroubi +1
We study the optimal control of mean-field systems with heterogeneous and asymmetric interactions. This leads to considering a family of controlled Brownian diffusion processes wit…
Optimal Stopping of Branching Diffusion Processes
Idris Kharroubi, Antonio Ocello
This article explores an optimal stopping problem for branching diffusion processes. It consists in looking for optimal stopping lines, a type of stopping time that maintains the b…
Discrete-time Mean-Field Stochastic Control with Partial Observations
Jeremy Chichportich, Idris Kharroubi
We study the optimal control of discrete time mean filed dynamical systems under partial observations. We express the global law of the filtered process as a controlled system with…
A Stochastic Target Problem for Branching Diffusions
Idris Kharroubi, Antonio Ocello
We consider an optimal stochastic target problem for branching diffusion processes. This problem consists in finding the minimal condition for which a control allows the underlying…