22 citations · 24 across the 6 of their papers we have counts for
5 papers · 1 filter
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…
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…
Optimal Exploitation of a Resource with Stochastic Population Dynamics and Delayed Renewal
Thomas Lim, Idris Kharroubi, Vathana Ly-Vath
In this work, we study the optimization problem of a renewable resource in finite time. The resource is assumed to evolve according to a logistic stochastic differential equation.…
A decomposition approach for the discrete-time approximation of BSDEs with a jump II: the quadratic case
Idris Kharroubi, Thomas Lim
We study the discrete-time approximation for solutions of quadratic forward back- ward stochastic differential equations (FBSDEs) driven by a Brownian motion and a jump process whi…