93 citations · 436 across the 25 of their papers we have counts for
16 papers · 1 filter
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…
Regulation of renewable resource exploitation
Idris Kharroubi, Thomas Lim, Thibaut Mastrolia
We investigate the impact of a regulation policy imposed on an agent exploiting a possibly renewable natural resource. We adopt a principal-agent model in which the Principal looks…
Quenched mass transport of particles towards a target
Bruno Bouchard, Boualem Djehiche, Idris Kharroubi
We consider the stochastic target problem of finding the collection of initial laws of a mean-field stochastic differential equation such that we can control its evolution to ensur…
A decomposition approach for the discrete-time approximation of FBSDEs with a jump
Idris Kharroubi, Thomas Lim
We are concerned with the discretization of a solution of a Forward-Backward stochastic differential equation (FBSDE) with a jump process depending on the Brownian motion. In this…
Optimal Switching in Finite Horizon under State Constraints
Idris Kharroubi
We study an optimal switching problem with a state constraint: the controller is only allowed to choose strategies that keep the controlled diffusion in a closed domain. We prove t…