93 citations · 436 across the 25 of their papers we have counts for
Showing 2009Show all
3 papers · 1 filter
math.PR2009★ 4 cited
Probabilistic Representation and Approximation for Coupled Systems of Variational Inequalities
Romuald Elie, Idris Kharroubi
Our study is dedicated to the probabilistic representation and numerical approximation of solutions to coupled systems of variational inequalities. The dynamics of each component o…
math.PR2009★ 43 cited
Optimal portfolio liquidation with execution cost and risk
Idris Kharroubi, Huyen Pham
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution tra…
math.PR2009★ 1 cited
Adding constraints to BSDEs with Jumps: an alternative to multidimensional reflections
Romuald Elie, Idris Kharroubi
This paper is dedicated to the analysis of backward stochastic differential equations (BSDEs) with jumps, subject to an additional global constraint involving all the components of…