93 citations · 436 across the 25 of their papers we have counts for
4 papers · 1 filter
Time discretization and quantization methods for optimal multiple switching problem
Paul Gassiat, Idris Kharroubi, Huyên Pham
In this paper, we study probabilistic numerical methods based on optimal quantization algorithms for computing the solution to optimal multiple switching problems with regime-depen…
A decomposition approach for the discrete-time approximation of FBSDEs with a jump I : the Lipschitz case
Idris Kharroubi, Thomas Lim
We study the discrete-time approximation for solutions of forward-backward stochas- tic dierential equations (FBSDEs) with a jump. In this part, we study the case of Lipschitz gene…
Optimal investment under multiple defaults risk: A BSDE-decomposition approach
Ying Jiao, Idris Kharroubi, Huyên Pham
We study an optimal investment problem under contagion risk in a financial model subject to multiple jumps and defaults. The global market information is formulated as a progressiv…
Progressive enlargement of filtrations and Backward SDEs with jumps
Idris Kharroubi, Thomas Lim
This work deals with backward stochastic differential equation (BSDE) with random marked jumps, and their applications to default risk. We show that these BSDEs are linked with Bro…