93 citations · 436 across the 25 of their papers we have counts for
4 papers · 1 filter
Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE
Idris Kharroubi, Huyên Pham
We aim to provide a Feynman-Kac type representation for Hamilton-Jacobi-Bellman equation, in terms of forward backward stochastic differential equation (FBSDE) with a simulatable f…
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…
Discrete-time approximation of multidimensional BSDEs with oblique reflections
Jean-Francois Chassagneux, Romuald Elie, Idris Kharroubi
In this paper, we study the discrete-time approximation of multidimensional reflected BSDEs of the type of those presented by Hu and Tang [Probab. Theory Related Fields 147 (2010)…
Mean-Variance Hedging on uncertain time horizon in a market with a jump
Idris Kharroubi, Thomas Lim, Armand Ngoupeyou
In this work, we study the problem of mean-variance hedging with a random horizon T ^ tau, where T is a deterministic constant and is a jump time of the underlying asset price proc…