93 citations · 436 across the 25 of their papers we have counts for
3 papers · 1 filter
Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps
Idris Kharroubi, Nicolas Langrené, Huyên Pham
We propose a new probabilistic numerical scheme for fully nonlinear equation of Hamilton-Jacobi-Bellman (HJB) type associated to stochastic control problem, which is based on the F…
A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization
Idris Kharroubi, Nicolas Langrené, Huyên Pham
We propose a probabilistic numerical algorithm to solve Backward Stochastic Differential Equations (BSDEs) with nonnegative jumps, a class of BSDEs introduced in [9] for representi…
When terminal facelift enforces Delta constraints
Jean-François Chassagneux, Romuald Elie, Idris Kharroubi
This paper deals with the super-replication of non path-dependent European claims under additional convex constraints on the number of shares held in the portfolio. The correspondi…