13 citations · 34 across the 8 of their papers we have counts for
11 papers
Discretization and Machine Learning Approximation of BSDEs with a Constraint on the Gains-Process
Idris Kharroubi, Thomas Lim, Xavier Warin
We study the approximation of backward stochastic differential equations (BSDEs for short) with a constraint on the gains process. We first discretize the constraint by applying a…
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…
Optimal Exploitation of a Resource with Stochastic Population Dynamics and Delayed Renewal
Thomas Lim, Idris Kharroubi, Vathana Ly-Vath
In this work, we study the optimization problem of a renewable resource in finite time. The resource is assumed to evolve according to a logistic stochastic differential equation.…
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…
Optimization problem under change of regime of interest rate
Bogdan Iftimie, Monique Jeanblanc, Thomas Lim +1
In this paper, we study the classical problem of maximization of the sum of the utility of the terminal wealth and the utility of the consumption, in a case where a sudden jump in…
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…