Showing math.OCShow all
2 papers · 1 filter
math.OC2018
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.…
math.OC2012
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…