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math.PR2019
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…
math.PR2015
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…