3 papers
math.OC2021
Stochastic optimal switching and systems of variational inequalities with interconnected obstacles
Brahim El Asri, Imade Fakhouri, Nacer Ourkiya
This paper studies a system of variational inequalities with interconnected obstacles in infinite horizon associated to optimal multi-modes switching problems. Our main result…
math.PR2017
-solutions of generalized BSDEs with jumps and monotone generator in a general filtration
M'hamed Eddahbi, Imade Fakhouri, Youssef Ouknine
In this paper, we study multidimensional generalized BSDEs that have a monotone generator in a general filtration supporting a Brownian motion and an independent Poisson random mea…
math.PR2012
Optimal switching problem and system of reflected multi-dimensional FBSDEs with random terminal time
Soufiane Aazizi, Imade Fakhouri
In this paper, we study the solvability of a class of multi-dimensional forward backward stochastic differential equations (FBSDEs) with oblique reflection and unbounded stopping t…