17 citations · 29 across the 5 of their papers we have counts for
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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…
math.OC2012★ 17 cited
Viscosity Solutions for a System of PDEs and Optimal Switching
Brahim El Asri, Imade Fakhouri
In this paper, we study the -states optimal switching problem in finite horizon, when the switching cost functions are arbitrary and can be positive or negative. This has an eco…