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math.OC2019
A new approach to optimal stopping for Hunt processes
Achref Bachouch, Olfa Draouil, Bernt Øksendal
In this paper we present a new verification theorem for optimal stopping problems for Hunt processes. The approach is based on the Fukushima-Dynkin formula, and its advantage is th…
math.OC2017
Optimal insider control of stochastic Volterra equations
Olfa Draouil
We study the problem of optimal inside control of a stochastic Volterra equation driven by a Brownian motion and a Poisson random measure. We prove a sufficient and a necessary max…