22 citations · 25 across the 6 of their papers we have counts for
8 papers
Existence of relaxed optimal control for G-neutral stochastic functional differential equations with uncontrolled diffusion
Nabil Elgroud, Hacene Boutabia, Amel Redjil +1
In this paper, we study the question of existence and uniqueness of solution of neutral stochastic functional differential equations driven by G- Brownian motion (GNSFDEs in short)…
The relaxed maximum principle for G-stochastic control systems with controlled jumps
Hanane Ben Gherbal, Amel Redjil, Omar Kebiri
This paper is concerned with optimal control of systems driven by G-stochastic differential equations (G-SDEs), with controlled jump term. We study the relaxed problem, in which ad…
-Hypergeometric Uncertain Volatility Models and their Connection to 2BSDEs
Zaineb Mezdoud, Carsten Hartmann, Mohamed Riad Remita +1
In this article we propose a -hypergeometric model with uncertain volatility (UV) where we derive a worst-case scenario for option pricing. The approach is based on the connexio…
Model reduction and uncertainty quantification of multiscale diffusions with parameter uncertainties using nonlinear expectations
Hafida Bouanani, Carsten Hartmann, Omar Kebiri
In this paper we study model reduction of linear and bilinear quadratic stochastic control problems with parameter uncertainties. Specifically, we consider slow-fast systems with u…
Variational approach to rare event simulation using least-squares regression
Carsten Hartmann, Omar Kebiri, Lara Neureither +1
We propose an adaptive importance sampling scheme for the simulation of rare events when the underlying dynamics is given by a diffusion. The scheme is based on a Gibbs variational…
Singularly perturbed forward-backward stochastic differential equations: application to the optimal control of bilinear systems
Omar Kebiri, Lara Neureither, Carsten Hartmann
We study linear-quadratic stochastic optimal control problems with bilinear state dependence for which the underlying stochastic differential equation (SDE) consists of slow and fa…