22 citations · 27 across the 9 of their papers we have counts for
5 papers · 1 filter
Stochastic Optimal Control of Decoupled Reflected FBSDEs: A Variational Approach with Residual Reflection Terms
Hanane Ben-Gherbal, Omar Kebiri
This paper studies necessary optimality conditions for stochastic control problems governed by decoupled forward--backward stochastic differential equations with reflection constra…
Relaxed Optimal Control Problem for a Finite Horizon G-SDE with Delay and Its Application in Economics
Omar Kebiri, Nabil Elgroud
This paper investigates the existence of a G-relaxed optimal control of a controlled stochastic differential delay equation driven by G-Brownian motion (G-SDDE in short). First, we…
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…
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…
Existence of an Optimal Control for a coupled FBSDE with a non degenerate diffusion coefficient
Khaled Bahlali, Omar Kebiri, Brahim Mezerdi +1
We a controlled system driven by a coupled forward-backward stochastic differential equation (FBSDE) with a non degenerate diffusion matrix. The cost functional is defined by the s…