2 citations · 2 across the 2 of their papers we have counts for
3 papers
Deep numerical schemes for systems of Ergodic BSDEs with applications to regime-switching forward utilities
Guillaume Broux-Quemerais, Sarah Kaakai, Anis Matoussi +1
In this paper, we introduce two neural-network-based numerical schemes for solving systems of coupled ergodic Backward Stochastic Differential Equations (eBSDEs), motivated by the…
Law-invariant BSDEs and dynamic risk measures: new characterizations
Zakaria Bensaid, Roxana Dumitrescu, Anis Matoussi +1
We provide a new characterization of law-invariant backward stochastic differential equations (i.e. BSDEs) with quadratic growth. This answers the open question raised in Xu--Xu--Z…
Large Deviation Principles of Obstacle Problems for Quasilinear Stochastic PDEs
Anis Matoussi, Wissal Sabbagh, Tusheng Zhang
In this paper, we present a sufficient condition for the large deviation criteria of Budhiraja, Dupuis and Maroulas for functionals of Brownian motions. We then establish a large d…