2 citations · 3 across the 7 of their papers we have counts for
10 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…
Optimal Impulse Control for Cyber Risk Management
Caroline Hillairet, Thibaut Mastrolia, Wissal Sabbagh
We explore an optimal impulse control problem wherein an electronic device owner strategically calibrates protection levels against cyber attacks. Utilizing epidemiological compart…
Deep learning scheme for forward utilities using ergodic BSDEs
Guillaume Broux-Quemerais, Sarah Kaakaï, Anis Matoussi +1
In this paper, we present a probabilistic numerical method for a class of forward utilities in a stochastic factor model. For this purpose, we use the representation of dynamic con…
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…
A new Mertens decomposition of -submartingale systems. Application to BSDEs with weak constraints at stopping times
Roxana Dumitrescu, Romuald Elie, Wissal Sabbagh +1
We first introduce the concept of -submartingale systems, where the nonlinear operator corresponds to the first component of the solution of…
Systems of reflected quasilinear stochastic PDEs in a convex domain
Wissal Sabbagh, Tusheng Zhang
This paper presents existence and uniqueness results for reflected system of quasilinear stochastic partial differential equations in a convex domain D from Rk. The method is based…
Probabilistic interpretation for solutions of fully Nonlinear Stochastic PDEs
Anis Matoussi, Dylan Possamai, Wissal Sabbagh
In this article, we propose a wellposedness theory for a class of second order backward doubly stochastic differential equation (2BDSDE). We prove existence and uniqueness of the s…
Numerical Computation for Backward Doubly SDEs with random terminal time
Anis Matoussi, Wissal Sabbagh
In this article, we are interested in solving numerically backward doubly stochastic differential equations (BDSDEs) with random terminal time tau. The main motivations are giving…
The obstacle problem for semilinear parabolic partial integro-differential equations
Anis Matoussi, Wissal Sabbagh, Chao Zhou
This paper presents a probabilistic interpretation for the weak Sobolev solution of the obstacle problem for semilinear parabolic partial integro-differential equations (PIDEs). Th…