W. Sabbagh

activity

20132026

most citedLarge Deviation Principles of Obstacle Problems for Quasilinear Stochastic PDEs

2 citations · 3 across the 7 of their papers we have counts for

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3 papers · 1 filter

math.OC2026

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…

math.OC2024

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…

math.OC2017

A new Mertens decomposition of $Y^{g, ξ}$ -submartingale systems. Application to BSDEs with weak constraints at stopping times

Roxana Dumitrescu, Romuald Elie, Wissal Sabbagh +1

We first introduce the concept of $Y^{g, ξ}$ -submartingale systems, where the nonlinear operator $Y^{g, ξ}$ corresponds to the first component of the solution of…

Law-invariant BSDEs and dynamic risk measures: new characterizations

Optimal Impulse Control for Cyber Risk Management

A new Mertens decomposition of Yg,ξ-submartingale systems. Application to BSDEs with weak constraints at stopping times

A new Mertens decomposition of $Y^{g, ξ}$ -submartingale systems. Application to BSDEs with weak constraints at stopping times