2 citations · 3 across the 7 of their papers we have counts for
6 papers · 1 filter
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…
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…