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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.PR2024
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…