97 citations · 117 across the 5 of their papers we have counts for
6 papers
A new approach to optimal stopping for Hunt processes
Achref Bachouch, Olfa Draouil, Bernt Øksendal
In this paper we present a new verification theorem for optimal stopping problems for Hunt processes. The approach is based on the Fukushima-Dynkin formula, and its advantage is th…
Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications
Achref Bachouch, Côme Huré, Nicolas Langrené +1
This paper presents several numerical applications of deep learning-based algorithms that have been introduced in [HPBL18]. Numerical and comparative tests using TensorFlow illustr…
Deep neural networks algorithms for stochastic control problems on finite horizon: convergence analysis
Côme Huré, Huyên Pham, Achref Bachouch +1
This paper develops algorithms for high-dimensional stochastic control problems based on deep learning and dynamic programming. Unlike classical approximate dynamic programming app…
Zhang -Regularity for the solutions of Backward Doubly Stochastic Differential Equations under globally Lipschitz continuous assumptions
Achref Bachouch, Anis Matoussi
We prove an -regularity result for the solutions of Forward Backward Doubly Stochastic Differentiel Equations (FBDSDEs in short) under globally Lipschitz continuous assumption…
Hastings-Metropolis algorithm on Markov chains for small-probability estimation
François Bachoc, Lionel Lenôtre, Achref Bachouch
Shielding studies in neutron transport, with Monte Carlo codes, yield challenging problems of small-probability estimation. The particularity of these studies is that the small pro…
Euler time discretization of Backward Doubly SDEs and Application to Semilinear SPDEs
Achref Bachouch, Mohamed Anis Ben Lasmar, Anis Matoussi +1
This paper investigates a numerical probabilistic method for the solution of some semilinear stochastic partial differential equations (SPDEs in short). The numerical scheme is bas…