Recherche - Archive ouverte HAL Accéder directement au contenu

Filtrer vos résultats

28 résultats
Page :
triés par
Image document

Empirical Regression Method for Backward Doubly Stochastic Differential Equations

 Achref Bachouch , Emmanuel Gobet , Anis Matoussi
SIAM/ASA Journal on Uncertainty Quantification, 2016, 4 (1), pp.358-379. ⟨10.1137/15M1022094⟩
Article dans une revue hal-01152886v1
Image document

Multivariate Optimized Certainty Equivalent Risk Measures and their Numerical Computation

 Sarah Kaakai , Anis Matoussi , Achraf Tamtalini
2022
Pré-publication, Document de travail hal-03817818v2
Image document

Generalized BSDE with jumps and stochastic quadratic growth

 Anis Matoussi , Rym Salhi
2020
Pré-publication, Document de travail hal-03091716v1

The existence and uniqueness result for quasilinear stochastic PDEs with obstacle under weaker integrability conditions

 Laurent Denis , Anis Matoussi , Jing Zhang
Stochastics and Dynamics, 2015, 15 (04), pp.1550023. ⟨10.1142/S0219493715500239⟩
Article dans une revue hal-02370116v1

Convex duality for stochastic differential utility

 Anis Matoussi , Hao Xing
2018
Pré-publication, Document de travail hal-01740702v1
Image document

Stochastic partial differential equations with singular terminal condition

 A Matoussi , Lambert Piozin , A Popier
2015
Pré-publication, Document de travail hal-01152687v1
Image document

Mean-Field Backward-Forward SDE with Jumps and Storage problem in Smart Grids

 Anis Matoussi , Arij Manai , Rym Salhi
2019
Pré-publication, Document de travail hal-02160898v1
Image document

Estimation of Systemic Shortfall Risk Measure using Stochastic Algorithms

 Sarah Kaakai , Anis Matoussi , Achraf Tamtalini
2024
Pré-publication, Document de travail hal-03871246v3
Image document

Quadratic Exponential Semimartingales and Application to BSDEs with jumps

 Nicole El Karoui , Anis Matoussi , Armand Ngoupeyou
2018
Pré-publication, Document de travail hal-01740692v1

Optimal stochastic control problem under model uncertainty with non-entropic penalty

 Anis Matoussi
2018
Pré-publication, Document de travail hal-01740667v1

Second-order BSDEs with general reflection and game options under uncertainty

 Anis Matoussi , Lambert Piozin , Dylan Possamaï
Stochastic Processes and their Applications, 2014, 124 (7), pp.2281-2321. ⟨10.1016/j.spa.2014.02.011⟩
Article dans une revue hal-01067269v1
Image document

Numerical Computation for Backward Doubly SDEs with random terminal time

 Anis Matoussi , Wissal Sabbagh
2018
Pré-publication, Document de travail hal-01740713v1
Image document

Linear Quadratic Control Problems for Mean Field Stochastic Differential Equation with Jumps: Application in Exhaustible Resources Production

 Anis Matoussi , Mohamed Mnif , Chefia Ziri
2022
Pré-publication, Document de travail hal-03815082v1
Image document

Zhang L2 -Regularity for the solutions of Forward Backward Doubly Stochastic Differential Equations under globally Lipschitz continuous assumptions

 Achref Bachouch , Anis Matoussi
2017
Pré-publication, Document de travail hal-01548712v1
Image document

Corrigendum for "Second-order reflected backward stochastic differential equations" and "Second-order BSDEs with general reflection and game options under uncertainty

 Anis Matoussi , Dylan Possamaï , Chao Zhou
The Annals of Applied Probability, 2021, 31 (3), pp.1505-1522. ⟨10.1214/20-AAP1622⟩
Article dans une revue hal-01546734v1
Image document

Dynamic Utility and related nonlinear SPDE driven by Lévy Noise.

 Anis Matoussi , Mohamed Mrad
International Journal of Theoretical and Applied Finance, 2022
Article dans une revue hal-03025475v1

Stochastic partial differential equations with singular terminal condition

 Alexandre Popier , Anis Matoussi , L. Piozin
Stochastic Processes and their Applications, 2017, 127 (3), pp.831 - 876. ⟨10.1016/j.spa.2016.07.002⟩
Article dans une revue hal-01639665v1

Robust utility maximization in nondominated models with 2BSDE: the uncertain volatility model

 Anis Matoussi , Dylan Possamaï , Chao Zhou
Mathematical Finance, 2015, 25 (2), pp.258-287. ⟨10.1111/mafi.12031⟩
Article dans une revue hal-00919124v1
Image document

An Extended Mean Field Game for Storage in Smart Grids

 Anis Matoussi , Clémence Alasseur , Imen Ben Taher
2018
Pré-publication, Document de travail hal-01740707v1
Image document

The obstacle problem for semilinear parabolic partial integro-differential equations

 Anis Matoussi , Wissal Sabbagh , Chao Zhou
Stochastics and Dynamics, 2015, 15 (01), ⟨10.1142/S0219493715500070⟩
Article dans une revue hal-01740723v1

Probabilistic interpretation for solutions of fully nonlinear stochastic PDEs

 Anis Matoussi , Dylan Possamaï , Wissal Sabbagh
Probability Theory and Related Fields, 2019, 174, pp.177-233. ⟨10.1007/s00440-018-0859-4⟩
Article dans une revue hal-01481372v1
Image document

Backward doubly SDEs and semilinear stochastic PDEs in a convex domain

 Anis Matoussi , Wissal Sabbagh , Tusheng Zhang
Stochastic Processes and their Applications, 2017, 127 (9), pp.2781 - 2815. ⟨10.1016/j.spa.2016.12.010⟩
Article dans une revue hal-01740652v1

Large Deviation Principles of Obstacle Problems for Quasilinear Stochastic PDEs

 Anis Matoussi
2018
Pré-publication, Document de travail hal-01740682v1
Image document

Quasilinear Stochastic PDEs with two obstacles: Probabilistic approach

 Laurent Denis , Anis Matoussi , Jing Zhang
Stochastic Processes and their Applications, 2021, ⟨10.1016/j.spa.2020.11.002⟩
Article dans une revue hal-03040517v1

Second order reflected backward stochastic differential equations

 Anis Matoussi , Dylan Possamaï , Chao Zhou
The Annals of Applied Probability, 2013, 23 (6), pp.2420-2457. ⟨10.1214/12-AAP906⟩
Article dans une revue hal-00919119v1
Image document

Solvency tuned premium for a composite loss distribution

 Alexandre Brouste , Anis Matoussi , Tom Rohmer , Christophe Dutang , Vanessa Désert , et al.
2018
Pré-publication, Document de travail hal-01883508v1
Image document

Utility Maximization Problem with Uncertainty and a Jump Setting

 Sarah Kaakai , Anis Matoussi , Achraf Tamtalini
2022
Pré-publication, Document de travail hal-03813812v3

Wong-Zakai Approximations of Backward Doubly Stochastic Doubly Backward Differential Equations

 Ying Hu , Anis Matoussi , Tusheng Zhang
Stochastic Processes and their Applications, 2015, 125 (12), pp.4375-4404. ⟨10.1016/j.spa.2015.07.003⟩
Article dans une revue hal-01058778v1
Page :