A finite horizon optimal multiple switching problem
B Djehiche, S Hamadene, A Popier - SIAM Journal on Control and …, 2009 - SIAM
-1We consider the problem of optimal multiple switching in a finite horizon when the state of
the system, including the switching costs, is a general adapted stochastic process. The …
the system, including the switching costs, is a general adapted stochastic process. The …
Backward SDEs with constrained jumps and quasi-variational inequalities
We consider a class of backward stochastic differential equations (BSDEs) driven by
Brownian motion and Poisson random measure, and subject to constraints on the jump …
Brownian motion and Poisson random measure, and subject to constraints on the jump …
[HTML][HTML] Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem
We study a stochastic optimal control problem for a partially observed diffusion. By using the
control randomization method in Bandini et al.(2018), we prove a corresponding …
control randomization method in Bandini et al.(2018), we prove a corresponding …
Principal-agent problem with multiple principals
We consider a moral hazard problem with multiple principals in a continuous-time model.
The agent can only work exclusively for one principal at a given time, so faces an optimal …
The agent can only work exclusively for one principal at a given time, so faces an optimal …
Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem
S Hamadene, MA Morlais - Applied Mathematics & Optimization, 2013 - Springer
This paper deals with existence and uniqueness of a solution in viscosity sense, for a system
of m variational partial differential inequalities with inter-connected obstacles. A particular …
of m variational partial differential inequalities with inter-connected obstacles. A particular …
Optimal portfolio liquidation with execution cost and risk
I Kharroubi, H Pham - SIAM Journal on Financial Mathematics, 2010 - SIAM
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book
with bid-ask spread and temporary market price impact penalizing speedy execution trades …
with bid-ask spread and temporary market price impact penalizing speedy execution trades …
Discrete-time approximation of BSDEs and probabilistic schemes for fully nonlinear PDEs
The aim of this paper is to provide a survey on recent advances on probabilistic numerical
methods for nonlinear PDEs, which serve as an alternative to classical deterministic …
methods for nonlinear PDEs, which serve as an alternative to classical deterministic …
Backward SDEs for optimal control of partially observed path-dependent stochastic systems: a control randomization approach
We introduce a suitable backward stochastic differential equation (BSDE) to represent the
value of an optimal control problem with partial observation for a controlled stochastic …
value of an optimal control problem with partial observation for a controlled stochastic …
Control randomisation approach for policy gradient and application to reinforcement learning in optimal switching
We propose a comprehensive framework for policy gradient methods tailored to continuous
time reinforcement learning. This is based on the connection between stochastic control …
time reinforcement learning. This is based on the connection between stochastic control …
Randomized and backward SDE representation for optimal control of non-Markovian SDEs
M Fuhrman, H Pham - 2015 - projecteuclid.org
We study optimal stochastic control problems for non-Markovian stochastic differential
equations (SDEs) where the drift, diffusion coefficients and gain functionals are path …
equations (SDEs) where the drift, diffusion coefficients and gain functionals are path …