Zobrazeno 1 - 10
of 33
pro vyhledávání: '"Asri, Brahim El"'
Autor:
Zolome, Antoine, Asri, Brahim El
In this paper, we consider a differential stochastic zero-sum game in which two players intervene by adopting impulse controls in a finite time horizon. We provide a numerical solution as an approximation of the value function, which turns out to be
Externí odkaz:
http://arxiv.org/abs/2410.08354
Autor:
Asri, Brahim El, Paka, Magnoudéwa
We consider a problem in which two decision makers have each, a set of possible decisions they can make at each time. Each decision implies a given random payoff. We choose the payoff to be a functional of a one-dimensional It\^o diffusion. At each t
Externí odkaz:
http://arxiv.org/abs/2407.20913
Autor:
Asri, Brahim El, Lalioui, Hafid
Publikováno v:
Journal of Computational and Applied Mathematics 2022
This paper considers a new class of deterministic finite-time horizon, two-player, zero-sum differential games (DGs) in which the maximizing player is allowed to take continuous and impulse controls whereas the minimizing player is allowed to take im
Externí odkaz:
http://arxiv.org/abs/2208.01423
In this paper we deal with the problem of the existence and the uniqueness of a solution for one dimensional reflected backward stochastic differential equations with two strictly separated barriers when the generator is allowing a logarithmic growth
Externí odkaz:
http://arxiv.org/abs/2202.04940
Autor:
Asri, Brahim El, Oufdil, Khalid
Publikováno v:
Stochastics An International Journal of Probability and Stochastic Processes 2022
In this article we study the existence and the uniqueness of a solution for reflected backward stochastic differential equations in the case when the generator is logarithmic growth in the $z$-variable $(|z|\sqrt{|\ln(|z|)|})$, the terminal value and
Externí odkaz:
http://arxiv.org/abs/2201.03343
This paper studies a system of $m$ variational inequalities with interconnected obstacles in infinite horizon associated to optimal multi-modes switching problems. Our main result is the existence and uniqueness of a continuous solution in viscosity
Externí odkaz:
http://arxiv.org/abs/2112.10881
Autor:
Asri, Brahim El, Lalioui, Hafid
We consider a two-player zero-sum deterministic differential game where each player uses both continuous and impulse controls in infinite-time horizon. We assume that the impulses supposed to be of general term and the costs depend on the state of th
Externí odkaz:
http://arxiv.org/abs/2107.03524
Autor:
Asri, Brahim El, Ourkiya, Nacer
This paper studies the mixed zero-sum stochastic differential game problem. We allow the functionals and dynamics to be of polynomial growth. The problem is formulated as an extended doubly reflected BSDEs with a specific generator. We show the exist
Externí odkaz:
http://arxiv.org/abs/2103.03134
Autor:
Asri, Brahim El, Ourkiya, Nacer
This paper studies a system of multi-dimensional reflected backward stochastic differential equations with oblique reflections (RBSDEs for short) in infinite horizon associated to switching problems. The existence and uniqueness of the adapted soluti
Externí odkaz:
http://arxiv.org/abs/2102.04948
In the present paper, we study a two-player zero-sum deterministic differential game with both players adopting impulse controls, in infinite time horizon, under rather weak assumptions on the cost functions. We prove by means of the dynamic programm
Externí odkaz:
http://arxiv.org/abs/2101.11669