Zobrazeno 1 - 10
of 29
pro vyhledávání: '"Idris Kharroubi"'
Publikováno v:
Mathematics, Vol 8, Iss 11, p 2053 (2020)
In this work, we study an optimization problem arising in the management of a natural resource over an infinite time horizon. The resource is assumed to evolve according to a logistic stochastic differential equation. The manager is allowed to harves
Externí odkaz:
https://doaj.org/article/8c7ec06d30da4815ba3f7a07c2c7a0cc
Publikováno v:
Probability in the Engineering and Informational Sciences. :1-21
In this paper, we consider the problem of sustainable harvesting. We explain how the manager maximizes his/her profit according to the quantity of natural resource available in a harvesting area and under the constraint of penalties and fines when th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::765561cc0e13735288f0b4385c2fbace
https://doi.org/10.1017/s0269964822000043
https://doi.org/10.1017/s0269964822000043
Publikováno v:
Annals of Operations Research. 297:147-166
The aim of this paper is to determine the optimal balance between extraction and storage of a natural resource (in particular crude oil) over time under a large array of environmental, operational and financial constraints for an infinite maturity ti
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5ec8fedb528bd25e859ae84de9b57522
https://doi.org/10.1007/s10479-019-03303-1
https://doi.org/10.1007/s10479-019-03303-1
We study the approximation of backward stochastic differential equations (BSDEs for short) with a constraint on the gains process. We first discretize the constraint by applying a so-called facelift operator at times of a grid. We show that this disc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d28ca9ef0c33237150d3094524e7fd48
https://hal.archives-ouvertes.fr/hal-02468354
https://hal.archives-ouvertes.fr/hal-02468354
Publikováno v:
SIAM Journal on Control and Optimization
SIAM Journal on Control and Optimization, 2019, 58 (1), pp.551-579. ⟨10.1137/19M1265740⟩
SIAM Journal on Control and Optimization, Society for Industrial and Applied Mathematics, 2019, 58 (1), pp.551-579. ⟨10.1137/19M1265740⟩
SIAM Journal on Control and Optimization, 2019, 58 (1), pp.551-579. ⟨10.1137/19M1265740⟩
SIAM Journal on Control and Optimization, Society for Industrial and Applied Mathematics, 2019, 58 (1), pp.551-579. ⟨10.1137/19M1265740⟩
We investigate the impact of a regulation policy imposed on an agent exploiting a possibly renewable natural resource. We adopt a principal-agent model in which the Principal looks for a contract, i.e. taxes/compensations, leading the Agent to a cert
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b189d927006c0e291cb92b103409103d
https://hal.sorbonne-universite.fr/hal-03013860
https://hal.sorbonne-universite.fr/hal-03013860
In this work, we study the optimization problem of a renewable resource in finite time. The resource is assumed to evolve according to a logistic stochastic differential equation. The manager may harvest partially the resource at any time and sell it
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b55c99e829cf74c75bef589a1b1719ab
https://hal.archives-ouvertes.fr/hal-01835011
https://hal.archives-ouvertes.fr/hal-01835011
Publikováno v:
Journal of Optimization Theory and Applications
Journal of Optimization Theory and Applications, Springer Verlag, 2020, ⟨10.1007/s10957-020-01704-y⟩
Journal of Optimization Theory and Applications, Springer Verlag, 2020, ⟨10.1007/s10957-020-01704-y⟩
International audience; We consider the stochastic target problem of finding the collection of initial laws of a mean-field stochastic differential equation such that we can control its evolution to ensure that it reaches a prescribed set of terminal
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e3e6e12d45ca0e107679162d61e4aa2d
https://hal.archives-ouvertes.fr/hal-01567312
https://hal.archives-ouvertes.fr/hal-01567312
Autor:
Ying Jiao, Idris Kharroubi
Publikováno v:
Probability, Uncertainty and Quantitative Risk, Vol 3, Iss 1, Pp 1-24 (2018)
We study an optimal investment problem under default risk where related information such as loss or recovery at default is considered as an exogenous random mark added at default time. Two types of agents who have different levels of information are
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a10224fb94a82fd6207b72604df883fd
https://hal.archives-ouvertes.fr/hal-01343702
https://hal.archives-ouvertes.fr/hal-01343702
Autor:
Thomas Lim, Idris Kharroubi
Publikováno v:
Journal of Theoretical Probability. 27:683-724
This work deals with backward stochastic dierential equation (BSDE) with random marked jumps, and their applications to default risk. We show that these BSDEs are linked with Brownian BSDEs through the decomposition of processes with respect to the p
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bfe9ab45f21a7fe10b18274628cd6d4f
https://doi.org/10.1007/s10959-012-0428-1
https://doi.org/10.1007/s10959-012-0428-1
Autor:
Romuald Elie, Idris Kharroubi
Publikováno v:
Statistics & Probability Letters. 80:1388-1396
Our study is dedicated to the probabilistic representation and numerical approximation of solutions to coupled systems of variational inequalities. The dynamics of each component of the solution is driven by a different linear parabolic operator and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0a3f062743c8c05e286d5f3e8e420a0e
https://doi.org/10.1016/j.spl.2010.05.003
https://doi.org/10.1016/j.spl.2010.05.003