Zobrazeno 1 - 10
of 134
pro vyhledávání: '"Kharroubi, Idris"'
We study the optimal control of mean-field systems with heterogeneous and asymmetric interactions. This leads to considering a family of controlled Brownian diffusion processes with dynamics depending on the whole collection of marginal probability l
Externí odkaz:
http://arxiv.org/abs/2407.18635
Autor:
Kharroubi, Idris, Ocello, Antonio
This article explores an optimal stopping problem for branching diffusion processes. It consists in looking for optimal stopping lines, a type of stopping time that maintains the branching structure of the processes under analysis. By using a dynamic
Externí odkaz:
http://arxiv.org/abs/2401.12811
Autor:
Chichportich, Jeremy, Kharroubi, Idris
We study the optimal control of discrete time mean filed dynamical systems under partial observations. We express the global law of the filtered process as a controlled system with its own dynamics. Following a dynamic programming approach, we prove
Externí odkaz:
http://arxiv.org/abs/2303.05563
Autor:
Kharroubi, Idris, Ocello, Antonio
We consider an optimal stochastic target problem for branching diffusion processes. This problem consists in finding the minimal condition for which a control allows the underlying branching process to reach a target set at a finite terminal time for
Externí odkaz:
http://arxiv.org/abs/2206.13267
We study the Bellman equation in the Wasserstein space arising in the study of mean field control problems, namely stochastic optimal control problems for McKean-Vlasov diffusion processes.Using the standard notion of viscosity solution \`a la Cranda
Externí odkaz:
http://arxiv.org/abs/2107.10535
Autor:
Kharroubi, Idris, Ocello, Antonio
Publikováno v:
In Stochastic Processes and their Applications April 2024 170
We study the optimal control of path-dependent McKean-Vlasov equations valued in Hilbert spaces motivated by non Markovian mean-field models driven by stochastic PDEs. We first establish the well-posedness of the state equation, and then we prove the
Externí odkaz:
http://arxiv.org/abs/2012.14772
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:
http://arxiv.org/abs/2002.02675
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:
http://arxiv.org/abs/1905.09202
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:
http://arxiv.org/abs/1807.04160