Expected Utility Maximization Problem Under State Constraints and Model Uncertainty

Autor: Hanen Mezghanni, Mohamed Mnif, Wahid Faidi

Publikováno v: Journal of Optimization Theory and Applications. 183:1123-1152

We study a general robust utility maximization problem from terminal wealth and consumption under state constraints. Our framework includes financial models with constrained portfolios, labor income and large investor models. We state the existence a

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::9b041d9b4c8a13e2ac3f52c3a7ea8662
https://doi.org/10.1007/s10957-019-01583-y

Optimal Market Dealing Under Constraints

Autor: M’hamed Gaïgi, Mohamed Mnif, Etienne Chevalier, Vathana Ly Vath

Publikováno v: Journal of Optimization Theory and Applications. 173:313-335

We consider a market dealer acting as a liquidity provider by continuously setting bid and ask prices for an illiquid asset in a quote-driven market. The market dealer may benefit from the bid---ask spread, but has the obligation to permanently quote

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::8e5c7e2666ecfd71b639e352666e35f3
https://doi.org/10.1007/s10957-016-1040-9

Viscosity Solutions of Systems of PDEs with Interconnected Obstacles and Switching Problem without Monotonicity Condition

Autor: Mohamed Mnif, Sarah Neffati, Said Hamadène

We show the existence and uniqueness of a continuous viscosity solution of a system of partial differential equations (PDEs for short) without assuming the usual monotonicity conditions on the driver function as in Hamad\`ene and Morlais's article \c

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c491aa1f766c50137841c3a81aa0cda6

Optimal contract with moral hazard for Public Private Partnerships

Autor: Ishak Hajjej, Mohamed Mnif, Caroline Hillairet, Monique Pontier

Publikováno v: Stochastics: An International Journal of Probability and Stochastic Processes
Stochastics: An International Journal of Probability and Stochastic Processes, Taylor & Francis: STM, Behavioural Science and Public Health Titles, 2017, 89 (6-7), pp.1015-1038
Stochastics: An International Journal of Probability and Stochastic Processes, 2017, 89 (6-7), pp.1015-1038

Public-Private Partnership (PPP) is a contract between a public entity and a consortium, in which the public outsources the construction and the maintenance of an equipment (hospital, university, prison...). One drawback of this contract is that the

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1acc02482953b58df74d0a956139f5ae
https://hal.archives-ouvertes.fr/hal-01978178

Numerical methods for an optimal multiple stopping problem

Autor: Joseph Frédéric Bonnans, Imene Ben Latifa, Mohamed Mnif

Publikováno v: Stochastics and Dynamics
Stochastics and Dynamics, 2016, 16 (4), pp.27. ⟨10.1142/S0219493716500167⟩
Stochastics and Dynamics, World Scientific Publishing, 2016, 16 (4), pp.27. ⟨10.1142/S0219493716500167⟩

International audience; This paper deals with numerical solutions to an optimal multiple stopping problem. The corresponding dynamic programing (DP) equation is a variational inequality satisfied by the value function in the viscosity sense. The conv

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f51c65f0f4d780f4ec4ce37d32cbe9bf
https://inria.hal.science/hal-01248282/document