I. Kharroubi and A. Ocello (2023) “A Stochastic Target Problem for Branching Diffusions”, Forthcoming in Stochastic Processes and their Applications.
J. Chichportich and I. Kharroubi (2023) “Discrete-Time Mean-Field Stochastic Control with Partial Observations”, Applied Mathematics & Optimization, 88, Article number: 90.
A. Cosso, F. Gozzi, I. Kharroubi, H. Pham and M. Rosestolato (2023) “Master Bellman equation in the Wasserstein space: Uniqueness of viscosity solutions”, Forthcoming in Transactions of the American Mathematical Society.
A. Cosso, F. Gozzi, I. Kharroubi, H. Pham and M. Rosestolato (2022) “Optimal control of path-dependent McKean-Vlasov SDEs in infinite dimension”, The Annals of Applied Probability, 33 (4), 2863-2918.
M. Gaigi, I. Kharroubi and T. Lim (2022) “Optimal Management and Valuation of a Natural Resource : The Case of Optimal Harvesting”, Probability in the Engineering and Informational Sciences. DOI: 10.1017/S0269964822000043
I. Kharroubi (2021) “Machine Learning Approximations for Some Parabolic Partial Differential Equations”, Graduate Journal of Mathematics, 6 (1), 1-26.
I. Kharroubi, T. Lim and X. Warin (2021) “Discretization and Machine Learning Approximation of BSDEs with a constraint on the Gains-Process”, Monte Carlo Methods and Applications, 27 (1), 27-55.
M. Gaigi, I. Kharroubi and T. Lim (2020) “Optimal exploitation of a natural resource under state and delay constraints”, Mathematics (Special Issue Stochastic Optimization Methods in Economics, Finance and Insurance) 8 (11), 2053.
B. Bouchard, B. Djehiche and I. Kharroubi (2020) “Quenched Mass Transport of Particles Towards a Target”, Journal of Optimization Theory and Applications, 186 (2), 365-374.
I. Kharroubi, T. Mastrolia and T. Lim (2019) “Regulation of a Renewable Resource Exploitation”, SIAM Journal on Control and Optimization, 58 (1), 551–579.
M. Gaigi, S. Goutte, I. Kharroubi and T. Lim (2019) “Optimal Risk Management Problem of Natural Resources: Application to Oil Drilling”, Annals of Operations Research, DOI: 10.1007/s10479-019-03303-1
I. Kharroubi, T. Lim and V. Ly Vath (2019) “Optimal Exploitation of a Resource with Stochastic Population Dynamics and Delayed Renewal”, Journal of Mathematical Analysis and Applications, 447 (1), 627-656.
Y. Jiao and I. Kharroubi (2018) “Information uncertainty related to marked random times and optimal investment Probability”, Uncertainty and Quantitative Risk, 3 (3).
S. Goutte I. Kharroubi and T. Lim (2018) “Optimal Management of an Oil Exploitation”, International Journal of Global Energy Issues, 41 (1-4)
I. Kharroubi (2016) “Optimal Switching in Finite Horizon under State Constraints”, SIAM Journal on Control and Optimization”, 54 (4), 2202-2233.
C. Blanchet-Scaillet, E. Chevalier, I Kharroubi and T. Lim (2015) “Max-min optimization problem for variable annuities pricing”, International Journal of Theoretical and Applied Finance, 18 (8), 1550053 (35 pages).
I. Kharroubi and T. Lim (2015) “A decomposition approach for the discrete-time approximation of FBSDEs with a jump”, Random Operators and Stochastic Equations, 23 (2), 81-109.
I. Kharroubi N. Langrené and H. Pham (2015) “Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps”, The Annals of Applied Probability, 25 (4), 2301-2338.
J.-F. Chassagneux, R. Elie and I. Kharroubi (2015) “When terminal facelift enforces Delta constraints”, Finance and Stochastics, 19 (2), 329-362.
I. Kharroubi and H. Pham (2015) “Feynman-Kac representation for Hamilton-Jacobi-Belllman IPDEs”, The Annals of Probability, 43 (4), 1823-1865.
R. Elie and I. Kharroubi (2014) “Adding constraints to BSDEs with Jumps: an alternative to multi-dimensional reflections”, ESAIM: Probability and Statistics, 18, 233-250.
I. Kharroubi N. Langrené and H. Pham (2014) “A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization”, Monte Carlo Methods and Applications, 20 (22), 145-165.
R. Elie and I. Kharroubi (2013) “BSDE representations for optimal switching problems with controlled volatility”, Stochastics and Dynamics, 14 (3), 1450003 (15 pages).
I. Kharroubi, T. Lim and A. Ngoupeyou (2013) “Mean variance hedging on uncertain time horizon in a market with jump”, Applied Mathematics and Optimization, 68 (3), 413-444.
Y. Jiao, I. Kharroubi and H. Pham (2013) “Optimal investment under multiple defaults risk: a BSDE-decomposition approach”, The Annals of Applied Probability, 23 (2), 455-491.
I. Kharroubi and T. Lim (2012) “Progressive enlargement of filtrations and Backward SDEs with jumps”, Journal of Theoretical Probability, 27 (3), 683-724.
P. Gassiat, I. Kharroubi and H. Pham (2012) “Time discretization and quantization methods for optimal multiple switching problem”, Stochastic Processes and their Applications, 122 (5), 2019- 2052.
J.-F. Chassagneux, R. Elie and I. Kharroubi (2012) “Discrete-time approximation of BSDEs with oblique reflections”, The Annals of Applied Probability, 22 (3), 971-1007.
I. Kharroubi (2011) “Comparison theorem for Brownian multidimensional BSDEs via jump processes, Comptes Rendus Mathématique”, 349 (7-8), 463-468.
J.-F. Chassagneux, R. Elie and I. Kharroubi (2011) “A note on existence and uniqueness for solutions of multidimensional reflected BSDEs”, Electronic Communication in Probability, 16, 120- 128.
I. Kharroubi and H. Pham (2010) “Optimal portfolio liquidation with execution cost and risk”, SIAM Journal on Financial Mathematics, 1, 897-931.
R. Elie and I. Kharroubi (2010) “Probabilistic representation and approximation for coupled systems of variational inequalities”, Statistics and Probability Letters, 80 (17-18) 1388-1396.
I. Kharroubi, J. Ma, H. Pham and J. Zhang (2010) “Backward SDEs with constrained jumps and quasi-variational inequalities”, Annals of Probability, 38 (2), 794-840.