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Idris Kharroubi

17 works· latest 2023· 6 institutionscluster: provisionalORCID 0000-0003-4192-4712

h-index17

i1017

Citations773

Works here17

Most cited in this library

A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization2014 · 89 citations
Feynman–Kac representation for Hamilton–Jacobi–Bellman IPDE2015 · 72 citations
Optimal investment under multiple defaults risk: A BSDE-decomposition approach2013 · 65 citations
Backward SDEs with constrained jumps and quasi-variational inequalities2010 · 63 citations
8 Backward SDEs with constrained jumps and Quasi-Variational Inequalities2008 · 56 citations

Works

17 shown

Optimal control of path-dependent McKean–Vlasov SDEs in infinite-dimension

The Annals of Applied Probability·2023·5 authors·Open access

31citations

Master Bellman equation in the Wasserstein space: Uniqueness of viscosity solutions

Transactions of the American Mathematical Society·2023·5 authors·Open access

26citations

Feynman–Kac representation for Hamilton–Jacobi–Bellman IPDE

The Annals of Probability·2015·2 authors·Open access

72citations

Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps

The Annals of Applied Probability·2015·3 authors·Open access

46citations

A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization

Monte Carlo Methods and Applications·2014·3 authors·Open access

89citations

BSDE representations for optimal switching problems with controlled volatility

Stochastics and Dynamics·2013·2 authors·Open access

22citations

Mean-Variance Hedging on Uncertain Time Horizon in a Market with a Jump

Applied Mathematics & Optimization·2013·3 authors·Open access

43citations

Adding constraints to BSDEs with jumps: an alternative to multidimensional reflections

ESAIM Probability and Statistics·2013·2 authors·Open access

27citations

Optimal investment under multiple defaults risk: A BSDE-decomposition approach

The Annals of Applied Probability·2013·3 authors·Open access

65citations

Progressive Enlargement of Filtrations and Backward Stochastic Differential Equations with Jumps

Journal of Theoretical Probability·2012·2 authors·Open access

46citations

Discrete-time approximation of multidimensional BSDEs with oblique reflections

The Annals of Applied Probability·2012·3 authors·Open access

22citations

A note on existence and uniqueness for solutions of multidimensional reflected BSDEs

Electronic Communications in Probability·2011·3 authors·Open access

51citations

Probabilistic representation and approximation for coupled systems of variational inequalities

Statistics & Probability Letters·2010·2 authors·Open access

26citations

Backward SDEs with constrained jumps and quasi-variational inequalities

The Annals of Probability·2010·2 authors·Open access

63citations

Optimal Portfolio Liquidation with Execution Cost and Risk

SIAM Journal on Financial Mathematics·2010·2 authors·Open access

39citations

Optimal portfolio liquidation with execution cost and risk

·2009·2 authors·preprint

49citations

8 Backward SDEs with constrained jumps and Quasi-Variational Inequalities

·2008·4 authors·Open access

56citations