2012

Articles

• Lim, Thomas ; Kharroubi, Idris . Progressive enlargement of filtrations and Backward SDEs with jumps. Journal of Theoretical Probability. 2012. pages 41. Springer. DOI http://dx.doi.org/10.1007/s10959-012-0428-1.
• Chassagneux, Jean-François ; Kharroubi, Idris ; Elie, Romuald . Discrete-time Approximation of Multidimensional BSDEs with oblique reflections. Annals of Applied Probability. Volume 22. n° 3. 2012. pages 971-1007. Institute of Mathematical Statistics. DOI http://dx.doi.org/10.1214/11-AAP771.

Working Papers

• Pham, Huyen ; Kharroubi, Idris . Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE. Université Paris-Dauphine . 2012 .
• Lim, Thomas ; Kharroubi, Idris . A decomposition approach for the discrete-time approximation of FBSDEs with a jump I : the Lipschitz case. Université Paris-Dauphine . 2012 .
• Lim, Thomas ; Kharroubi, Idris . A decomposition approach for the discrete-time approximation of BSDEs with a jump II: the quadratic case. Université Paris-Dauphine . 2012 .
• Ngoupeyou, Armand ; Lim, Thomas ; Kharroubi, Idris . Mean-Variance Hedging on uncertain time horizon in a market with a jump. Université Paris-Dauphin . 2012 .

2011

Articles

• Kharroubi, Idris . Comparison theorem for Brownian multidimensional BSDEs via jump processes. Comptes Rendus de l'Académie des Sciences - Series I - Mathematics. Volume 349. n° 7-8. 2011. pages 463-468. Elsevier. DOI http://dx.doi.org/10.1016/j.crma.2011.03.012.

Working Papers

• Pham, Huyen ; Kharroubi, Idris ; Paul, Gassiat . Time discretization and quantization methods for optimal multiple switching problem. Université Paris-Dauphine . 2011 .
• Jiao, Ying ; Kharroubi, Idris ; Pham, Huyen . Optimal investment under multiple defaults risk: a BSDE-decomposition approach. Université Paris-Dauphine . 2011 .
• Kharroubi, Idris ; Elie, Romuald . Adding constraints to BSDEs with Jumps: an alternative to multidimensional reflections. Université Paris-Dauphine . 2011 .
• Kharroubi, Idris ; Elie, Romuald . BSDE representations for optimal switching problems with controlled volatility. Université Paris-Dauphine . 2011 .

2010

Articles

• Zhang, Jianfeng ; Pham, Huyen ; Ma, Jin ; Kharroubi, Idris . Backward SDEs with constrained jumps and quasi-variational inequalities. Annals of Probability. Volume 38. n° 2. 2010. pages 794-840. Institute of Mathematical Statistics. DOI http://dx.doi.org/10.1214/09-AOP496.
• Elie, Romuald ; Kharroubi, Idris . Probabilistic Representation and Approximation for Coupled Systems of Variational Inequalities. Statistics & Probability Letters. Volume 80. n° 17-18. 2010. pages 1388-1396. Elsevier. DOI http://dx.doi.org/10.1016/j.spl.2010.05.003.

2009

Working Papers

• Elie, Romuald ; Kharroubi, Idris . Constrained Backward SDEs with Jumps: Application to Optimal Switching. Université Paris-Dauphine . 2009 .