Anis Matoussi

Professor, Applied Mathematics at Le Mans University

Director of Institut du Risque et de l'Assurance du Mans

Head of Master Actuarial Science  

Contact

 Le Mans Université   -  Institut du Risque et de l'Assurance  

 LMM & FR CNRS N°2962,   Avenue Olivier Messiaen, F-72085 Le Mans Cedex 9, France 

 Téléphone : + 33(0)2 43 83 37 19 

 Courrier électronique : anis.matoussi@univ-lemans.fr

• Coordinator of the project ANR DREAMeS 2021-2025, Numerical methods for decision: Dynamic pREferences And Multivariate riSks, see https://sites.google.com/view/anr-dreames

• Partner coordinator of ANR CAESARS 2016-2019, Control and simulAtion of Electrical Systems, interAction and RobustnesS), see http://caesars.math.cnrs.fr

•  Co-organizer of Spring School CREMMA, see http://cremma2019.lamsin.tn

•  Coordinator of Research Initiative, Risques Emergents ou Atypiques en Assurance (RE2A), MMA-COVEA, Institut du Risque et de l'Assurance du Mans, Fondation du Risque (ILB),  see https://www.idr-re2a.eu

•  Coordinator of Research Initiative, Impact de la Transition Climatique  en Assurance (ITCA), Groupama, Institut du Risque et de l'Assurance du Mans, Fondation du Risque (ILB),  see https://www.idr-itca.eu

Research Interest

• Stochastic control and games applied to finance,  insurance and energy

  • Second order BSDEs, Reflected BSDEs with one and two barriers

  • Numerical schemes

  • Stochastic control under uncertainty

  • Control and simulation of electrical systems

  • Extended Mean field Control and applications

  • Actuarial science:  theory and practice

• Stochastic nonlinear  PDEs

  • Maximum principle and obstacle problem for quasilinear SPDEs.

  • Numerical computation and Monte Carlo methods

  • Probabilistic representation for fully nonlinear SPDEs (classical and viscosity solution)

Preprints

59. S. Kaakai, A. Matoussi, A. Tamtalini. Multivariate Optimized Certainty Equivalent Risk Measures and Their Numerical Computation. hal-03817818v2 (2022). 

58.  S. Kaakai, A. Matoussi, A. Tamtalini. Utility Maximization Problem with Uncertainty and a Jump Setting. hal-03813812v3 (2022). 

57. N. El Karoui, A. Matoussi, A. Ngoupeyou. Quadratic BSDE with jumps and unbounded terminal condition. arXiv:1603.06191v1 (2016). 

56. M. Jeanblanc, A. Matoussi, A. Ngoupeyou. Robust utility maximization problem in model with jumps and unbounded claim.  arXiv:1201.2690v4 (2016).     

55.  A. Matoussi, W. Sabbagh, J . Zhang. Obstacle problem for fully nonlinear SPDE’s. Prépublication (2020). 

54. A. Matoussi, R. Salhi. Generalized BSDEs with jumps and stochastic quadratic growth.  Prépublication (2020).      

53. A. Bachouch, E. Gobet, A. Matoussi. Numerical computation for quasilinear SPDEs via  generalized Backward doubly SDEs.  Prépublication (2020).

52. A. Bachouch, E. Gobet, A. Matoussi. Numerical computation for quasilinear SPDEs via  generalized Backward doubly SDEs.  Prépublication (2020). 

51.  R. Elie, A. Matoussi. Super-replication and BSDE under Drawdown constraint.  Prépublication (2020).

50. A. Matoussi, F. Noubiagain, W. Sabbagh, C. Zhou. Numerical approximation for Reflected second order BSDEs. Prépublication (2020). 

49. A. Matoussi, F. Noubiagain, W. Sabbagh, C. Zhou. Generalized doubly Reflected second order BSDEs. Prépublication (2020). 

48. L. Denis,  A. Matoussi, C. Zhou. Second order BSDEs with jumps by measurable selection arguments. Prépublication (2020).     

47. A. Matoussi, A. Manai. Stability of Utility Maximisation Problem in Nonequivalent Markets: A BSDE Point of View.  Prépublication (2020). 

46. A. Matoussi, R. Salhi. Exponential Quadratic BSDEs with infinite activity Jumps.  arXiv:1904.08666v2 (2019).      

45.  A. Matoussi, A. Manai, R. Salhi. Mean-Field Backward-Forward SDE with Jumps and Storage problem in Smart Grids.  arXiv:1904.08525v1 (2019).       

44.  L. Denis, A. Matoussi, F. Noubiagain. Generalized Reflected second order BSDEs. Prépublication (2020).   

Accepted Papers

43.  A. Matoussi, M. Mnif, C. Ziri. Linear Quadratic Control Problems for Mean Field Stochastic Differential Equation with Jumps. hal-03815082 (2022),  to appear in Stochastics. 

42.   G. Broux-Quemerais,  S. Kaakai, A. Matoussi,  W. Sabbagh.  Deep learning scheme for forward utilities using ergodic BSDEs. hal-04516019v2 (2024),  to appear in Probability, Uncertainty and Quantitative Risk (PUQR).

41. S. Kaakai, A. Matoussi, A. Tamtalini. Estimation of Systemic Shortfall Risk Measure using Stochastic Algorithms. hal-038711246 (2022), to appear in SIAM Journal on Financial Mathematics.. 

40.  Y. Li,  A. Matoussi, L. Wei, Z. Wu.  Dynamic Programming Principle for Backward Doubly Stochastic Recursive Optimal Control Problem and Sobolev Weak Solution of The Stochastic Hamilton-Bellman Equation.   Fundamental Research, KeAi editor, avaible on line since 11/12/2023.  

39. A. Matoussi, M. Mrad. Dynamic Utility and related nonlinear SPDE driven by Lévy noise.  International Journal of Theoretical and Applied Finance, Vol. 25, N°. 1, 2250004 (2022) .        

38. A. Matoussi,  D. Possamai  and C.  Zhou. Corrigendum for "Second order reflected backward stochastic differential equations" and "Second-order BSDEs with general reflection and Dynkin games under uncertainty",   Annals of Applied Probability, Vol. 31, Issue 3, pgs 1505-1522 (2021).

37. L. Denis, A. Matoussi and J. Zhang. Quasilinear Stochastic PDEs with two Obstacles: Probabilistic approach. Stochastic Processes and Their Applications, 133, 1-40 (2021). 

36. C. Alasseur, I. Ben Taher,  A. Matoussi. An Extended Mean Field Game For Storage in Smart Grids. Journal of Optimization Theory and Applications,  644-670 (2020).

35. A. Bachouch, A. Matoussi.  L2 -Regularity for the solutions of Forward Backward Doubly Stochastic Differential Equations under globally Lipschitz continuous coefficients. Stochastics and Dynamics (2019).   

34. A. Matoussi, W. Sabbagh, T. Zhang. Large Deviation of Obstacle Problems for Quasi-linear Stochastic PDEs. Applied Mathematics and Optimization (2019), https://doi.org/10.1007/s00245-019-09570.                                                                                               

33. A. Matoussi, D. Possamai, W. Sabbagh. Probabilistic Interpretation for Viscosity Solution of Fully Nonlinear SPDE's.  Probability Theory and Related Fields, 174 (1), 177-233 (2019).

32. A. Matoussi, H. Xing. Convex Duality for stochastic  Differential Utility. Mathematical Finance, 28 (4), 989-1019 (2018).

31. W. Faidi, A. Matoussi, M. Mnif. Robust utility maximization with a general penality term. International Journal of Theoretical and Applied Finance, Vol. 20, N°. 3, 750015 (2017). 

30. A. Matoussi, W. Sabbagh, T. Zhang. Backward doubly SDEs and semilinear SPDEs in a convex domain. Stochastic Processes and Their Applications Vol. 127,  N°. 9, 2781–2815  (2017). 

29. A. Matoussi, L. Piozin, A. Popier.  Stochastic PDEs with singular terminal condiontion.  Stochastic Processes and Their Applications, Vol. 127,  N°. 3, 831–876  (2017). 

28. A. Matoussi, W. Sabbagh. Numerical computation for backward doubly SDEs with random terminal time. Monte Carlo Methods Appl. 22, no. 3, 229–258 (2016).

27. A. Bachouch., E. Gobet, A. Matoussi.  Emperical Regression Method for Backward doubly SDEs, SIAM/ASA Journal on Uncertainty Quantification (JUQ), Vol. 4,  N°. 1, 358–379 (2016). 

26. A. Bachouch, M.-A. Ben Lasmar, A. Matoussi, M. Mnif. Euler time discretization of Backward Doubly SDEs and Applications to Semilinear SPDEs, Stochastic Partial Differential Equations : Analysis and Computations, 1, 1–43 (2016).                                    

25. Y. Hu, A. Matoussi, T. Zhang. Wong-Zakai approximation for Backward doubly SDEs. Stochastic  Processes and Their Applications, Vol. 125 (12), 4375-4404 (2015).       

24. A. Matoussi, H. Mezghani, M. Mnif. Maximization of recursive utilities under convex portfolio constraints.  Applied Mathematics and Optimization. Vol. 71 (2), 313-351 (2015). 

23. A. Matoussi, D. Possamai and C. Zhou. Robust Utility Maximization in Non-dominated Models with 2BSDE : the Uncertain Volatility Model. Mathematical Finance, Vol. 25, N°. 2, 258-287 (2015). 

22. L. Denis, A. Matoussi, J. Zhang. The Obstacle Problem for quasilinear SPDEs with non- homogeneous operator.  Discrete and Continuous Dynamical Systems Series A"(DCDS-A), Vol. 35,  N°. 11,  5185-5202 (2015). 

21. L. Denis, A. Matoussi, J. Zhang. The existence and uniqueness result for Quasilinear Stochastic PDEs with Obstacle under weaker integrability conditions. Stochastics and Dynamics, Vol. 15, N°.4, 1550023  (2015).

20. A. Matoussi, W. Sabbagh, C. Zhou. The obstacle problem for semilinear parabolic partial integro-differential equations.  Stochastics and Dynamics Vol. 15, N°.1, 15 (2015).  

19.  L. Denis, A. Matoussi, J. Zhang. Maximum principle for quasilinear SPDEs with obstacle. Electronic  Journal of Probability, Vol. 19, Issue 44, 1-32 (2014). 

18. A. Matoussi, L. Piozin, D. Possamai. Second-order BSDEs with general reflection and Dynkin games under uncertainty. Stochastic Processes and Their Applications, Vol. 124, Issue 7, 2281–2321 (2014).

17. L. Denis, A. Matoussi and J. Zhang. The Obstacle problem for quasilinear SPDEs : Analytical approach. The Annals of Probabilty, Vol. 42, No.3, 865–905 (2014). 

16. A. Matoussi,  D. Possamai  and C.  Zhou. Second order reflected backward stochastic differential equations. Annals of Applied Probability, Vol. 23, No. 6, 2420–2457, (2013).

15. L. Denis, A. Matoussi. Maximum principle for quasilinear SPDE’s on a bounded domain without regularity assumptions. Stochastic Processes and Their Applications 123, 1104–1137 (2013).

14. W. Faidi, A. Matoussi, M. Mnif.  Maximization of Recursive Utilities: A Dynamic Maximum Principle Approach.  SIAM J. of Financial Math., Vol. 2, pp. 1014-1041 (2011). 

13. A. Matoussi,  L. Stoica. The Obstacle Problem for Quasilinear Stochastic PDE's. Annals of Probability, Vol. 38, N.3, 1143-1179 (2010).

12. L. Denis, A. Matoussi, L. Stoica. Moser iteration applied to parabolic SPDE’s: first approach. Quaderni di Matematica, Series edited by Dipartimento di Matematica     

Seconda Università di Napoli. Proceeding "Stochastic Partial Differential Equations and Applications – VIII" (Levico, Jan. 6-12, 2008), (2010). 

11. L. Denis,  A. Matoussi, L. Stoica. Maximum principle and comparison theorems for solutions of Quasilinear SPDE's. Electronic Journal of Probability 14, pp. 500-530 (2009).

10. S. Crépey, A. Matoussi. Reflected and Doubly Reflected BSDEs with jumps. Annals of  Applied Probability 18, No. 5, pp. 2041-2069 (2008).

 9. A. Matoussi, M. Xu. Sobolev solution for semilinear PDE with obstacle under monotonocity condition. Electronic Journal of Probability  Vol. 13, No.35, 1035-1067 (2008).

 8. G. Bordigoni, A. Matoussi, M. Schweizer. A stochastic control approach to a robust utility maximization problem. Abel Symposium 2005. Stochastic Analysis and Applications, eds. F.E. Benth, G. Di Nunno, T. Lindstrom, B. Oksendal, T. Zhang. Springer-Verlag Berlin, pp. 125-151 (2007).

 7. L. Denis,  A. Matoussi, L. Stoica. Lp-estimates for the uniform norm of solutions quasilinear SPDE's.  Probability Theory and Related Fields, 133, pp. 437-463 (2005).

 6. J.-P. Lepeltier, A. Matoussi, M. Xu. Reflected BSDE with monotonicity condition and general increasing growth condition. Advances in Applied Probability 37, 134-159 (2005).

 5. S. Dereich, F. Fehringer, A. Matoussi and M. Scheutzow : On the link between small ball probabilities and the quantization problem for Gaussian measures on Banach spaces.  Journal of Theoretical Probability 16, 249-265 (2003).

 4. A. Matoussi, M. Scheutzow. Semilinear Stochastic PDE's with nonlinear noise and Backward Doubly SDE's.  Journal of Theoretical Probability 15, 1-39 (2002).

 3. V. Bally, A. Matoussi. Weak solutions of Stochastic PDEs and Backward doubly stochastic differential equations. Journal of Theoretical Probability 14, 125-164 (2001). 

 2. S. Hamadène, J.P. Lepeltier, A. Matoussi.  Double Barrier Reflected BSDEs with continuous coefficient. Backward stochastic differential equations. N. El Karoui and 

 L. Mazliak (Editors). Pitman Research Notes in Mathematics Series (1997).

 1. A. Matoussi. Reflected solutions of BSDEs with continuous coefficient. Statistics and Probability Letters 34, 347-354 (1997).

Chapter in Books

N. EL Karoui, S. Hamadène, A. Matoussi.  Backward stochastic differential equations and applications. Chapter 8 in the book "Indifference Pricing: Theory and Applications" edited by René Carmona, Springer-Verlag  pp. 267-320 (2008).

 Current PhD Students

•  Zakaria  BENSAID (2023-):   PhD at Le Mans University, co-supervisors  Roxana Dumitresscu (CREST-ENSAE Paris) and Wissal Sabbagh  (Le Mans University).   

• Lucas Da Silva (2024-): PhD  at Le Mans University,  industrial thesis  with Natixis, co-supervisors Caroline Hillairet (  CREST-ENSAE Paris),  Nadège     Juillard (Natixis) and Wissal Sabbagh  (Le Mans University).                                                                                                                                                     

Former PhD Students

• Guillaume BROUX (2021-2024):  currently ATER at Le Mans University. 

• Achraf  TAMTALINI (2019-2022):  currently Quantitative analyst, Commodities Front Office, Bank of America, London, UK.

• Chefia  ZIRI (2017-2022): currently Data Scientist at Expleo Group, France.  

•  Arij MANAI (2015-2019), currently Model inspector at Crédit Agricole, Paris, France.  

•  Rym SALHI  (2015-2019),  currently Business  Analyst Market risk at Talan, France.  

•  Fanny Larissa NOUBIAGAIN Chomchie (2013-2017),  currently Manager of MIRA project at Recherche Departement of ALTRAN, Paris, France.

• Lambert PIOZIN (2011- 2015), currently junior Quant at HSBC London, UK.

• Anis BEN LASMAR (2010-2015),  currently Assistant Professor at ESPRIT (Engineers School), Tunis, Tunisia.

•  Hanen MEZGHANI (2011-2015), currently Assistant Professor  at ENIT-Tunis El Mnar University, Tunisia.

•  Wissal SABBAGH (2011-2014),  currently  Assistant Professor  at Le Mans University, France.

• Achref BACHOUCH (2010-2014), currently Senior lecturer in Applied Mathematics at Mälardalen University, Sweden.

• Jing ZHANG (2009-2012),  currently Assistant Professor  at Fudan University, Shanghai, China.  

• Wahid FAIDI (2008-2012),  currently Assistant Professor  at University of Tunis  El Manar, Tunisia.

• Chao ZHOU (2009-2012),  currently Assistant Professor  at National University of Singapore.

•  Armand NGOUPEYOU (2007-2010),  currently  Risk manager at Central Bank of Africa, Cameroune.

• Hao WANG (2006-2009),  currently  Risk manager at Bank of China, Jinan, China.