Publications

Published and accepted papers:

• S. Kaakaï, A. Matoussi, A. Tamtalini, Estimation of Systemic Shortfall Risk Measure using Stochastic Algorithms. 2024, [Hal].

• G. Broux-Quemerais, S. Kaakaï, A. Matoussi, W. Sabbagh, Deep learning scheme for forward utilities using ergodic BSDEs. 2024, [Hal].

• S. Ankirchner, N. Kazi-Tani, J. Wendt, C. Zhou, Large ranking games with diffusion control. Mathematics of Operations Research, In press, [Journal].

• N. El Karoui, C. Hillairet, M. Mrad, Bi-revealed utilities in a defaultable universe: A new point of view on consumption. Probability, Uncertainty and Quantitative Risk, 2024, 9(1): 13-34, [Journal].

• C. Hillairet, S. Kaakaï, M. Mrad, Time-consistent pension policy with minimum guarantee and sustainability constraint, Probability, Uncertainty and Quantitative Risk, 2024, 9(1): 35-64, [Journal].

• R. Dumitrescu, R. Elie, W. Sabbagh, C. Zhou, A new Mertens decomposition of Y g,ξ -submartingale systems. Application to BSDEs with weak constraints at stopping times. Stochastic Processes and their Applications, 2023, 164, pp.183-205, [Journal].

Preprints:

• S.Kaakï, A. Matoussi, A. Tamtalini, Multivariate Optimized Certainty Equivalent Risk Measures and their Numerical Computation. 2022, [Hal].

• S. Kaakaï, A. Matoussi, A. Tamtalini, Utility Maximization Problem with Uncertainty and a Jump Setting. 2022, [Hal].

• A.  Matoussi, M. Mnif, C. Ziri. Linear Quadratic Control Problems for Mean Field Stochastic Differential Equation with Jumps: Application in Exhaustible Resources Production. 2022, [Hal].

• S. Ankirchner, N. Kazi-Tani, J. Wendt. The role of correlation in diffusion control ranking games. 2023. [Hal].

• M. Mrad, A. Popier, Composition of approximations of two SDEs with jumps with non-finite Lévy measures, 2023. [Hal].