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Imade Fakhouri

Publications and source records attributed to Imade Fakhouri.

6 recordsLinked to original sources

Minimal Reflected BSDEs and Superhedging of Irregular American Claims

We study the superhedging of American claims with an irregular optional payoff process $ξ$ over the full set $\mathcal{M}(X)$ of equivalent local martingale measures of a locally bounded market. We show that a process which is a strong optional supermartingale of class (D) under every $Q\in\mathcal{M}(X)$, with no bound from either side, decomposes as $S=S_0+\int H\,dX-A-C_-$, with a common integrand $H$, a right-continuous increasing process $A$ and a purely discontinuous increasing process $C$ given explicitly by the right jumps of $S$. For the robust Snell envelope this yields the superhedging duality $p_0(ξ)=\sup_{Q}\sup_τE^Q[ξ_τ]$ with an explicit optimal strategy and no regularity of $ξ$ in time. Unbounded payoffs are covered when $\{ξ_τ\}$ is uniformly integrable jointly over measures and stopping times, or when $|ξ|$ is dominated by a traded uniformly integrable martingale. For payoffs bounded below, the price is attained by wealth bounded below by a constant. For payoffs unbounded below this can fail, already in a complete market, and the price is attained once the constant bound is replaced by $-M$, with $M$ a traded martingale dominating $|ξ|$. In an incomplete Brownian market we study the associated reflected BSDE with an optional obstacle and a Lipschitz driver depending on the value. We prove existence and uniqueness of the minimal supersolution, a representation at stopping times, comparison and an equivalent dynamic minimality condition, for bounded data and for data dominated by a traded martingale. For a European-type obstacle, the Skorokhod conditions on the total regulator hold for some supersolution if and only if the terminal claim is attainable by a bounded wealth process; so in an incomplete market some data admit no supersolution satisfying them, while the right-jump regulator always satisfies its contact condition.

math.PR↗

Stochastic optimal switching and systems of variational inequalities with interconnected obstacles

This paper studies a system of $m$ variational inequalities with interconnected obstacles in infinite horizon associated to optimal multi-modes switching problems. Our main result is the existence and uniqueness of a continuous solution in viscosity sense, for that system. The proof of the main result strongly relies on the connection between the systems of variational inequalities and reflected backward stochastic differential equations (RBSDEs) with oblique reflection, which will be characterized through a Feynman-Kac's formula. The main feature of our system of infinite horizon RBSDEs is that its components are interconnected through both the generators and the obstacles.

math.OC↗

$\boldsymbol{\mathbb{L}^p(p\ge2)}$-solutions of generalized BSDEs with jumps and monotone generator in a general filtration

In this paper, we study multidimensional generalized BSDEs that have a monotone generator in a general filtration supporting a Brownian motion and an independent Poisson random measure. First, we prove the existence and uniqueness of $\mathbb{L}^p(p\ge2)$-solutions in the case of a fixed terminal time under suitable $p$-integrability conditions on the data. Then, we extend these results to the case of a random terminal time. Furthermore, we provide a comparison result in dimension $1$.

math.PR↗

Viscosity Solutions for a System of PDEs and Optimal Switching

In this paper, we study the $m$-states optimal switching problem in finite horizon, when the switching cost functions are arbitrary and can be positive or negative. This has an economic incentive in terms of central evaluation in cases where such organizations or state grants or financial assistance to power plants that promotes green energy in their production activity or what uses less polluting modes in their production. We show existence for optimal strategy via a verification theorem then we show existence and uniqueness of the value processes by using an approximation scheme. In the markovian framework we show that the value processes can be characterized in terms of deterministic continuous functions of the state of the process. Those latter functions are the unique viscosity solutions for a system of $m$ variational partial differential inequalities with inter-connected obstacles.

math.OC↗

Reflected backward stochastic differential equations with jumps in time-dependent random convex domains

In this paper, we study a class of multi-dimensional reflected backward stochastic differential equations when the noise is driven by a Brownian motion and an independent Poisson point process, and when the solution is forced to stay in a time-dependent adapted and continuous convex domain ${\cal{D}}=\{D_t, t\in[0,T]\}$. We prove the existence an uniqueness of the solution, and we also show that the solution of such equations may be approximated by backward stochastic differential equations with jumps reflected in appropriately defined discretizations of $\cal{D}$, via a penalization method.

math.PR↗

Optimal switching problem and system of reflected multi-dimensional FBSDEs with random terminal time

In this paper, we study the solvability of a class of multi-dimensional forward backward stochastic differential equations (FBSDEs) with oblique reflection and unbounded stopping time. Under some mild assumptions on the coefficients in such FBSDE, the existence result of adapted solutions is done via a penalization method. The uniqueness is obtained by a verification theorem similarly to the one used by Hu and Tang \cite{HT10}. Finally, we establish the connection with the corresponding optimal switching problem. This latter is solved by using the previous results on FBSDEs.

math.PR↗