Idris Kharroubi

Publication Activity (10 Years)

Years Active: 2010-2021
Publications (10 Years): 6

Top Topics

Machine Learning

Inventory Models

Yield Management

Top Venues

Monte Carlo Methods Appl.

SIAM J. Control. Optim.

Finance Stochastics

Ann. Oper. Res.

Publications

Idris Kharroubi, Thomas Lim, Xavier Warin
Discretization and machine learning approximation of BSDEs with a constraint on the Gains-process. Monte Carlo Methods Appl. 27 (1) (2021)
M'hamed Gaïgi, Stéphane Goutte, Idris Kharroubi, Thomas Lim
Optimal risk management problem of natural resources: application to oil drilling. Ann. Oper. Res. 297 (1) (2021)
Idris Kharroubi, Thomas Lim, Thibaut Mastrolia
Regulation of Renewable Resource Exploitation. SIAM J. Control. Optim. 58 (1) (2020)
Bruno Bouchard, Boualem Djehiche, Idris Kharroubi
Quenched Mass Transport of Particles Toward a Target. J. Optim. Theory Appl. 186 (2) (2020)
Idris Kharroubi, Thomas Lim, Xavier Warin
Discretization and Machine Learning Approximation of BSDEs with a Constraint on the Gains-Process. CoRR (2020)
Idris Kharroubi
Optimal Switching in Finite Horizon under State Constraints. SIAM J. Control. Optim. 54 (4) (2016)
Jean-François Chassagneux, Romuald Elie, Idris Kharroubi
When terminal facelift enforces delta constraints. Finance Stochastics 19 (2) (2015)
Idris Kharroubi, Nicolas Langrené, Huyên Pham
A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization. Monte Carlo Methods Appl. 20 (2) (2014)
Idris Kharroubi, Huyên Pham
Optimal Portfolio Liquidation with Execution Cost and Risk. SIAM J. Financial Math. 1 (1) (2010)