Search Results - "El Farouq, Naïma"

Deterministic impulse control problems: Two discrete approximations of the quasi-variational inequality by El Farouq, Naïma

“…In this paper, we study a deterministic infinite horizon, mixed continuous and impulse control problem in Rn, with general impulses, and cost of impulses. We…”
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Deterministic Minimax Impulse Control by El Farouq, Naïma, Barles, Guy, Bernhard, Pierre

“…We prove the uniqueness of the viscosity solution of an Isaacs quasi-variational inequality arising in an impulse control minimax problem, motivated by an…”
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Proportional Transaction Costs in the Robust Control Approach to Option Pricing: The Uniqueness Theorem by El Farouq, Naïma, Bernhard, Pierre

“…We prove the missing uniqueness theorem for the viscosity solution of a quasi-variational inequality related to a minimax impulse control problem modeling the…”
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