Mohamed Mrad

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Bi-revealed utilities in a defaultable universe: a new point of view on consumption Probability, Uncertainty and Quantitative Risk	2024-05-25	Paper
Time-consistent pension policy with minimum guarantee and sustainability constraint Probability, Uncertainty and Quantitative Risk	2024-05-25	Paper
Construction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve Modeling Springer Proceedings in Mathematics & Statistics	2022-09-30	Paper
Consistent utility of investment and consumption: a forward/backward SPDE viewpoint Stochastics	2022-07-05	Paper
Ramsey rule with forward/backward utility for long-term yield curves modeling Decisions in Economics and Finance	2022-06-17	Paper
Dynamic utility and related nonlinear SPDEs driven by Lévy noise International Journal of Theoretical and Applied Finance	2022-03-29	Paper
Mixture of consistent stochastic utilities and \textit{a priori} randomness International Journal of Theoretical and Applied Finance	2021-06-01	Paper
Recover dynamic utility from observable process: application to the economic equilibrium SIAM Journal on Financial Mathematics	2021-05-04	Paper
Convergence rate of strong approximations of compound random maps, application to SPDEs Discrete and Continuous Dynamical Systems. Series B	2018-12-27	Paper
Strong approximation of stochastic processes at random times and application to their exact simulation Stochastics	2018-09-04	Paper
An exact connection between two solvable SDEs and a nonlinear utility stochastic PDE SIAM Journal on Financial Mathematics	2014-01-23	Paper
Stochastic Utilities With a Given Optimal Portfolio : Approach by Stochastic Flows (available as arXiv preprint)	N/A	Paper
Time-consistent pension policy with minimum guarantee and sustainability constraint (available as arXiv preprint)	N/A	Paper

Research outcomes over time

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