Moustapha Pemy

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
Execution shortfall algorithms under regime switching	2024-07-05	Paper
Optimal oil production and taxation in presence of global disruptions	2024-07-05	Paper
Optimal liquidation of a basket of stocks using reinforcement learning	2024-07-05	Paper
Optimal oil production and taxation under mean reverting jump diffusion models Journal of Mathematical Analysis and Applications	2021-12-13	Paper
Optimal Oil Production under Mean Reverting L\'evy Models with Regime Switching	2016-11-04	Paper
Optimal stopping of Markov switching Lévy processes Stochastics	2014-08-14	Paper
Viscosity solution of optimal stopping problem for stochastic systems with bounded memory Stochastic Analysis and Applications	2012-12-13	Paper
Optimal algorithms for trading large positions Automatica	2012-08-27	Paper
Optimal selling rule in a regime switching Lévy market International Journal of Mathematics and Mathematical Sciences	2011-09-09	Paper
Liquidation of a large block of stock with regime switching Mathematical Finance	2011-06-09	Paper
An approximation scheme for Black-Scholes equations with delays Journal of Systems Science and Complexity	2010-11-03	Paper
Finite difference approximation for stochastic optimal stopping problems with delays Journal of Industrial and Management Optimization	2009-03-30	Paper
Selling a large stock position: a stochastic control approach with state constraints Communications in Information and Systems	2008-08-14	Paper
Finite Difference Approximations for Stochastic Control Systems with Delay Stochastic Analysis and Applications	2008-06-12	Paper
Optimal control of stochastic functional differential equations with a bounded memory Stochastics	2008-03-18	Paper
Optimal stock liquidation in a regime switching model with finite time horizon Journal of Mathematical Analysis and Applications	2006-07-20	Paper

Research outcomes over time

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