Optimal Portfolio Liquidation with Execution Cost and RiskKharroubi, Idris; Pham, Huyên · SIAM Journal on Financial Mathematics · 2010

Time discretization and quantization methods for optimal multiple switching problemPaul Gassiat; Idris Kharroubi; Huyên Pham · 2012

BACKWARD SDES WITH CONSTRAINED JUMPS AND QUASI-VARIATIONAL INEQUALITIESIdris Kharroubi, Jin Ma, Huyên Pham and Jianfeng Zhang · The Annals of Probability · 2010

Backward SDEs with constrained jumps and quasi-variational inequalitiesKharroubi, Idris; Ma, Jin; Pham, Huyên; Zhang, Jianfeng · The Annals of Probability · 2010

Optimal investment under multiple defaults risk: A BSDE-decomposition approachJiao, Ying; Kharroubi, Idris; Pham, Huyên · The Annals of Applied Probability · 2013

A numerical algorithm for fully nonlinear HJB equations: An approach by control randomizationKharroubi, Idris; Langrené, Nicolas; Pham, Huyên · Monte Carlo Methods and Applications · 2014

Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumpsKharroubi, Idris; Langrené, Nicolas; Pham, Huyên · The Annals of Applied Probability · 2015

Isotropic Stochastic FlowsPeter Baxendale and Theodore E. Harris · The Annals of Probability · 1986

Feller Processes on Nonlocally Compact SpacesTomasz Szarek · The Annals of Probability · 2006

The Identification of Point Process SystemsDavid R. Brillinger · The Annals of Probability · 1975

Stability of Nonlinear Hawkes ProcessesPierre Bremaud and Laurent Massoulie · The Annals of Probability · 1996

Branching Particle Systems and SuperprocessesE. B. Dynkin · The Annals of Probability · 1991

Stochastic Bifurcation ModelsRichard F. Bass and Krzysztof Burdzy · The Annals of Probability · 1999

A theory of bond portfoliosEkeland, Ivar; Taflin, Erik · The Annals of Applied Probability · 2005

On Conditional MediansR. J. Tomkins · The Annals of Probability · 1975