S
Said Hamadène
Researcher at University of Maine
Publications - 85
Citations - 2353
Said Hamadène is an academic researcher from University of Maine. The author has contributed to research in topics: Stochastic differential equation & Uniqueness. The author has an hindex of 24, co-authored 83 publications receiving 2162 citations.
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Zero-sum stochastic differential games and backward equations
Said Hamadène,J. P. Lepeltier +1 more
TL;DR: In this article, the existence of a saddle point in the bounded case is obtained if the Isaacs' condition holds, and this technique is also a very simple approach for finding an optimal strategy in the case of controlled diffusions.
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On the Starting and Stopping Problem: Application in Reversible Investments
Said Hamadène,Monique Jeanblanc +1 more
TL;DR: This work solves completely the starting and stopping problem when the dynamics of the system are a general adapted stochastic process and uses backward stoChastic differential equations and Snell envelopes.
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Backward equations, stochastic control and zero-sum stochastic differential games
Said Hamadène,J. P. Lepeltier +1 more
TL;DR: In this article, the existence of an optimal strategy for the stochastic control of diffusions was proved for the case when the Isaacs' condition is satisfied, and a saddle point for zero-sum games was established.
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A Finite Horizon Optimal Multiple Switching Problem
TL;DR: The problem of optimal multiple switching in a finite horizon when the state of the system is a general adapted stochastic process is considered and it is shown that the associated vector of value functions provides a viscosity solution to a system of variational inequalities with interconnected obstacles.
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Switching problem and related system of reflected backward SDEs
Said Hamadène,Jianfeng Zhang +1 more
TL;DR: In this paper, a system of backward stochastic differential equations with oblique reflections (RBSDEs) is studied, motivated by the switching problem under Knightian uncertainty and recursive utilities.