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Thomas Lim

Progressive Enlargement of Filtrations and Backward Stochastic Differential Equations with Jumps
2012 · Idris Kharroubi, Thomas Lim · Journal of Theoretical Probability · 50
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Exponential Utility Maximization in an Incomplete Market with Defaults
2011 · Thomas Lim, Marie-Claire Quenez · Electronic Journal of Probability · 49
Mean-Variance Hedging on Uncertain Time Horizon in a Market with a Jump
2013 · Idris Kharroubi, Thomas Lim, et al. · Applied Mathematics & Optimization · 45
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Portfolio Optimization in a Default Model Under Full/partial Information
2015 · Thomas Lim, Marie-Claire Quenez · Probability in the Engineering and Informational Sciences · 17
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Seminar on Stochastic Analysis, Random Fields and Applications VII: Centro Stefano Franscini, Ascona, May 2011
2013 · LIM T, LY VATH V, et al. · Springer eBooks · 13
Utility maximization in incomplete markets with default
2008 · Lim, Thomas, Quenez, Marie-Claire · arXiv (Cornell University) · 12
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Regulation of Renewable Resource Exploitation
2020 · Idris Kharroubi, Thomas Lim, et al. · SIAM Journal on Control and Optimization · 10
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Optimal exploitation of a resource with stochastic population dynamics and delayed renewal
2019 · Idris Kharroubi, Thomas Lim, et al. · Journal of Mathematical Analysis and Applications · 9
Optimization problem under change of regime of interest rate
2015 · Bogdan Iftimie, Monique Jeanblanc, et al. · Stochastics and Dynamics · 7
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Optimal risk management problem of natural resources: application to oil drilling
2019 · M’hamed Gaïgi, Stéphane Goutte, et al. · Annals of Operations Research · 6
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Some existence results for advanced backward stochastic differential equations with a jump time
2017 · Monique Jeanblanc, Thomas Lim, et al. · ESAIM Proceedings and Surveys · 6
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Discretization and machine learning approximation of BSDEs with a constraint on the Gains-process
2021 · Idris Kharroubi, Thomas Lim, et al. · Monte Carlo Methods and Applications · 5
A decomposition approach for the discrete-time approximation of FBSDEs with a jump
2015 · Idris Kharroubi, Thomas Lim · Random Operators and Stochastic Equations · 5
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Optimal management of an oil exploitation
2018 · Stéphane Goutte, Idris Kharroubi, et al. · International Journal of Global Energy Issues · 4
Indifference fee rate for variable annuities
2016 · Etienne Chevalier, Thomas Lim, et al. · Applied Mathematical Finance · 4
Max–min Optimization Problem for Variable Annuities Pricing
2015 · CHRISTOPHETTE BLANCHET-SCALLIET, ETIENNE CHEVALIER, et al. · International Journal of Theoretical and Applied Finance · 4
A decomposition approach for the discrete-time approximation of FBSDEs with a jump I : the Lipschitz case
2011 · Kharroubi, Idris, Lim, Thomas · arXiv (Cornell University) · 2
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Discretization and Machine Learning Approximation of BSDEs with a Constraint on the Gains-Process
2020 · Kharroubi, Idris, Lim, Thomas, et al. · RePEc: Research Papers in Economics · 1
Bid-Ask Spread Modelling, a Perturbation Approach
2013 · Thomas Lim, Vathana Ly Vath, et al. · Progress in probability · 1
A decomposition approach for the discrete-time approximation of BSDEs with a jump II: the quadratic case
2012 · Kharroubi, Idris, Lim, Thomas · arXiv (Cornell University) · 1
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Optimal management and valuation of a natural resource: the case of optimal harvesting
2022 · M'hamed Gaïgi, Idris Kharroubi, et al. · Probability in the Engineering and Informational Sciences
Optimal Exploitation of a General Renewable Natural Resource under State and Delay Constraints
2020 · M’hamed Gaïgi, Idris Kharroubi, et al. · Mathematics
Discretization and Machine Learning Approximation of BSDEs with a Constraint on the Gains-Process
2020 · Kharroubi, Idris, Lim, Thomas, et al. · arXiv (Cornell University)
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Quelques applications du contrôle stochastique aux mathématiques financières
2018 · Lim, Thomas · HAL
Management of a scare resource and price rule: the case of sustainable fishing
2018 · Gaîgi, M'hamed, Kharroubi, Idris, et al. · Base Institutionnelle de Recherche de l'université Paris-Dauphine (BIRD) (University Paris-Dauphine)
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Works count: 35
Citation count: 251
H-index: 8
I10-index: 7
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