6 citations · 11 across the 8 of their papers we have counts for
8 papers
Optimal Stopping Under Model Uncertainty in a General Setting
Ihsan Arharas, Siham Bouhadou, Astrid Hilbert +1
We consider the optimal stopping time problem under model uncertainty $R(v)= {\text{ess}\sup\limits}_{ \mathbb{P} \in \mathcal{P}} {\text{ess}\sup\limits}_{τ\in \mathcal{S}_v} E^\m…
Reflected backward stochastic differential equations with optional barriers: monotone approximation
Siham Bouhadou, Astrid Hilbert, Youssef Ouknine
In this short note we consider RBSDE with Lipschitz drivers and barrier processes that are optional and right upper semicontinuous. We treat the case when the barrier can be repres…
Doubly Reflected BSDEs in the predictable setting
Ihsan Arharas, Siham Bouhadou, Youssef Ouknine
In this paper, we introduce a specific kind of doubly reflected Backward Stochastic Differential Equations (in short DRBSDEs), defined on probability spaces equipped with general f…
Optimal Stopping in General Predictable Framework
Siham Bouhadou, Youssef Ouknine
In this paper, we study the optimal stopping problem in the case where the reward is given by a family $(ϕ(τ),\;\;τ\in \stopo)$ of non negative random variables indexed by predicta…
Non linear optimal stopping problem and Reflected BSDEs in the predictable setting
S. Bouhadou, Y. Ouknine
In the first part of this paper, we study RBSDEs in the case where the filtration is not quasi-left continuous and the lower obstacle is given by a predictable process. We prove th…
On the time inhomogeneous skew Brownian motion
S. Bouhadou, Y. Ouknine
This paper is devoted to the construction of a solution for the "Inhomogenous skew Brownian motion" equation, which first appeared in a seminal paper by Sophie Weinryb, and recentl…
On the pathwise uniqueness of solutions of one-dimensional stochastic differential equations with jumps
M. Benabdallah, S. Bouhadou, Y. Ouknine
We consider one-dimensional stochastic differential equations with jumps in the general case. We introduce new technics based on local time and we prove new results on pathwise uni…
On semimartingale local time inequalities and applications in SDE's
M. Benabdallah, S. Bouhadou, Y. Ouknine
Using the balayage formula, we prove an inequality between the measures associated to local times of semimartingales. Our result extends the "comparison theorem of local times" of…