3 papers
math.PR2026
Efficient Computation Of Sensitivities For Derivatives In Energy Markets
Fred Espen Benth, Olfa Draouil, Farouk Hammami
In this study, we develop a stochastic framework for computing Delta sensitivities in energy markets, where both prices and traded volumes are modeled as correlated stochastic proc…
math.PR2025
The stochastic heat inclusion with fractional time driven by time-space Brownian and Lévy white noise
Olfa Draouil, Rahma Yasmina Moulay Hachemi, Bernt Ãksendal
We study a time-fractional stochastic heat inclusion driven by additive time-space Brownian and Lévy white noise. The fractional time derivative is interpreted as the Caputo deriv…
math.PR2025
Multiparameter Lévy white noise theory and applications
Olfa Draouil, Rahma Yasmina Moulay Hachemi, Bernt Ãksendal
We construct a white noise theory and white noise calculus for the (multi-parameter) L\' evy sheet and its compensated Poisson random measures. The theory applies to stochastic par…