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math.PR2019
Mean-Field Backward-Forward SDE with Jumps and Storage problem in Smart Grids
Anis Matoussi, Arij Manai, Rym Salhi
In this paper, we prove the existence and uniqueness of the solution of a coupled Mean-Field Forward-Backward SDE system with Jumps. Then, we give an application in the field of st…
math.PR2019★ 1 cited
Exponential Quadratic BSDEs with infinite activity Jumps
Anis Matoussi, Rym Salhi
In this paper, we study a Backward Stochastic Differential Equation with Jumps (BSDEJs in short) where the jumps have infinite activity. Following a forward approach based on Expon…