2 citations · 6 across the 13 of their papers we have counts for
8 papers · 1 filter
McKean-Vlasov processes of bridge type
Wolfgang Bock, Astrid Hilbert, Mohammed Louriki
In this paper, we introduce and study McKean-Vlasov processes of bridge type. Specifically, we examine a stochastic differential equation (SDE) of the form: $$\mathrm{d} ξ_t=-μ(t,\…
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…
Stochastic differential equations with respect to optional semimartingales and two reflecting regulated barriers
Astrid Hilbert, Imane Jarni, Youssef Ouknine
In this work, we introduce a new Skorokhod problem with two reflecting barriers when the trajectories of the driven process and the barriers are right and left limited. We show tha…
Bridge-Type Processes Associated with Lévy Processes and Their Decompositions
Mohamed Erraoui, Astrid Hilbert, Mohammed Louriki
We study a class of stochastic bridge-type processes whose terminal pinning value is random and is generated by an underlying stochastic process. In contrast with classical bridges…
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…
Lévy bridges with random length
Mohamed Erraoui, Astrid Hilbert, Mohammed Louriki
In this paper our first goal is to give precise definition of the Lévy bridges with random length. Our second task is to establish the Markov property of this process with respect…