57 citations · 135 across the 37 of their papers we have counts for
4 papers · 1 filter
Generalized Snell Envelope as a Minimal Solution of BSDE With Lower Barriers
E. H. Essaky, M. Hassani, Y. Ouknine
The aim of this paper is to characterize the Snell envelope of a given P-measurable process l as the minimal solution of some backward stochastic differential equation with lower g…
New classes of processes in stochastic calculus for signed measures
Fulgence Eyi Obiang, Youssef Ouknine, Octave Moutsinga
Let us consider a signed measure $\Qv$ and a probability measure $\Pv$ such that $\Qv<<\Pv$. Let be the density of $\Qv$ with respect to $\Pv$. represents the set of zeros…
IDT processes and associated Lévy processes
Antoine Hakassou, Youssef Ouknine
This article deals with IDT processes, i.e. processes which are infinitely divisible with respect to time. Given an IDT process , there exists a unique (in law) L…
A note on -IDT processes
Antoine Hakassou, Youssef Ouknine
In this note, we introduce the notion of -IDT processes which is obtained from a slight and fundamental modification of the IDT property. Several examples of -IDT processes a…