13 papers
Reflected BSDEs under random horizons: Sharp support criteria, irregular reflection, and Cox reconstruction
Youssef Ouknine, Badr Elmansouri
We study reduction and reconstruction of reflected backward stochastic differential equations (RBSDEs) across random horizons. We establish optional and predictable contact-measure…
Backward and reflected backward stochastic differential equations under initial enlargement of Brownian filtrations
Youssef Ouknine, Badr Elmansouri
We investigate the effect of initially enlarging a Brownian filtration by its terminal value on backward stochastic differential equations (BSDEs) and reflected BSDEs (RBSDEs). We…
Generalized reflected BSDEs with irregular obstacles driven by RCLL increasing processes on general filtered space
Badr Elmansouri, Youssef Ouknine
We study generalized backward stochastic differential equations (GBSDEs) and generalized reflected backward stochastic differential equations (GRBSDEs) on a general filtered probab…
Doubly reflected BSDEs driven by Inhomogeneous simple Levy processes: Applications to generalized Dynkin games
Badr Elmansouri, Ibtissam Hdhiri
We study doubly reflected backward stochastic differential equations with jumps and two completely separated right-continuous with left limits barriers in a filtration generated by…
Well-posedness of reflected BSDEs with default time and irregular barrier: An application to optimal control
Badr Elmansouri, Mohamed El Otmani
We consider a reflected backward stochastic differential equations with default time and an optional barrier in a filtration generated by a one-dimensional Brownian motion and a de…
Multivalued backward stochastic differential equations with jumps and moving boundary
Badr Elmansouri, Anas Ouknine, Youssef Ouknine
We prove existence and uniqueness for a one-dimensional multivalued backward stochastic differential equation with jumps. The equation involves a time-indexed family of maximal mon…
Reflected generalized BDSDEs driven by non-homogeneous Lévy processes and obstacle problems for stochastic integro-PDEs with nonlinear Neumann boundary conditions
Badr Elmansouri, Mohammed Elhachemy, Mohamed Marzougue +1
We consider reflected generalized backward doubly stochastic differential equations driven by a non-homogeneous Lévy process. Under stochastic conditions on the coefficients, we pr…
-solutions for Reflected BSDEs with jumps in a general filtration under stochastic Lipschitz coefficients
Yassine El Qalli, Badr Elmansouri
In this paper, we establish existence and uniqueness of -solutions, for , to reflected backward stochastic differential equations (RBSDEs) in a general f…
Doubly reflected BSDEs with default time under stochastic Lipschitz coefficients: Filtration links and generalized Dynkin games
Badr Elmansouri, Mohamed El Otmani
We study doubly reflected backward stochastic differential equations (DRBSDEs) on a random horizon generated by a default time in a progressively enlarged filtrati…
-solutions for reflected BSDEs with general jumps and stochastic monotone generators
Badr Elmansouri, Mohamed El Otmani, Mohamed Marzougue
We consider a one-reflected backward stochastic differential equation with a general RCLL barrier in a filtration that supports a Brownian motion and an independent Poisson random…
Generalized Reflected BSDEs with RCLL Random Obstacles in a General Filtration
Badr Elmansouri, Mohamed El Otmani
This paper addresses the existence and uniqueness of solutions to Reflected Generalized Backward Stochastic Differential Equations (GRBSDEs) within a general filtration that suppor…
-solutions for BSDEs with jumps and stochastic monotone generator
Badr Elmansouri, Mohamed El Otmani
We study multidimensional discontinuous backward stochastic differential equations in a filtration that supports both a Brownian motion and an independent integer-valued random mea…
-solution of generalized BSDEs in a general filtration with stochastic monotone coefficients
Badr Elmansouri, Mohamed El Otmani
We study multidimensional generalized backward stochastic differential equations (GBSDEs) within a general filtration that supports a Brownian motion under weak assumptions on the…