6 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…
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…
On Malliavin differentiability and absolute continuity of one-dimensional doubly perturbed diffusion processes
Rachid Belfadli, Lahcen Boulanba, Youssef Ouknine
In this paper, we establish Malliavin differentiability and absolute continuity for -doubly perturbed diffusion process with parameters and such that , w…
On Carathéodory approximate scheme for a class of one-dimensional doubly perturbed diffusion processes
R. Belfadli, L. Boulanba, Y. Ouknine
In this paper, we introduce and study the convergence of new Carathéodory's approximate solution for one-dimensional -doubly perturbed stochastic differential equations (DPSD…