82 citations · 116 across the 13 of their papers we have counts for
14 papers
On the Solution of Stochastic Functional Differential Equations via Memory Gap
Flavia Sancier, Salah Mohammed
We present an alternative proof for the existence of solutions of stochastic functional differential equations satisfying a global Lipschitz condition. The proof is based on an app…
An Option Pricing Model with Memory
Flavia Sancier, Salah Mohammed
We obtain option pricing formulas for stock price models in which the drift and volatility terms are functionals of a continuous history of the stock prices. That is, the stock dyn…
Flows for Singular Stochastic Differential Equations with Unbounded Drifts
Olivier Menoukeu Pamen, Salah E. A. Mohammed
In this paper, we are interested in the following singular stochastic differential equation (SDE) $${\rm d} X_t = b(t,X_t) {\rm d} t + {\rm d} B_{t},\ 0\leq t\leq T,\ X_0 = x \in \…
Optimal control of systems with noisy memory and BSDEs with Malliavin derivatives
Kristina R. Dahl, Salah-Eldin A. Mohammed, Bernt Øksendal +1
In this article we consider a stochastic optimal control problem where the dynamics of the state process, , is a controlled stochastic differential equation with jumps, delay…
A Stochastic Delay Model for Pricing Debt and Equity: Numerical Techniques and Applications
Elisabeth Kemajou, Antoine Tambue, Salah Mohammed
In the accompanied paper [14], a delayed nonlinear model for pricing corporate liabilities was developed. Using self-financed strategy and duplication we were able to derive two Ra…
A Stochastic Delay Model For Pricing Debt And Loan Guarantees: Theoretical Results
Elisabeth Kemajou, Salah-Eldin Mohammed, Antoine Tambue
We consider that the price of a firm follows a non linear stochastic delay differential equation. We also assume that any claim value whose value depends on firm value and time fol…