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math.PR2010
On one-dimensional stochastic differential equations involving the maximum process
Rachid Belfadli, Said Hamadéne, Youssef Ouknine
We prove existence and pathwise uniqueness results for four different types of stochastic differential equations (SDEs) perturbed by the past maximum process and/or the local time…
math.PR2010
Unicité trajectorielle des équations différentielles stochastiques avec temps local et temps de séjour au bord
Rachid Belfadli, Youssef Ouknine
English version of the abstract. We study path-wise uniqueness property of a class of stochastic differential equations with local time and sojourn time in the boundary. ----- Fren…
math.PR2010
On Itô's formula for symmetric -stable Lévy process of index
Rachid Belfadli, Youssef Ouknine
We use Young integration (resp, bounded -variation theory introduced in \cite{Feng-Zhao}) to establish integration of determinate functions with respect to local time of symme…