4 citations · 8 across the 6 of their papers we have counts for
6 papers · 1 filter
A Simple Proof of Berry-Esséen Bounds for the Quadratic Variation of the Subfractional Brownian Motion
Soufiane Aazizi
We give a simple technic to derive the Berry-Esséen bounds for the quadratic variation of the subfractional Brownian motion (subfBm). Our approach has two main ingredients: () b…
Optimal switching problem and system of reflected multi-dimensional FBSDEs with random terminal time
Soufiane Aazizi, Imade Fakhouri
In this paper, we study the solvability of a class of multi-dimensional forward backward stochastic differential equations (FBSDEs) with oblique reflection and unbounded stopping t…
Berry-Esséen bounds and almost sure CLT for the quadratic variation of the bifractional Brownian motion
Soufiane Aazizi, Khalifa Es-Sebaiy
Let be a bifractional Brownian motion with parameters and . For any , set $Z_n =\sum_{i=0}^{n-1}\big[n^{2HK}(B_{(i+1)/n}-B_{i/n})^2-\E((B_{i+1}…
Strong envelope and strong supermartingale: application to reflected bsdes
Soufiane Aazizi, Youssef Ouknine
We provide several characterizations to identify Strong envelop (for bounded measurable process) and Strong super-martingale (for non-negative right upper semi-continuous process o…
Discrete time approximation of decoupled Forward-Backward SDE driven by pure jump Lévy-processes
Soufiane Aazizi
We present a new algorithms to discretize a decoupled forward backward stochastic differential equations driven by pure jump Lévy process (FBSDEL in short). The method is built in…
Skorohod equation and BSDE's with two reflecting barriers
Soufiane Aazizi
We solve a class of doubly reflected backward stochastic differential equation whose generator depends on the resistance due to reflections, which extend the recent work of Qian an…