4 papers · 1 filter
A time-fractional Kalman filter
Olfa Draouil, Rahma Yasmina Moulay Hachemi, Bernt Øksendal +1
We study a linear filtering problem in which the signal process is described by a time-fractional linear stochastic differential equation driven by Brownian motion. We derive a sto…
Efficient Computation Of Sensitivities For Derivatives In Energy Markets
Fred Espen Benth, Olfa Draouil, Farouk Hammami
In this study, we develop a stochastic framework for computing Delta sensitivities in energy markets, where both prices and traded volumes are modeled as correlated stochastic proc…
Multiparameter Lévy white noise theory and applications
Olfa Draouil, Rahma Yasmina Moulay Hachemi, Bernt Øksendal
We construct a white noise theory and white noise calculus for the (multi-parameter) L\' evy sheet and its compensated Poisson random measures. The theory applies to stochastic par…
The stochastic heat inclusion with fractional time driven by time-space Brownian and Lévy white noise
Olfa Draouil, Rahma Yasmina Moulay Hachemi, Bernt Øksendal
We study a time-fractional stochastic heat inclusion driven by additive time-space Brownian and Lévy white noise. The fractional time derivative is interpreted as the Caputo deriva…