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math.PR2019
Approximation and generic properties of McKean-Vlasov stochastic equations with continuous coefficients
Mohamed Amine Mezerdi, Khaled Bahlali, Nabil Khelfallah +1
We consider various approximation properties for systems driven by a Mc Kean-Vlasov stochastic differential equations (MVSDEs) with continuous coefficients, for which pathwise uniq…
math.PR2018
On the Solution of Locally Lipschitz BSDE Associated to Jump Markov Process
K. Abdelhadi, N. Khelfallah
In this study, we consider a class of backward SDE driven by jump Markov process. An existence and uniqueness result to this kind of equations is obtained in a locally Lipschitz ca…
math.PR2017
On the solvability of forward-backward stochastic differential equations driven by Teugels Martingales
Dalila Guerdouh, Nabil Khelfallah, Brahim Mezerdi
We deal with a class of fully coupled forward-backward stochastic differential equations (FBSDE for short), driven by Teugels martingales associated with some Lévy process. Under s…