2 citations · 3 across the 9 of their papers we have counts for
10 papers
Diffusion bridge with randomized initial and terminal times and its application to fish migration
Hidekazu Yoshioka, Mohammed Louriki
We mathematically model the dynamics of the number of migratory fish observed at a fixed location along a river in a random environment. Particularly, as a new approach, we constru…
Stopping Times in the Filtration of a Brownian Motion Stopped at its Last Passage Time
Mohammed Louriki
We investigate the structural properties of the last passage time at level of a Brownian motion with positive drift , denoted , i…
McKean-Vlasov processes of bridge type
Wolfgang Bock, Astrid Hilbert, Mohammed Louriki
In this paper, we introduce and study McKean-Vlasov processes of bridge type. Specifically, we examine a stochastic differential equation (SDE) of the form: $$\mathrm{d} ξ_t=-μ(t,\…
The Impact of Pinning Points on Memorylessness in Lévy Random Bridges
Mohammed Louriki
Random Bridges have gained significant attention in recent years due to their potential applications in various areas, particularly in information-based asset pricing models. This…
Information-Based Approach: Pricing of a Credit Risky Asset in the Presence of Default Time
Mohammed Louriki
We extend the information-based asset-pricing framework by Brody, Hughston \& Macrina to incorporate a stochastic bankruptcy time for the writer of the asset. Our model introduces…
Bridge-Type Processes Associated with Lévy Processes and Their Decompositions
Mohamed Erraoui, Astrid Hilbert, Mohammed Louriki
We study a class of stochastic bridge-type processes whose terminal pinning value is random and is generated by an underlying stochastic process. In contrast with classical bridges…