Zobrazeno 1 - 10
of 14
pro vyhledávání: '"Mhamed Eddahbi"'
Publikováno v:
AIMS Mathematics, Vol 9, Iss 9, Pp 24860-24886 (2024)
In this paper, we considered a stochastic model of chemical reactive flows acting through porous media under the influence of nonlinear external random fluctuations, where the interchanges of chemical flow across the skeleton's surface are represente
Externí odkaz:
https://doaj.org/article/eaed6dfa33f34a4e806259455666da2c
Publikováno v:
Axioms, Vol 13, Iss 6, p 354 (2024)
In this study, we explore backward stochastic differential equations driven by a Poisson process and an independent Brownian motion, denoted for short as BSDEJs. The generator exhibits logarithmic growth in both the state variable and the Brownian co
Externí odkaz:
https://doaj.org/article/4277700981c0426daf6e1cf058a943ac
Publikováno v:
Symmetry, Vol 16, Iss 5, p 569 (2024)
The predominant approach for studying volatility is through various GARCH specifications, which are widely utilized in model-based analyses. This study focuses on assessing the predictive performance of specific GARCH models, particularly the Markov-
Externí odkaz:
https://doaj.org/article/57836555654743798330e4bed2d59680
Publikováno v:
Symmetry, Vol 16, Iss 2, p 165 (2024)
The paper examines the valuation and hedging of life insurance obligations in the presence of mortality risk using the local risk-minimizing hedging approach. Roughly speaking, it is assumed that the lifetime of policyholders in an insurance portfoli
Externí odkaz:
https://doaj.org/article/ac5644f2438844e9ba9858d3df0d1638
Autor:
Mhamed Eddahbi
Publikováno v:
Fractal and Fractional, Vol 8, Iss 1, p 26 (2023)
In this paper, we focus on investigating the well-posedness of backward stochastic differential equations with jumps (BSDEJs) driven by irregular coefficients. We establish new results regarding the existence and uniqueness of solutions for a specifi
Externí odkaz:
https://doaj.org/article/f581f0dc2c2644a09966b9d954a82c8c
Publikováno v:
Axioms, Vol 12, Iss 12, p 1068 (2023)
In an infinite time horizon, we focused on examining the well-posedness of problems for a particular category of Backward Stochastic Differential Equations having quadratic growth (QBSDEs) with terminal conditions that are merely square integrable an
Externí odkaz:
https://doaj.org/article/1074ab2797bc42db87fde900386dd9e4
Publikováno v:
Mathematics, Vol 11, Iss 17, p 3755 (2023)
This paper deals with numerical analysis of solutions to stochastic differential equations with jumps (SDEJs) with measurable drifts that may have quadratic growth. The main tool used is the Zvonkin space transformation to eliminate the singular part
Externí odkaz:
https://doaj.org/article/42478496f550413c9cec1c5235039b09
Publikováno v:
Axioms, Vol 12, Iss 4, p 366 (2023)
We study both Malliavin regularity and numerical approximation schemes for a class of quadratic backward stochastic differential equations (QBSDEs for short) in cases where the terminal data need not be a function of a forward diffusion. By using the
Externí odkaz:
https://doaj.org/article/9a70541d0e2b4cec8ecec0495b1f3650
Publikováno v:
Axioms, Vol 12, Iss 1, p 26 (2022)
We deal with a multidimensional Markovian backward stochastic differential equation driven by a Poisson random measure and independent Brownian motion (BSDEJ for short). As a first result, we prove, under the Lipschitz condition, that the BSDEJ’s a
Externí odkaz:
https://doaj.org/article/05e7612aa0e24c31b35df4a57e69a1b3
Publikováno v:
Fractal and Fractional, Vol 6, Iss 6, p 331 (2022)
We deal with backward stochastic differential equations driven by a pure jump Markov process and an independent Brownian motion (BSDEJs for short). We start by proving the existence and uniqueness of the solutions for this type of equation and presen
Externí odkaz:
https://doaj.org/article/23f6c5b969f64e99be3be9a3d612ff2f