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of 277
pro vyhledávání: '"Ouknine, Youssef"'
In this paper, we investigate the deterministic multidimensional Skorokhod problem with normal reflection in a family of time-dependent convex domains that are c\`adl\`ag with respect to the Hausdorff metric. We then show the existence and uniqueness
Externí odkaz:
http://arxiv.org/abs/2406.05807
Autor:
Delarue, François, Ouknine, Youssef
The purpose of this article is to show that an intrinsic noise with values in the space ${\mathcal P}({\mathbb R})$ of $1d$ probability measures may force uniqueness to first order mean field games. The structure of the noise is inspired from an earl
Externí odkaz:
http://arxiv.org/abs/2401.13844
We consider the optimal stopping time problem under model uncertainty $R(v)= {\text{ess}\sup\limits}_{ \mathbb{P} \in \mathcal{P}} {\text{ess}\sup\limits}_{\tau \in \mathcal{S}_v} E^\mathbb{P}[Y(\tau) \vert \mathcal{F}_v]$, for every stopping time $v
Externí odkaz:
http://arxiv.org/abs/2303.16847
In this work, we introduce a new Skorokhod problem with two reflecting barriers when the trajectories of the driven process and the barriers are right and left limited. We show that this problem has an explicit unique solution in a deterministic case
Externí odkaz:
http://arxiv.org/abs/2202.12862
Autor:
Arharas, Ihsan, Ouknine, Youssef
We introduce a new formulation of reflected BSDEs and doubly reflected BSDEs associated with irregular obstacles. In the first part of the paper, we consider an extension of the classical optimal stopping problem over a larger set of stopping systems
Externí odkaz:
http://arxiv.org/abs/2107.08136
In this short note we consider RBSDE with Lipschitz drivers and barrier processes that are optional and right upper semicontinuous. We treat the case when the barrier can be represented as a decreasing limit of cadlag barriers. We combine well known
Externí odkaz:
http://arxiv.org/abs/2107.00707
This paper contributes to the study of stochastic processes of the class $(\Sigma)$. First, we extend the notion of the above-mentioned class to c\`adl\`ag semi-martingales, whose finite variational part is considered c\`adl\`ag instead of continuous
Externí odkaz:
http://arxiv.org/abs/2005.04030
In this paper, we introduce a specific kind of doubly reflected Backward Stochastic Differential Equations (in short DRBSDEs), defined on probability spaces equipped with general filtration that is essentially non quasi-left continuous, where the bar
Externí odkaz:
http://arxiv.org/abs/1908.08076
In this paper we deal with Skorokhod problem for right continuous left limited (rcll) barriers. We prove existence and uniqueness of the solution when the barriers are only supposed to be rcll and completely separated. Then, we apply our results to p
Externí odkaz:
http://arxiv.org/abs/1902.05838
Autor:
Baadi, Brahim, Ouknine, Youssef
Publikováno v:
ALEA, Lat. Am. J. Probab. Math. Stat. 14, 201-218 (2017)
We prove existence and uniqueness of the reflected backward stochastic differential equation's (RBSDE) solution with a lower obstacle which is assumed to be right upper-semicontinuous but not necessarily right-continuous in a filtration that supports
Externí odkaz:
http://arxiv.org/abs/1812.07990