Laboratoire de méthodes stochastiques appliquées à la finance et l'actuariat

Ouvrages scientifiques

  1. Eddahbi, M. Modèles aléatoires en finance Mathématiques Herman 2009 (éditeurs Eddahbi, Ouknine, Hamadène) auteurs : Bielecki Jeanblanc, Rutkowski, Talay
  2. Eddahbi, M. Introduction aux équations différentielles stochastiques et applications » EDGD07, Saida Algérie 2007, Tome 1, (95 pages)

Publications

  1. Akdim, K. Backward Stochastic Differential Equation with Jumps and Oblique Reflection. Accepted in African Diaspora Journal of Mathematics
  2. Akdim, K. Infinite horizon reflected backward SDEs with jumps and RCLL obstacle. Stoch. Anal. Appl. 24 (2006), no. 6, 1239 - 1261. (with Y. Ouknine)
  3. Akdim, K. Studying anticipation on financial markets by BSDE. Random Oper. Stochastic Equations 14 (2006), no. 2, 127 - 142. (with A Diakhaby and Y. Ouknine)
  4. Akdim, K. Studying anticipation on financial markets via BSDEs with random terminal time. Random Oper. Stoch. Equ. 16 (2008), no. 1, 11 - 26 (with El Otmani, M.)
  5. Akdim, K. Variational inequalities for combined control and stopping game. Stoch. Anal. Appl. 24 (2006), no. 6, 1263 - 1284. (with Y. Ouknine I. Turpin)
  6. Berrahou, N. Asymptotic normality of two symmetry test statistics based on the L_1 error. J. Statist. Plann. Inference 140 (2010), no. 7, 1788 - 1804. (with D. Louani)
  7. Berrahou, N. Efficiency of some tests when testing symmetry hypothesis. J. Nonparametr. Stat. 18 (2006), no. 7 - 8, 465 - 482.
  8. Berrahou, N. Large deviations probabilities for a symmetry test statistic based on delta - sequence density estimation. Statist. Probab. Lett. 78 (2008), no. 3, 238 - 248.
  9. Berrahou, N. Principe de grandes déviations uniforme pour l'estimateur de la densité par la méthode des delta - suites. C. R. Math. Acad. Sci. Paris 343 (2006), no. 9, 595 - 600.
  10. Berrahou, N. Uniform L_1 - large deviations for the delta - sequence method density estimator. Ann. I.S.U.P. 50 (2006), no. 3, 9 - 25. (with D. Louani)
  11. Boulanba, L. Fractional SPDEs with non - Lipschitz coefficients. Random operators and Stochastic Equations, volume 17, no 4, pages 389 - 397, 2009
  12. Douge, L. Théorèmes limites pour des variables quasi - associées hilbertiennes. Ann. I.S.U.P. 54 (2010), no. 1 - 2, 51 - 60.
  13. Douge, L. Vitesses de convergence dans la loi forte des grands nombres et dans l'estimation de la densité pour des variables aléatoires associées. C. R. Math. Acad. Sci. Paris 344 (2007), no. 8, 515 - 518
  14. Eddahbi, M. Fractional SPDEs driven by spatially correlated noise: existence of the solution and smoothness of its density. Osaka Jour. Math. 47 (2010), 41 - 65 (With Boulanba and Mellouk).
  15. Eddahbi, M. Real world pricing and affine representation for forward contracts. Wilmott Journal Volume 2 Issue 1, (2010) 35 - 59. (with El Qalli).
  16. Eddahbi, M. Real world pricing for forward contracts. International Journal of Mathematics and Statistics, vol. 7 (2010), 73 - 80. (with El Qalli).
  17. Eddahbi, M. Renormalization of the local time for the d - dimensional fractional Brownian motion with N - parameters. Nagoya Math. Jour. 186 (2007), 173 - 191. (with R. Lacayo, J.L. Solé, C.A. Tudor and J. Vives).
  18. Eddahbi, M. Stability and genericity for s.p.d.e. driven by spatially correlated noise. J. Math. Kyoto Univ. 48 (2008), no. 4, 699 - 724. (With K. Bahlali and M. Mellouk).
  19. El Asri, B. Deterministic Minimax Impulse Control in Finite Horizon: the Viscosity Solution Approach. (2011) en révision.
  20. El Asri, B. Lp - Solutions for Doubly Reflected Backward Stochastic Differential Equations. accepté. (2011) (with S. Hamadene et H. Wang)
  21. El Asri, B. Optimal Multi - Modes Switching Problem in Infinite Horizon. Stochastics and Dynamics. 10 (2009), 231 - 261
  22. El Asri, B. The Finite Horizon Optimal Multi - Modes Switching Problem: the Viscosity Solution Approach. Applied Mathematics and Optimization 60 (2009), 213 - 235 (with S. Hamadene.)
  23. El Otmani, M. Approximation scheme for solutions of backward stochastic differential equations via the representation theorem. Annales Mathématiques Blaise Pascal (2006). (13)1, 17 - 29.
  24. El Otmani, M. Approximation Scheme for Solutions of BSDEs with Two Reflecting Barriers. Stochastic Analysis and Applications (2008). (26) 60 - 83.
  25. El Otmani, M. Backward Stochastic Differential Equations associated with Levy process and Partial Integro - Differential Equations. Communications on Stochastic Analysis (2008). vol. 2, no. 2, 277 - 288.
  26. El Otmani, M. BSDE driven by a simple Levy process with continuous coefficient. Statistics and Probability Letters (2008). 78, 1259 - 1265.
  27. El Otmani, M. BSDEs driven by Levy process with enlarged filtration and Applications, Statistics and Probability Letters. 79 (2009), 44 - 49.
  28. El Otmani, M. Discrete time approximation of BSDEs driven by a Lévy process, Random Operators and Stochastic Eqs (2008). 16, 265 - 290.
  29. El Otmani, M. Generalized BSDE driven by a Lévy process. Journal of Applied Mathematics and Stochastic Analysis. (2006), Article ID 85407.
  30. El Otmani, M. Generalized Reflected BSDEs driven by a Levy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition. Journal of Computational and Applied Mathematics. 233 (2010) 2027 - 2043. (with Yong Ren)
  31. El Otmani, M. Reflected BSDE Driven by a Lévy Process, Journal of Theoretical Probability: Volume 22, Issue 3 (2009), 601 - 619.
  32. El Qalli, Y. Interpolation of forward price from liquidly traded forwards - Application to Energy Models . Journal of Derivatives and Hedge Funds. Vol 15, (2010) 288 - 303.
  33. El Qalli, Y. Recursive Bayesian Estimation in Forward Price Models Implied by Fair Pricing. International Journal of Theoretical and Applied Finance. 13 (02), (2010), 301 - 333.
  34. El Qalli, Y. Term Structure Equations Under Benchmark Framework. Economics and Econometrics Research Institute RP No 13/2009.
  35. Guerbaz, R. Convergence faible vers une classe de processus Gaussiens en norme de Besov anisotropique, Bull. des Sciences Mathématiques, vol. 130, Issue 7, 2006, pages 612 - 623. (with B. Boufoussi)
  36. Guerbaz, R. Hölder conditions for the local time of multiscale fractional Brownian motion, C. R. Acad. Sci., Ser. I 343, (2006) pages 515 - 518.
  37. Guerbaz, R. Local time and related sample paths of ?ltered white noises, Ann. Math. Blaise Pascal, 14, no 1, (2007) 91 - 105.
  38. Guerbaz, R. On moduli of continuity for local times of fractional stable processes, Journal of Theoretical Probability. Vol. 22, Numero 4 / 2009, pages 934 - 954
  39. Guerbaz, R. On the local time of multifractional Brownian motion", Stochastics, vol. 78 (2006), pages 33 - 49. (with B. Boufoussi, M. Dozzi)
  40. Guerbaz, R. Path properties of a class of locally asymptotically self similar Processes, Electronic Journal of Probability Vol. 13 (2008), Paper no. 29, pages 898 - 000. (with B. Boufoussi, M. Dozzi)
  41. Guerbaz, R. Sample path properties of the local time of multifractional Brownian motion. Bernoulli, 13 (3), (2007) 849 - 867. (with B. Boufoussi, M. Dozzi)
  42. Guerbaz, R. Smoothness of Gaussian local times beyond the local nondeterminism, Stochastic Processes and their Applications. Volume 119, Issue 3, March 2009, Pages 1001 - 1014 (with B. Boufoussi)
  43. Guerbaz, R. Weak approximation in Besov spaces of Gaussian sheets from Poisson processes, African Diaspora Journal of Mathematics, Volume 6, Number 2, pp. 15 - 26, 2008.
  44. Mrhardy, N. , Converse comparison theorems for backward doubly stochastic differential equations. "Communication on Stochastic Analysis". Vol 3, No 3(2009) 433 - 441. (with El Otmani, M.)
  45. Mrhardy, N. , Generalized BSDE with two reflecting barriers. "Random Operator and Stochastic Equations" Vol. 16, (2008), pp 357 - 382 (El Otmani, M.)
  46. Mrhardy, N. , Reflected Backward Doubly Stochastic Differential Equation with continuous coefficient. C. R. Math. Acad. Sci. Paris 347 (2009), no. 19 - 20, 1201 - 1206. (with K. Bahlali, M. Hassani, B. Mansouri)
  47. Mrhardy, N. , Reflected Backward Doubly Stochastic Differential Equation with continuous coefficient. "The Australian Journal of Mathematical Analysis and Applications."(2008). (with K. Bahlali, M. Hassani, B. Mansouri)
  48. Mrhardy, N. . An approximation result for nonlinear SPDEs with, Neumann boundary condition. C. R. Acad. Sci. Paris Ser. I 346 (2008) 79 - 82.
  49. Mrhardy, N. . Generalized Backward doubly stochastic differential equations and SPDEs with nonlinear Neumann boundaryconditions, Bernoulli, Vol. 13, No. 2 (2007), pp 423 - 446. (with B. Boufoussi et J. Van Casteren)
  50. Mrhardy, N. . Multivalued stochastic partial differential equations via backward doubly stochastic differential equations. Stochastics and Dynamics, Vol. 8, No. 2 (2008) 1 - 24. (B. Boufoussi)
  51. Mrhardy, N. . On a general BSDE involving local time and applications to PDE with nonlinear boundary condition, Random Operator and Stochastic Equations, Vol. 14, No. 4. (2006), pp 367 - 384. (with B. Boufoussi)
  52. Zari, T. A Strong Invariance Theorem of the Tail Empirical Copula Processes, est accepté à Communications in Statistics - Theory and Methods, 2011.