Occupation densities for certain processes related to fractional Brownian motion (2008)
Es-Sebaiy, Khalifa, Nualart, David, Ouknine, Youssef, Tudor, Ciprian
In this paper we establish the existence of a square integrable occupation density for two classes of stochastic processes. First we consider a Gaussian process with an absolutely continuous random...
Occupation densities for certain processes related to fractional Brownian motion (2008)
Es-Sebaiy, Khalifa, Nualart, David, Ouknine, Youssef, Tudor, Ciprian
In this paper we establish the existence of a square integrable occupation density for two classes of stochastic processes. First we consider a Gaussian process with an absolutely continuous random...
Occupation densities for certain processes related to fractional Brownian motion (2008)
Es-Sebaiy, Khalifa, Nualart, David, Ouknine, Youssef, Tudor, Ciprian
In this paper we establish the existence of a square integrable occupation density for two classes of stochastic processes. First we consider a Gaussian process with an absolutely continuous random...
Locally periodic homogenization of reflected diffusion (2006)
Aboubakary Diakhaby, Youssef Ouknine
We study the homogenization of reflected SDEs with locally periodic coefficients and highly oscillating drift. Our method is entirely probabilistic, and builds upon earlier works of Tanaka,...
On a SDE driven by a fractional Brownian motion and with monotone drift (2003)
Boufoussi, Brahim; Department Of Mathematics, Cadi Ayyad University FSSM; Boufoussi@ucam.ac.ma, Ouknine, Youssef; Universite Cadi Ayyad; Ouknine@ucam.uc.ma
Let ${B_{t}^{H},tin lbrack 0,T]}$ be a fractional Brownian motion with Hurst parameter $H>frac{1}{2}$. We prove the existence of a weak solution for a stochastic differential equation of the form...
Reflected Backward Stochastic Differential Equation with Jumps and Random Obstacle (2003)
Hamadène, Said; Universite Du Maine; Hamadene@univ-lemans.fr, Ouknine, Youssef; Universite Cadi Ayyad; Ouknine@ucam.uc.ma
In this paper we give a solution for the one-dimensional reflected backward stochastic differential equation when the noise is driven by a Brownian motion and an independent Poisson point process. We...
Prepublications du Departement de Mathematiques (2002)
Avenue Marillac, La Rochelle Cedex, Hassan Lakhel, Youssef Ouknine, ...
Using the techniques of the Malliavin calculus and the properties of Gaussian processes, we prove that the paths of the inde nite Skorohod integral with respect to the fractional Brownian motion with...