arXiv subjects

Rym Salhi

Publications and source records attributed to Rym Salhi.

2 recordsLinked to original sources

arXiv2019

Exponential Quadratic BSDEs with infinite activity Jumps

In this paper, we study a Backward Stochastic Differential Equation with Jumps (BSDEJs in short) where the jumps have infinite activity. Following a forward approach based on Exponential Quadratic semimartingale, we prove the existence of solution of Quadratic BSDEJs with unbounded terminal condition and quadratic growth in z.

math.PR↗

arXiv2019

Mean-Field Backward-Forward SDE with Jumps and Storage problem in Smart Grids

In this paper, we prove the existence and uniqueness of the solution of a coupled Mean-Field Forward-Backward SDE system with Jumps. Then, we give an application in the field of storage problem in smart grids, studied in [4] in the case where the production of electricity is not predictable due, for example, to the changes in meteorological forecasts.

math.PR↗