Mhamed Eddahbi

I am currently Professor at King Saud University, Faculty of Science, Mathematics Department in Riyadh, Kingdom of Saudi Arabia. I got my PhD on April 27, 1998 at Cadi Ayyad University in stochastic analysis including large deviations principle for diffusion and for solutions to stochastic partial differential equations. My research activity started by studying large deviations for diffusions and for solutions of stochastic partial differential equations under different topologies (namely Hölder, Besov, Besov-Orlicz spaces) as applications we established the functional law of the iterated logarithm. Later my research interests shifted to fractional Brownian motion and related functionals as well as Lévy processes combined with Malliavin calculus and chaotic decomposition from which some results on Sobolev-Watanabe regularity property for some functionals of fBm and Lévy processes were established. Moreover some applications on hedging financial derivatives in the fBm setting and for a class of Lévy processes were also studied . Recently I studied existence and uniqueness of solutions of backward stochastic differential equations of quadratic type which are driven by Brownian motion and various rough paths processes. A more recent research interest was given for sensitivity analysis (the so-called Greeks) in the framework of Lévy driven models in finance. In this promising and interesting area I used, as the main tool, the stochastic calculus of variation or the so-called Malliavin calculus. A significant number of my papers appeared in journals with a high international level such as Stochastic Analysis and Applications, Stochastics and Stochastic Reports, Stochastic Processes and Their Applications, Osaka Journal of Mathematics, Nagoya Mathematical Journal, International Journal of Theoretical and Applied Finance, Annals of probability and Applied Mathematical Finance to mention the most important ones. I visited many universities in Europe, Asia and Africa and have participated as a speaker at international meetings on Probability, Stochastic Analysis and Theirs applications.