8 citations · 20 across the 13 of their papers we have counts for
13 papers
Stochastic Optimal Control for Jump Diffusion Models with Singular Drifts
Antoine-Marie Bogso, Edward Fuituh Kameh, Olivier Menoukeu-Pamen +1
We study a stochastic optimal control problem for jump-diffusion systems whose drift coefficient is piecewise Lipschitz continuous and exhibits threshold-induced discontinuities. S…
Stochastic Optimal Control for Systems with Drifts of Bounded Variation: A Maximum Principle Approach
Antoine Marie Bogso, Rhoss Likibi Pellat, Wilfried Kuissi Kamdem +1
We study a stochastic control problem for nonlinear systems governed by stochastic differential equations with irregular drift. The drift coefficient is assumed to decompose as $b(…
Strong solutions of fractional Brownian sheet driven SDEs with integrable drift
Antoine-Marie Bogso, Olivier Menoukeu Pamen, Frank Proske
We prove the existence of a unique Malliavin differentiable strong solution to a stochastic differential equation on the plane with merely integrable coefficients driven by the fra…
Smoothness of solutions of hyperbolic stochastic partial differential equations with -vector fields
Antoine-Marie Bogso, Moustapha Dieye, Olivier Menoukeu Pamen +1
In this paper we are interested in a quasi-linear hyperbolic stochastic differential equation (HSPDE) when the vector field is merely bounded and measurable. Although the determini…
Malliavin differentiability of solutions of hyperbolic stochastic partial differential equations with irregular drifts
Antoine-Marie Bogso, Olivier Menoukeu Pamen
We prove path-by-path uniqueness of solution to hyperbolic stochastic partial differential equations when the drift coefficient is the difference of two componentwise monotone Bore…
Stochastic integration with respect to local time of the Brownian sheet and regularising properties of Brownian sheet paths
Antoine-Marie Bogso, Moustapha Dieye, Olivier Menoukeu Pamen
In this work, we generalise the stochastic local time space integration introduced in \cite{Ei00} to the case of Brownian sheet. %We develop a stochastic local time-space calculus…
Path-by-path uniqueness of multidimensional SDE's on the plane with nondecreasing coefficients
Antoine-Marie Bogso, Moustapha Dieye, Olivier Menoukeu-Pamen
In this paper we study path-by-path uniqueness for multidimensional stochastic differential equations driven by the Brownian sheet. We assume that the drift coefficient is unbounde…
European Option Pricing of electricity under exponential functional of Lévy processes with Price-Cap principle
Martin Kegnenlezom, Patrice Takam Soh, Antoine-Marie Bogso +1
We propose a new model for electricity pricing based on the price cap principle. The particularity of the model is that the asset price is an exponential functional of a jump Lévy…
Self-similar martingales derived from Root embedding
Antoine-Marie Bogso, Mbehou Mohamed
Given a family of integrable mean-zero probability measures such that, for every , is the image of under the homothety , we…
Mean residual life processes and associated submartingales
Antoine-Marie Bogso
We use Madan-Yor's argument to construct associated submartingales to a class of two-parameter processes that are ordered by the increasing convex dominance. This class includes pr…
Weak decreasing stochastic order
Antoine-Marie Bogso, Patrice Takam Soh
We introduce the notion of weak decreasing stochastic (WDS) ordering for real-valued processes with negative means, which, to our knowledge, has not been studied before. Thanks to…
An application of multivariate total positivity to peacocks
Antoine Marie Bogso
We use multivariate total positivity theory to exhibit new families of peacocks. As the authors of \cite{HPRY}, our guiding example is the result of Carr-Ewald-Xiao \cite{CEX}. We…
MRL order, log-concavity and an application to peacocks
Antoine Marie Bogso
We provide an equivalent log-concavity condition to the mean residual life (MRL) ordering for real-valued processes. This result, combined with classical properties of total positi…