4 citations · 10 across the 9 of their papers we have counts for
11 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…