From the 1 of 3 linked papers with an AI index.
3 papers
Rearranged Stochastic Heat Equations with an Entropy Gradient Structure
Francois Delarue, Rhoss Likibi Pellat
The paper extends a one-dimensional diffusion model on probability measures by adding an entropy-driven gradient descent term to the rearranged stochastic heat equation, proving th…
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(…
Time discretization of Quadratic Forward-Backward SDEs with singular drifts
Rhoss Likibi Pellat, Emmanuel Che Fonka, Olivier Menoukeu Pamen
We investigate the convergence rate for the time discretization of a class of quadratic backward SDEs -- potentially involving path-dependent terminal values -- when coupled with n…