4 citations · 8 across the 6 of their papers we have counts for
8 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…
On the Analysis of a Singular Stochastic Volterra Differential Equation driven by a Wiener Noise
Emmanuel Coffie, Olivier Menoukeu-Pamen, Frank Proske
In this article, we construct unique strong solutions to a class of stochastic Volterra differential equations driven by a singular drift vector field and a Wiener noise. Further,…
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…
Maximum principle for stochastic control of SDEs with measurable drifts
Olivier Menoukeu-Pamen, Ludovic Tangpi
In this paper, we consider stochastic optimal control of systems driven by stochastic differential equations with irregular drift coefficient. We establish a necessary and sufficie…
Strong solutions of forward-backward stochastic differential equations with measurable coefficients
Peng Luo, Olivier Menoukeu-Pamen, Ludovic Tangpi
This paper investigates solvability of fully coupled systems of forward-backward stochastic differential equations (FBSDEs) with irregular coefficients. In particular, we assume th…
Strong solutions of some one-dimensional SDEs with random and unbounded drifts
Olivier Menoukeu-Pamen, Ludovic Tangpi
In this paper, we are interested in the following one dimensional forward stochastic differential equation (SDE) \[ d X_{t}=b(t,X_{t},ω)d t +σd B_{t},\quad 0\leq t\leq T,\quad X_{0…
Viscosity Solution for Optimal Stopping Problems of Feller Processes
Suhang Dai, Olivier Menoukeu-Pamen
We study an optimal stopping problem when the state process is governed by a general Feller process. In particular, we examine viscosity properties of the associated value function…
Pathwise uniqueness of non-uniformly elliptic SDEs with rough coefficients
Olivier Menoukeu-Pamen, Youssef Ouknine, Ludovic Tangpi
In this paper we review and improve pathwise uniqueness results for some types of one-dimensional stochastic differential equations (SDE) involving the local time of the unknown pr…