4 citations · 8 across the 6 of their papers we have counts for
3 papers · 1 filter
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…
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…
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…