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3 papers
Well-posedness of the Deterministic Transport Equation with Singular Velocity Field Perturbed along Fractional Brownian Paths
Oussama Amine, Abdol-Reza Mansouri, Frank Proske
In this article we prove path-by-path uniqueness in the sense of Davie \cite{Davie07} and Shaposhnikov \cite{Shaposhnikov16} for SDE's driven by a fractional Brownian motion with a…
A Bismut-Elworthy-Li Formula for Singular SDE's Driven by a Fractional Brownian Motion and Applications to Rough Volatility Modeling
Oussama Amine, Emmanuel Coffie, Fabian Harang +1
In this paper we derive a Bismut-Elworthy-Li type formula with respect to strong solutions to singular stochastic differential equations (SDE's) with additive noise given by a mult…
Regularity Properties of the Stochastic Flow of a Skew Fractional Brownian Motion
Oussama Amine, David R. Baños, Frank Proske
In this paper we prove, for small Hurst parameters, the higher order differentiability of a stochastic flow associated with a stochastic differential equation driven by an additive…