4 papers
Rearranged Stochastic Heat Equations with an Entropy Gradient Structure
Francois Delarue, Rhoss Likibi Pellat
We extend a previously introduced one-dimensional diffusion model on the space of probability measures, defined via the rearranged stochastic heat equation by, penalizing the dynam…
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…
Differentiability of quadratic forward-backward SDEs with rough drift
Peter Imkeller, Rhoss Likibi Pellat, Olivier Menoukeu Pamen
In this paper, we consider quadratic forward-backward SDEs (QFBSDEs), for {which} the drift in the forward equation does not satisfy the standard globally Lipschitz condition and t…