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math.PR2026
Markov property for systems driven by the Brownian sheet
Nacira Agram, Bernt Øksendal, Frank Proske +1
We study stochastic systems driven by a Brownian sheet and formulate a Markov property adapted to their two-parameter structure. For time-space homogeneous Itô sheets, the future e…
math.PR2026
Optimal Stopping for Systems Driven by the Brownian Sheet
Nacira Agram, Bernt Oksendal, Frank Proske +1
We investigate optimal stopping problems for systems driven by the Brownian sheet. Our analysis is divided into two parts. In the first part we derive explicit solutions to two opt…