4 papers
Asymptotic properties for fully coupled delayed forward-backward stochastic differential equations
Auguste Aman, Clément Manga
We investigate the asymptotic behavior of solutions to a class of fully coupled forward-backward stochastic differential equations with time-delayed generators. Such systems arise…
New approach to optimal control of delayed stochastic Volterra integral equations
Roméo Kouassi Konan, Auguste Aman
We address the optimal control of stochastic Volterra integral equations with delay through the lens of Hida-Malliavin calculus. We show that the corresponding adjoint processes sa…
Generalized delayed Black and Scholes Formula
Hubert Le Bi Golé, Auguste Aman
The mean objective of this paper is to derive an explicit formula for a price of an European option associated to the underlying delayed stock price which follows a linear differen…
Probabilistic representation of parabolic stochastic variational inequality with Dirichlet-Neumann boundary and variational generalized backward doubly stochastic differential equations
Yong Ren, Auguste Aman, Qing Zhou
We derive the existence and uniqueness of the generalized backward doubly stochastic differential equation with sub-differential of a lower semi-continuous convex function under a…