10 papers
A cylindrical neural approximation theorem for conditional laws of McKean-Vlasov equations with common noise
Nacira Agram, Reda Hmioui, Jan Rems
We introduce conditional cylindrical neural networks for approximating functionals of conditional laws in McKean-Vlasov equations with common noise. Fourier moments of the initial…
Nonzero-Sum Stochastic Differential Games for Controlled Convection-Diffusion SPDEs
Nacira Agram, Eya Zougar
This paper studies a two-player nonzero-sum stochastic differential game governed by a controlled convection-diffusion stochastic partial differential equation (SPDE) with spatiall…
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…
Fokker-Planck equations for McKean-Vlasov SDEs driven by fractional Brownian motion
Saloua Labed, Nacira Agram, Bernt Oksendal
This paper investigates the probability distribution of solutions to McKean--Vlasov stochastic differential equations driven by fractional Brownian motion with Hurst parameter H>1/…
Deep Learning for Energy Market Contracts: Dynkin Game with Doubly RBSDEs
Nacira Agram, Ihsan Arharas, Giulia Pucci +1
We formulate a Contract for Difference (CfD) with early exit options as a two-player zero-sum Dynkin game, reflecting the strategic interaction between an electricity producer and…
Deep BSVIEs Parametrization and Learning-Based Applications
Nacira Agram, Giulia Pucci
We study the numerical approximation of backward stochastic Volterra integral equations (BSVIEs) and their reflected extensions, which naturally arise in problems with time inconsi…