9 papers · 1 filter
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 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…
Fokker-Planck equations for conditional McKean-Vlasov systems driven by Brownian sheets
Nacira Agram, Bernt Ãksendal, Frank Proske +1
We investigate conditional McKean-Vlasov equations driven by time-space white noise, motivated by the propagation of chaos in an N-particle system with space-time Ornstein-Uhlenbec…