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7 papers
Conditional stochastic differential equations driven by fractional Brownian motion
Jasmina ÄorÄeviÄ, Bernt Ãksendal
The aim of this paper is to analyse a WIS-stochastic differential equation driven by fractional Brownian motion with . For this, we summarise the theory of fraction…
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/…
The stochastic heat inclusion with fractional time driven by time-space Brownian and Lévy white noise
Olfa Draouil, Rahma Yasmina Moulay Hachemi, Bernt Ãksendal
We study a time-fractional stochastic heat inclusion driven by additive time-space Brownian and Lévy white noise. The fractional time derivative is interpreted as the Caputo deriv…
Multiparameter Lévy white noise theory and applications
Olfa Draouil, Rahma Yasmina Moulay Hachemi, Bernt Ãksendal
We construct a white noise theory and white noise calculus for the (multi-parameter) L\' evy sheet and its compensated Poisson random measures. The theory applies to stochastic par…
SPDE Games Driven by a Brownian Sheet with Applications to Pollution Minimization
Nacira Agram, Bernt Ãksendal, Frank Proske +1
This paper studies a nonzero-sum stochastic differential game in the context of shared spatial-domain pollution control. The pollution dynamics are governed by a stochastic partial…