4 citations · 17 across the 15 of their papers we have counts for
16 papers
Stochastic Optimal Control for Systems with Drifts of Bounded Variation: A Maximum Principle Approach
Antoine Marie Bogso, Rhoss Likibi Pellat, Wilfried Kuissi Kamdem +1
We study a stochastic control problem for nonlinear systems governed by stochastic differential equations with irregular drift. The drift coefficient is assumed to decompose as $b(…
Time discretization of Quadratic Forward-Backward SDEs with singular drifts
Rhoss Likibi Pellat, Emmanuel Che Fonka, Olivier Menoukeu Pamen
We investigate the convergence rate for the time discretization of a class of quadratic backward SDEs -- potentially involving path-dependent terminal values -- when coupled with n…
Quantifying socio-temporal effects of loan delinquency drivers in microfinance
Cedric H. A. Koffi, Viani Biatat Djeundje, Olivier Menoukeu Pamen
We develop and evaluate a family of discrete-time logit-link (LLink) models, including fixed-effects and frailty extensions, to quantify associations between socio-temporal factors…
Density Analysis for coupled forward-backward SDEs with non-Lipschitz drifts and Applications
Rhoss Likibi Pellat, Olivier Menoukeu Pamen
We explore the existence of a continuous marginal law with respect to the Lebesgue measure for each component of the solution to coupled quadratic forward-backward stocha…
Malliavin differentiability of solutions of hyperbolic stochastic partial differential equations with irregular drifts
Antoine-Marie Bogso, Olivier Menoukeu Pamen
We prove path-by-path uniqueness of solution to hyperbolic stochastic partial differential equations when the drift coefficient is the difference of two componentwise monotone Bore…
Differentiability of quadratic forward-backward SDEs with rough drift
Peter Imkeller, Rhoss Likibi Pellat, Olivier Menoukeu Pamen
In this paper, we consider quadratic forward-backward SDEs (QFBSDEs), for {which} the drift in the forward equation does not satisfy the standard globally Lipschitz condition and t…