4 citations · 17 across the 15 of their papers we have counts for
8 papers · 1 filter
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…
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…
Stochastic integration with respect to local time of the Brownian sheet and regularising properties of Brownian sheet paths
Antoine-Marie Bogso, Moustapha Dieye, Olivier Menoukeu Pamen
In this work, we generalise the stochastic local time space integration introduced in \cite{Ei00} to the case of Brownian sheet. %We develop a stochastic local time-space calculus…
Path-by-path uniqueness of multidimensional SDE's on the plane with nondecreasing coefficients
Antoine-Marie Bogso, Moustapha Dieye, Olivier Menoukeu-Pamen
In this paper we study path-by-path uniqueness for multidimensional stochastic differential equations driven by the Brownian sheet. We assume that the drift coefficient is unbounde…
Strong rate of convergence for the Euler-Maruyama approximation of SDEs with Hölder continuous drift coefficient
Olivier Menoukeu Pamen, Dai Taguchi
In this paper, we consider a numerical approximation of the stochastic differential equation (SDE) $$X_{t}=x_{0}+ \int_{0}^{t} b(s, X_{s}) \mathrm{d}s + L_{t},~x_{0} \in \mathbb{R}…
Decomposition of order statistics of semimartingales using local times
Raouf Ghomrasni, Olivier Menoukeu Pamen
In a recent work \cite{BG}, given a collection of continuous semimartingales, authors derive a semimartingale decomposition from the corresponding ranked processes in the case that…