7 papers
On the Analysis of a Singular Stochastic Volterra Differential Equation driven by a Wiener Noise
Emmanuel Coffie, Olivier Menoukeu-Pamen, Frank Proske
In this article, we construct unique strong solutions to a class of stochastic Volterra differential equations driven by a singular drift vector field and a Wiener noise. Further,…
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…
Smoothness of solutions of hyperbolic stochastic partial differential equations with -vector fields
Antoine-Marie Bogso, Moustapha Dieye, Olivier Menoukeu Pamen +1
In this paper we are interested in a quasi-linear hyperbolic stochastic differential equation (HSPDE) when the vector field is merely bounded and measurable. Although the determini…
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…
Strong solutions of fractional Brownian sheet driven SDEs with integrable drift
Antoine-Marie Bogso, Olivier Menoukeu Pamen, Frank Proske
We prove the existence of a unique Malliavin differentiable strong solution to a stochastic differential equation on the plane with merely integrable coefficients driven by the fra…
Small Noise Perturbations in Multidimensional Case
Andrey Pilipenko, Frank Norbert Proske
In this paper we study zero-noise limits of stable noise perturbed ODE's which are driven by an irregular vector field with asymptotics $% A(x)\sim \overline{a}(\frac{x}{\…