4 papers
Stochastic Optimal Control for Jump Diffusion Models with Singular Drifts
Antoine-Marie Bogso, Edward Fuituh Kameh, Olivier Menoukeu-Pamen +1
We study a stochastic optimal control problem for jump-diffusion systems whose drift coefficient is piecewise Lipschitz continuous and exhibits threshold-induced discontinuities. S…
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(…
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…
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…