3 papers
math.OC2026
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(…
q-fin.RM2025
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…
math.PR2024
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…