1 citations · 1 across the 4 of their papers we have counts for
4 papers
SIG-BSDE for Dynamic Risk Measures
Nacira Agram, Jan Rems, Emanuela Rosazza Gianin
In this paper, we consider dynamic risk measures induced by backward stochastic differential equations (BSDEs). We discuss different examples that come up in the literature, includ…
Fokker-Planck equation for McKean-Vlasov SPDEs driven by time-space Brownian sheet
Nacira Agram, Bernt Oksendal, Frank Proske +1
In this paper, we consider a McKean-Vlasov (mean-field) stochastic partial differential equations (SPDEs) driven by a Brownian sheet. We study the propagation of chaos for a space-…
The Donsker delta function and local time for McKean-Vlasov processes and applications
Nacira Agram, Bernt Øksendal
The purpose of this paper is to establish a stochastic differential equation for the Donsker delta measure of the solution of a McKean-Vlasov (mean-field) stochastic differential e…
Reflected Backward Stochastic Volterra Integral Equations and related time-inconsistent optimal stopping problems
Nacira Agram, Boualem Djehiche
We study solutions of a class of one-dimensional continuous reflected backward stochastic Volterra integral equations driven by Brownian motion, where the reflection keeps the solu…