2 citations · 2 across the 3 of their papers we have counts for
3 papers
math.PR2017
Stochastic functional differential equations and sensitivity to their initial path
David R. Baños, Giulia Di Nunno, Hannes Haferkorn +1
We consider systems with memory represented by stochastic functional differential equations. Substantially, these are stochastic differential equations with coefficients depending…
math.PR2016
On perturbations of an ODE with non-Lipschitz coefficients by a small self-similar noise
Andrey Pilipenko, Frank Norbert Proske
We study the limit behavior of differential equations with non-Lipschitz coefficients that are perturbed by a small self-similar noise. It is proved that the limiting process is eq…
math.OC2012★ 2 cited
Maximum principles for jump diffusion processes with infinite horizon
Sven Haadem, Bernt Øksendal, Frank Proske
We prove maximum principles for the problem of optimal control for a jump diffusion with infinite horizon and partial information. The results are applied to partial information op…