3 papers
math.PR2026
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…
math.OC2025
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…
math.PR2024
Fokker-Planck equations for conditional McKean-Vlasov systems driven by Brownian sheets
Nacira Agram, Bernt Ãksendal, Frank Proske +1
We investigate conditional McKean-Vlasov equations driven by time-space white noise, motivated by the propagation of chaos in an N-particle system with space-time Ornstein-Uhlenbec…