5 citations · 22 across the 33 of their papers we have counts for
48 papers
Markov property for systems driven by the Brownian sheet
Nacira Agram, Bernt Øksendal, Frank Proske +1
We study stochastic systems driven by a Brownian sheet and formulate a Markov property adapted to their two-parameter structure. For time-space homogeneous Itô sheets, the future e…
Risk Measures under Paired-Ambiguity: A Deep Learning Reflected BSDE Framework
Nacira Agram, Jan Rems, Emanuela Rosazza Gianin
We study optimal stopping under dynamic risk measures with simultaneous ambiguity in the probability model and the discount rate. We introduce a paired ambiguity framework combinin…
NeSTR: Neural S-Transform Reconstruction for Gaussian SPDEs
Nacira Agram, Fred Espen Benth, Jan Rems
We introduce Neural -Transform Reconstruction (NeSTR) for Gaussian stochastic partial differential equations (SPDEs). The learned object is not the random solution itself, but i…
A cylindrical neural approximation theorem for conditional laws of McKean-Vlasov equations with common noise
Nacira Agram, Reda Hmioui, Jan Rems
We introduce conditional cylindrical neural networks for approximating functionals of conditional laws in McKean-Vlasov equations with common noise. Fourier moments of the initial…
Nonzero-Sum Stochastic Differential Games for Controlled Convection-Diffusion SPDEs
Nacira Agram, Eya Zougar
This paper studies a two-player nonzero-sum stochastic differential game governed by a controlled convection-diffusion stochastic partial differential equation (SPDE) with spatiall…
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…