82 citations · 154 across the 37 of their papers we have counts for
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Optimal control of SPDEs driven by time-space Brownian motion
Nacira Agram, Bernt Øksendal, Frank Proske +1
In this paper we study a Pontryagin type stochastic maximum principle for the optimal control of a system, where the state dynamics satisfy a stochastic partial differential equati…
Strong solutions of fractional Brownian sheet driven SDEs with integrable drift
Antoine-Marie Bogso, Olivier Menoukeu Pamen, Frank Proske
We prove the existence of a unique Malliavin differentiable strong solution to a stochastic differential equation on the plane with merely integrable coefficients driven by the fra…
An SDE for Modeling SAM: Theory and Insights
Enea Monzio Compagnoni, Luca Biggio, Antonio Orvieto +3
We study the SAM (Sharpness-Aware Minimization) optimizer which has recently attracted a lot of interest due to its increased performance over more classical variants of stochastic…