Publications
Selected publications
- Density Analysis for coupled forward-backward SDEs with non-Lipschitz drifts and applications (Journal article - 2024)
- Differentiability of quadratic forward-backward SDEs with rough drift (Journal article - 2024)
- A variational approach to the construction and Malliavin differentiability of strong solutions of SDE’s (Journal article - 2013)
- Stochastic integration with respect to local time of the Brownian sheet and regularising properties of Brownian sheet paths (Journal article - 2023)
- Path-by-path uniqueness of multidimensional SDE’s on the plane with nondecreasing coefficients (Journal article - 2022)
- Strong rate of convergence for the Euler-Maruyama approximation of SDEs with Hölder continuous drift coefficient (Journal article - 2017)
- Maximum Principle for Stochastic Control of SDEs with Measurable Drifts (Journal article - 2023)
- TAKAGI TYPE FUNCTIONS AND DYNAMICAL SYSTEMS: THE SMOOTHNESS OF THE SBR MEASURE AND THE EXISTENCE AND SMOOTHNESS OF LOCAL TIME (Preprint - 2024)
- Smoothness of solutions of hyperbolic stochastic partial differential equations with L∞-vector fields (Preprint - 2023)
2024
Density Analysis for coupled forward-backward SDEs with non-Lipschitz drifts and applications
Menoukeu Pamen, O., & Likibi Pellat, R. (2024). Density Analysis for coupled forward-backward SDEs with non-Lipschitz drifts and applications. Stochastic Processes and their Applications. doi:10.1016/j.spa.2024.104359
Differentiability of quadratic forward-backward SDEs with rough drift
Imkeller, P., Likibi Pellat, R., & Menoukeu Pamen, O. (n.d.). Differentiability of quadratic forward-backward SDEs with rough drift. Annals of Applied Probability.
Modeling and simulation of the input–output behavior of a geothermal energy storage
Takam, P. H., Wunderlich, R., & Pamen, O. M. (2024). Modeling and simulation of the input–output behavior of a geothermal energy storage. Mathematical Methods in the Applied Sciences, 47(1), 371-396. doi:10.1002/mma.9661
2023
Stochastic integration with respect to local time of the Brownian sheet and regularising properties of Brownian sheet paths
Bogso, A. -M., Dieye, M., & Menoukeu Pamen, O. (2023). Stochastic integration with respect to local time of the Brownian sheet and regularising properties of Brownian sheet paths. Bernoulli, 29(4). doi:10.3150/22-bej1555
Optimization of Wi-Fi Direct average time to discovery: a global channel randomization approach
Mbala, R. M., Fotsa-Mbogne, D. J., Nlong, J. M., Menoukeu-Pamen, O., & Kala-Kamdjoug, J. -R. (2023). Optimization of Wi-Fi Direct average time to discovery: a global channel randomization approach. Optimization and Engineering, 24(3), 1689-1717. doi:10.1007/s11081-022-09749-w
Maximum Principle for Stochastic Control of SDEs with Measurable Drifts
Menoukeu-Pamen, O., & Tangpi, L. (2023). Maximum Principle for Stochastic Control of SDEs with Measurable Drifts. Journal of Optimization Theory and Applications, 197(3), 1195-1228. doi:10.1007/s10957-023-02209-0
Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model
Menoukeu-Pamen, O., Xu, G., & Zhuo, X. (2023). Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model. Quantitative Finance, 23(5), 843-862. doi:10.1080/14697688.2023.2174040
Impact of Imperfect Vaccine, Vaccine Trade-Off and Population Turnover on Infectious Disease Dynamics
Bamen, H. N. L., Ntaganda, J. M., Tellier, A., & Pamen, O. M. (2023). Impact of Imperfect Vaccine, Vaccine Trade-Off and Population Turnover on Infectious Disease Dynamics. MATHEMATICS, 11(5). doi:10.3390/math11051240
An algorithm based on an iterative optimal stopping method for Feller processes with applications to impulse control, perturbation, and possibly zero random discount problems
Dai, S., & Menoukeu-Pamen, O. (2023). An algorithm based on an iterative optimal stopping method for Feller processes with applications to impulse control, perturbation, and possibly zero random discount problems. Journal of Computational and Applied Mathematics, 421, 114864. doi:10.1016/j.cam.2022.114864
Malliavin differentiability of solutions of hyperbolic stochastic partial differential equations with irregular drifts
Bogso, A. -M., & Menoukeu Pamen, O. (2023). Malliavin differentiability of solutions of hyperbolic stochastic partial differential equations with irregular drifts. Latin American Journal of Probability and Mathematical Statistics, 20(2), 1537. doi:10.30757/alea.v20-58
2022
Strong convergence of the Euler-Maruyama approximation for SDEs with unbounded drift
Menoukeu Pamen, O., Babi, A. O. L., & Dieye, M. (2022). Strong convergence of the Euler-Maruyama approximation for SDEs with unbounded drift. Stochastic Analysis and Applications. doi:10.1080/07362994.2022.2047726
A class of quadratic forward-backward stochastic differential equations
Likibi Pellat, R., Menoukeu Pamen, O., & Ouknine, Y. (2022). A class of quadratic forward-backward stochastic differential equations. Journal of Mathematical Analysis and Applications, 514(2), 126100. doi:10.1016/j.jmaa.2022.126100
Strong solutions of forward–backward stochastic differential equations with measurable coefficients
Luo, P., Menoukeu-Pamen, O., & Tangpi, L. (2022). Strong solutions of forward–backward stochastic differential equations with measurable coefficients. Stochastic Processes and their Applications, 144, 1-22. doi:10.1016/j.spa.2021.10.012
Global stability dynamics and sensitivity assessment of COVID-19 with timely-delayed diagnosis in Ghana
Moore, S. E., Nyandjo-Bamen, H. L., Menoukeu-Pamen, O., Asamoah, J. K. K., & Jin, Z. (2022). Global stability dynamics and sensitivity assessment of COVID-19 with timely-delayed diagnosis in Ghana. Computational and Mathematical Biophysics, 10(1), 87-104. doi:10.1515/cmb-2022-0134
Path-by-path uniqueness of multidimensional SDE’s on the plane with nondecreasing coefficients
Bogso, A. -M., Dieye, M., & Pamen, O. M. (2022). Path-by-path uniqueness of multidimensional SDE’s on the plane with nondecreasing coefficients. Electronic Journal of Probability, 27(none). doi:10.1214/22-ejp844
2021
Rough Weierstrass functions and dynamical systems: the smoothness of the SBR measure
Imkeller, P., Menoukeu Pamen, O., Dos Reis, G., & Réveillac, A. (n.d.). Rough Weierstrass functions and dynamical systems: the smoothness of the SBR measure. Pure and Applied Functional Analysis, 7,(4).
2020
Lonely hearts: the effect of spousal death on mortality
Henshaw, K., Constantinescu, C., & Menoukeu Pamen, O. (2020). Lonely hearts: the effect of spousal death on mortality. [The Actuary Magazine]. Retrieved from https://www.theactuary.com/
Stochastic Mortality Modelling for Dependent Coupled Lives
Henshaw, K., Constantinescu, C., & Menoukeu Pamen, O. (n.d.). Stochastic Mortality Modelling for Dependent Coupled Lives. Risks, 8(1), 17. doi:10.3390/risks8010017
2019
Pathwise Uniqueness of Non-uniformly Elliptic SDEs with Rough Coefficients
Menoukeu Pamen, O. O., Ouknine, Y., & Tangpi, L. (2019). Pathwise Uniqueness of Non-uniformly Elliptic SDEs with Rough Coefficients. Journal of Theoretical Probability, 32(4), 1892-1908. doi:10.1007/s10959-018-0869-2
Flows for singular stochastic differential equations with unbounded drifts
Menoukeu-Pamen, O., & Mohammed, S. E. A. (2019). Flows for singular stochastic differential equations with unbounded drifts. Journal of Functional Analysis, 277(5), 1269-1333. doi:10.1016/j.jfa.2019.05.010
Strong solutions of some one-dimensional SDEs with random and unbounded drifts
Menoukeu Pamen, O. O., & Tangpi, L. (n.d.). Strong solutions of some one-dimensional SDEs with random and unbounded drifts. SIAM Journal on Mathematical Analysis, 51(5), 4105-4141. doi:10.1137/18m1218662
2018
Optimal Reinsurance-Investment Strategy Under Risks of Interest Rate, Exchange Rate and Inflation
Guo, C., Zhuo, X., Constantinescu, C., & Pamen, O. M. (2018). Optimal Reinsurance-Investment Strategy Under Risks of Interest Rate, Exchange Rate and Inflation. METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY, 20(4), 1477-1502. doi:10.1007/s11009-018-9630-7
The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump-diffusion system
Sun, Z., & Menoukeu-Pamen, O. (2018). The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump-diffusion system. Stochastic Analysis and Applications, 36(5), 782-811. doi:10.1080/07362994.2018.1465824
On some applications of Sobolev flows of SDEs with unbounded drift coefficients
Menoukeu Pamen, O. (2018). On some applications of Sobolev flows of SDEs with unbounded drift coefficients. Statistics & Probability Letters, 141, 114-124. doi:10.1016/j.spl.2018.05.029
A maximum principle for controlled stochastic factor model
Socgnia, V. K., & Pamen, O. M. (2018). A maximum principle for controlled stochastic factor model. ESAIM: Control, Optimisation and Calculus of Variations, 24(2), 495-517. doi:10.1051/cocv/2017053
A stochastic delay model for pricing debt and loan guarantees: theoretical results
Menoukeu Pamen, O. O., Kemajou-Brown, E., Mohammed, S. E. A., & Tambue, A. (2018). A stochastic delay model for pricing debt and loan guarantees: theoretical results. International Journal of Evolution Equations.
A risk-sensitive maximum principle for a Markov regime-switching jump-diffusion system and applications
Sun, Z., Kemajou-Brown, I., & Menoukeu-Pamen, O. (2018). A risk-sensitive maximum principle for a Markov regime-switching jump-diffusion system and applications. ESAIM: Control, Optimisation and Calculus of Variations, 24(3), 985-1013. doi:10.1051/cocv/2017039
2017
Maximum Principles of Markov Regime-Switching Forward–Backward Stochastic Differential Equations with Jumps and Partial Information
Menoukeu Pamen, O. (2017). Maximum Principles of Markov Regime-Switching Forward–Backward Stochastic Differential Equations with Jumps and Partial Information. Journal of Optimization Theory and Applications, 175, 373-410. doi:10.1007/s10957-017-1144-x
Strong rate of convergence for the Euler-Maruyama approximation of SDEs with Hölder continuous drift coefficient
Menoukeu Pamen, O., & Taguchi, D. (2017). Strong rate of convergence for the Euler-Maruyama approximation of SDEs with Hölder continuous drift coefficient. Stochastic Processes and their Applications, 127(8), 2542-2559. doi:10.1016/j.spa.2016.11.008
A maximum principle for Markov regime-switching forward–backward stochastic differential games and applications
Menoukeu-Pamen, O., & Momeya, R. H. (2017). A maximum principle for Markov regime-switching forward–backward stochastic differential games and applications. Mathematical Methods of Operations Research, 85(3), 349-388. doi:10.1007/s00186-017-0574-4
EFFICIENT PIECEWISE TREES FOR THE GENERALIZED SKEW VASICEK MODEL WITH DISCONTINUOUS DRIFT
ZHUO, X., & MENOUKEU-PAMEN, O. (2017). EFFICIENT PIECEWISE TREES FOR THE GENERALIZED SKEW VASICEK MODEL WITH DISCONTINUOUS DRIFT. International Journal of Theoretical and Applied Finance, 20(04), 1750028. doi:10.1142/s0219024917500285
2016
On the optimal investment
Menoukeu Pamen, O., Corcuera, J. M., & Fajardo, J. (2016). On the optimal investment. In J. Kallsen, & A. Papapantoleon (Eds.), Advanced Modelling in Mathematical Finance (Vol. 189). Springer.
Malliavin Differentiability of Time-Advanced backward Stochastic Differential Equations
Menoukeu Pamen, O. O. (2016). Malliavin Differentiability of Time-Advanced backward Stochastic Differential Equations. International Journal of Evolution Equations, 10(1), 101-118.
On the Price of Risk Under a Regime Switching CGMY Process
Asiimwe, P., Mahera, C. W., & Menoukeu-Pamen, O. (2016). On the Price of Risk Under a Regime Switching CGMY Process. Asia-Pacific Financial Markets, 23(4), 305-335. doi:10.1007/s10690-016-9219-5
2015
Optimal Control for Stochastic Delay Systems Under Model Uncertainty: A Stochastic Differential Game Approach
Menoukeu Pamen, O. (2015). Optimal Control for Stochastic Delay Systems Under Model Uncertainty: A Stochastic Differential Game Approach. Journal of Optimization Theory and Applications, 167(3), 998-1031. doi:10.1007/s10957-013-0484-4
Non-Linear Time-Advanced Backward Stochastic Partial Differential Equations With Jumps
Menoukeu-Pamen, O. (2015). Non-Linear Time-Advanced Backward Stochastic Partial Differential Equations With Jumps. Stochastic Analysis and Applications, 33(4), 673-700. doi:10.1080/07362994.2015.1036166
LOCAL RISK-MINIMIZATION UNDER MARKOV-MODULATED EXPONENTIAL LÉVY MODEL
MENOUKEU-PAMEN, O., & MOMEYA, R. (2015). LOCAL RISK-MINIMIZATION UNDER MARKOV-MODULATED EXPONENTIAL LÉVY MODEL. International Journal of Theoretical and Applied Finance, 18(05), 1550033. doi:10.1142/s0219024915500338
An infinite horizon stochastic maximum principle for discounted control problem with Lipschitz coefficients
Socgnia, K., & Menoukeu Pamen, O. (2015). An infinite horizon stochastic maximum principle for discounted control problem with Lipschitz coefficients. Journal of Mathematical Annalysis and Applications, 422(1), 684-711. doi:10.1016/j.jmaa.2014.09.010
2014
A Gel'fand triple approach to the small noise problem for discontinuous ODE's
Menoukeu Pamen, O., Meyer-Brandis, T., & Proske, F. (2014). A Gel'fand triple approach to the small noise problem for discontinuous ODE's. Retrieved from http://www.fm.mathematik.uni-muenchen.de/download/smallnoise.pdf
On Local Times: Application to Pricing Using Bid-Ask
Kettler, P., Menoukeu Pamen, O., & Proske, F. (2014). On Local Times: Application to Pricing Using Bid-Ask. Journal of Mathematical Finance, 4(2), 84-94.
Optimal premium policy of an insurance firm with delay and stochastic interest rate
Mahera, C. W., Menoukeu-Pamen, O., & Mwale, M. (n.d.). Optimal premium policy of an insurance firm with delay and stochastic interest rate. Communications on Stochastic Analysis, 8(1). doi:10.31390/cosa.8.1.05
Stochastic Differential Games in Insider Markets via Malliavin Calculus
Pamen, O. M., Proske, F., & Salleh, H. B. (2014). Stochastic Differential Games in Insider Markets via Malliavin Calculus. Journal of Optimization Theory and Applications, 160(1), 302-343. doi:10.1007/s10957-013-0310-z
2013
A variational approach to the construction and Malliavin differentiability of strong solutions of SDE’s
Menoukeu-Pamen, O., Meyer-Brandis, T., Nilssen, T., Proske, F., & Zhang, T. (2013). A variational approach to the construction and Malliavin differentiability of strong solutions of SDE’s. Mathematische Annalen, 357(2), 761-799. doi:10.1007/s00208-013-0916-3
Malliavin calculus applied to optimal control of stochastic partial differential equations with jumps
Menoukeu Pamen, O., Meyer-Brandis, T., Proske, F., & Binti Salleh, H. (2013). Malliavin calculus applied to optimal control of stochastic partial differential equations with jumps. Stochastics, 85(3), 431-463. doi:10.1080/17442508.2011.652964
2011
UNIQUENESS OF DECOMPOSITIONS OF SKOROHOD-SEMIMARTINGALES
DI NUNNO, G., ØKSENDAL, B., PAMEN, O. M., & PROSKE, F. (2011). UNIQUENESS OF DECOMPOSITIONS OF SKOROHOD-SEMIMARTINGALES. Infinite Dimensional Analysis, Quantum Probability and Related Topics, 14(01), 15-24. doi:10.1142/s0219025711004274
A General Maximum Principle for Anticipative Stochastic Control and Applications to Insider Trading
Di Nunno, G., Menoukeu Pamen, O., Øksendal, B., & Proske, F. (2011). A General Maximum Principle for Anticipative Stochastic Control and Applications to Insider Trading. In Advanced Mathematical Methods for Finance (pp. 181-221). Springer Berlin Heidelberg. doi:10.1007/978-3-642-18412-3_7
A general theorem for portfolio generating functions
Menoukeu Pamen, O. (n.d.). A general theorem for portfolio generating functions. Communications on Stochastic Analysis, 5(2). doi:10.31390/cosa.5.2.02
2010
Decomposition of order statistics of semimartingales using local times
Ghomrasni, R., & Menoukeu Pamen, O. (2010). Decomposition of order statistics of semimartingales using local times. Stochastic Analysis and Applications, 28(3), 467-479.