2023
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.2022.114864DOI: 10.1016/j.cam.2022.114864
Menoukeu-Pamen, O., Xu, G., & Zhuo, X. (n.d.). Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model. Quantitative Finance, 1-20. doi:10.1080/14697688.2023.2174040DOI: 10.1080/14697688.2023.2174040
2022
Menoukeu Pamen, O., Bogso, A., & Dieye, M. (n.d.). Stochastic integration with respect to local time of the Brownian sheet and regularising properties of Brownian sheet paths. Bernoulli: a journal of mathematical statistics and probability.
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:10.1080/07362994.2022.2047726DOI: 10.1080/07362994.2022.2047726
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.2022.126100DOI: 10.1016/j.jmaa.2022.126100
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.2021.10.012DOI: 10.1016/j.spa.2021.10.012
Mbala, R. M., Fotsa-Mbogne, D. J., Nlong, J. M., Menoukeu-Pamen, O., & Kala-Kamdjoug, J. -R. (n.d.). Optimization of Wi-Fi Direct average time to discovery: a global channel randomization approach. Optimization and Engineering. doi:10.1007/s11081-022-09749-wDOI: 10.1007/s11081-022-09749-w
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-ejp844DOI: 10.1214/22-ejp844
2020
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/
Henshaw, K., Constantinescu, C., & Menoukeu Pamen, O. (n.d.). Stochastic Mortality Modelling for Dependent Coupled Lives. Risks, 8(1), 17. doi:10.3390/risks8010017DOI: 10.3390/risks8010017
2019
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/s10959-018-0869-2DOI: 10.1007/s10959-018-0869-2
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.2019.05.010DOI: 10.1016/j.jfa.2019.05.010
Strong solutions of some one-dimensional SDEs with random and unbounded drifts (Journal article)
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:10.1137/18m1218662DOI: 10.1137/18m1218662
2018
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/s11009-018-9630-7DOI: 10.1007/s11009-018-9630-7
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:10.1080/07362994.2018.1465824DOI: 10.1080/07362994.2018.1465824
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.2018.05.029DOI: 10.1016/j.spl.2018.05.029
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/2017053DOI: 10.1051/cocv/2017053
A stochastic delay model for pricing debt and loan guarantees: theoretical results (Journal article)
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.
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/2017039DOI: 10.1051/cocv/2017039
2017
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-xDOI: 10.1007/s10957-017-1144-x
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.2016.11.008DOI: 10.1016/j.spa.2016.11.008
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/s00186-017-0574-4DOI: 10.1007/s00186-017-0574-4
EFFICIENT PIECEWISE TREES FOR THE GENERALIZED SKEW VASICEK MODEL WITH DISCONTINUOUS DRIFT (Journal article)
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/s0219024917500285DOI: 10.1142/s0219024917500285
2016
On the optimal investment (Chapter)
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.
Menoukeu Pamen, O. O. (2016). Malliavin Differentiability of Time-Advanced backward Stochastic Differential Equations. International Journal of Evolution Equations, 10(1), 101-118.
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/s10690-016-9219-5DOI: 10.1007/s10690-016-9219-5
2015
Optimal Control for Stochastic Delay Systems Under Model Uncertainty: A Stochastic Differential Game Approach (Journal article)
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/s10957-013-0484-4DOI: 10.1007/s10957-013-0484-4
Non-Linear Time-Advanced Backward Stochastic Partial Differential Equations With Jumps (Journal article)
Menoukeu-Pamen, O. (2015). Non-Linear Time-Advanced Backward Stochastic Partial Differential Equations With Jumps. Stochastic Analysis and Applications, 33(4), 673-700. doi:10.1080/07362994.2015.1036166DOI: 10.1080/07362994.2015.1036166
LOCAL RISK-MINIMIZATION UNDER MARKOV-MODULATED EXPONENTIAL LÉVY MODEL (Journal article)
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/s0219024915500338DOI: 10.1142/s0219024915500338
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.2014.09.010DOI: 10.1016/j.jmaa.2014.09.010
2014
A Gel'fand triple approach to the small noise problem for discontinuous ODE's (Journal article)
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 (Journal article)
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 (Journal article)
Mahera, W. C., Menoukeu Pamen, O., & Mwale, M. (2014). Optimal Premium Policy of an Insurance Firm with Delay and Stochastic Interest Rate. Communication on Stochastic Analysis, 8(1), 811-891.
Stochastic Differential Games in Insider Markets via Malliavin Calculus (Journal article)
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-zDOI: 10.1007/s10957-013-0310-z
2013
A variational approach to the construction and Malliavin differentiability of strong solutions of SDE’s (Journal article)
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/s00208-013-0916-3DOI: 10.1007/s00208-013-0916-3
Malliavin calculus applied to optimal control of stochastic partial differential equations with jumps (Journal article)
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:10.1080/17442508.2011.652964DOI: 10.1080/17442508.2011.652964
2011
UNIQUENESS OF DECOMPOSITIONS OF SKOROHOD-SEMIMARTINGALES (Journal article)
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/s0219025711004274DOI: 10.1142/s0219025711004274
A General Maximum Principle for Anticipative Stochastic Control and Applications to Insider Trading (Chapter)
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_7DOI: 10.1007/978-3-642-18412-3_7
A General Theorem for Portfolio Generating Functions (Journal article)
Menoukeu Pamen, O. (2011). A General Theorem for Portfolio Generating Functions. Communication on Stochastic Analysis, 5(2), 271-283.
2010
Decomposition of order statistics of semimartingales using local times (Journal article)
Ghomrasni, R., & Menoukeu Pamen, O. (2010). Decomposition of order statistics of semimartingales using local times. Stochastic Analysis and Applications, 28(3), 467-479.
