Photo of Dr Olivier Menoukeu Pamen

Dr Olivier Menoukeu Pamen

Reader Mathematical Sciences

    Publications

    2018

    Pathwise Uniqueness of Non-uniformly Elliptic SDEs with Rough Coefficients (Journal article)

    Menoukeu Pamen, O. O., Ouknine, Y., & Tangpi, L. (n.d.). Pathwise Uniqueness of Non-uniformly Elliptic SDEs with Rough Coefficients. Journal of Theoretical Probability. doi:10.1007/s10959-018-0869-2

    DOI: 10.1007/s10959-018-0869-2

    On some applications of Sobolev flows of SDEs with unbounded drift coefficients (Journal article)

    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

    DOI: 10.1016/j.spl.2018.05.029

    A risk-sensitive maximum principle for a Markov regime-switching jump-diffusion system and applications (Journal article)

    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. doi:10.1051/cocv/2017039

    DOI: 10.1051/cocv/2017039

    The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump-diffusion system (Journal article)

    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, 1-30. doi:10.1080/07362994.2018.1465824

    DOI: 10.1080/07362994.2018.1465824

    Optimal Reinsurance-Investment Strategy Under Risks of Interest Rate, Exchange Rate and Inflation (Journal article)

    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

    DOI: 10.1007/s11009-018-9630-7

    A maximum principle for controlled stochastic factor model (Journal article)

    Socgnia, V. K., & Pamen, O. M. (2018). A maximum principle for controlled stochastic factor model. ESAIM: Control, Optimisation and Calculus of Variations, 24(2), 639-676. doi:10.1051/cocv/2017053

    DOI: 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.

    2017

    Maximum Principles of Markov Regime-Switching Forward–Backward Stochastic Differential Equations with Jumps and Partial Information (Journal article)

    Pamen, O. M. (2017). Maximum Principles of Markov Regime-Switching Forward–Backward Stochastic Differential Equations with Jumps and Partial Information. Journal of Optimization Theory and Applications, 175(2), 373-410. doi:10.1007/s10957-017-1144-x

    DOI: 10.1007/s10957-017-1144-x

    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/S0219024917500285

    DOI: 10.1142/S0219024917500285

    A maximum principle for Markov regime-switching forward–backward stochastic differential games and applications (Journal article)

    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

    DOI: 10.1007/s00186-017-0574-4

    2016

    Strong rate of convergence for the Euler–Maruyama approximation of SDEs with Hölder continuous drift coefficient (Journal article)

    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

    DOI: 10.1016/j.spa.2016.11.008

    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.

    Malliavin Differentiability of Time-Advanced backward Stochastic Differential Equations (Journal article)

    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 (Journal article)

    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

    DOI: 10.1007/s10690-016-9219-5

    2015

    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/S0219024915500338

    DOI: 10.1142/S0219024915500338

    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:10.1080/07362994.2015.1036166

    DOI: 10.1080/07362994.2015.1036166

    An infinite horizon stochastic maximum principle for discounted control problem with Lipschitz coefficients (Journal article)

    Konlack Socgnia, V., & Menoukeu-Pamen, O. (2015). An infinite horizon stochastic maximum principle for discounted control problem with Lipschitz coefficients. Journal of Mathematical Analysis and Applications, 422(1), 684-711. doi:10.1016/j.jmaa.2014.09.010

    DOI: 10.1016/j.jmaa.2014.09.010

    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/s10957-013-0484-4

    DOI: 10.1007/s10957-013-0484-4

    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-z

    DOI: 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/s00208-013-0916-3

    DOI: 10.1007/s00208-013-0916-3

    2012

    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:10.1080/17442508.2011.652964

    DOI: 10.1080/17442508.2011.652964

    2011

    A General Maximum Principle for Anticipative Stochastic Control and Applications to Insider Trading. (Chapter)

    Di Nunno, G., Menoukeu Pamen, O., Oksendal, B., & Proske, F. (2011). A General Maximum Principle for Anticipative Stochastic Control and Applications to Insider Trading.. In G. Di Nunno, & B. Oksendal (Eds.), Advanced Mathematical Methods for Finance (pp. 181-222). Berlin Heidelberg: Springer. doi:10.1007/978-3-642-18412-3_7

    DOI: 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.

    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/S0219025711004274

    DOI: 10.1142/S0219025711004274

    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.