25 citations · 48 across the 12 of their papers we have counts for
10 papers · 1 filter
Stochastic control with self-exciting processes
Heidar Eyjolfsson, Kristina Rognlien Dahl
We analyze the problem of stochastic optimal control of SDEs where the driver includes a self-exciting stochastic process. Due to the non-Markovian nature of the problem, we apply…
Environmental contours and optimal design
Kristina Rognlien Dahl, Arne Bang Huseby
Classical environmental contours are used in structural design in order to obtain upper bounds on the failure probabilities of a large class of designs. Buffered environmental cont…
Stochastic Maximum Principle with Default
Khalida Bachir Cherif, Nacira Agram, Kristina Dahl
In this paper, we derive sufficient and necessary maximum principles for a stochastic optimal control problem where the system state is given by a controlled stochastic differentia…
A duopoly preemption game with two alternative stochastic investment choices
Kristina Rognlien Dahl, Espen Stokkereit
This paper studies a duopoly investment model with uncertainty. There are two alternative irreversible investments. The first firm to invest gets a monopoly benefit for a specified…
Stochastic maximum principle with Lagrange multipliers and optimal consumption with Lévy wage
Kristina Rognlien Dahl, Espen Stokkereit
We show how a stochastic version of the Lagrange multiplier method can be combined with the stochastic maximum principle for jump diffusions to solve certain constrained stochastic…
Pricing of claims in discrete time with partial information
Kristina Rognlien Dahl
We consider the pricing problem of a seller with delayed price information. By using Lagrange duality, a dual problem is derived, and it is proved that there is no duality gap. Thi…
Management of a hydropower system via convex duality
Kristina Rognlien Dahl
We consider the problem of managing a hydroelectric power plant system. The system consists of N hydropower dams, which all have some maximum production capacity. The inflow to the…
Forward Backward Stochastic Differential Equation Games with Delay and Noisy Memory
Kristina Rognlien Dahl
The main goal of this paper is to study a stochastic game connected to a system of forward backward stochastic differential equations (FBSDEs) involving delay and so-called noisy m…
Singular recursive utility
Kristina R. Dahl, Bernt Øksendal
We introduce the concept of singular recursive utility. This leads to a kind of singular BSDE which, to the best of our knowledge, has not been studied before. We show conditions f…
Optimal control of systems with noisy memory and BSDEs with Malliavin derivatives
Kristina R. Dahl, Salah-Eldin A. Mohammed, Bernt Øksendal +1
In this article we consider a stochastic optimal control problem where the dynamics of the state process, , is a controlled stochastic differential equation with jumps, delay…