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math.OC2025
SPDE Games Driven by a Brownian Sheet with Applications to Pollution Minimization
Nacira Agram, Bernt Øksendal, Frank Proske +1
This paper studies a nonzero-sum stochastic differential game in the context of shared spatial-domain pollution control. The pollution dynamics are governed by a stochastic partial…
math.OC2023
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…