3 citations · 5 across the 5 of their papers we have counts for
5 papers
A time-fractional Kalman filter
Olfa Draouil, Rahma Yasmina Moulay Hachemi, Bernt Øksendal +1
We study a linear filtering problem in which the signal process is described by a time-fractional linear stochastic differential equation driven by Brownian motion. We derive a sto…
A Kalman filter for linear systems driven by time-space Brownian sheet
Nacira Agram, Bernt Øksendal, Frank Proske +1
We study a linear filtering problem where the signal and observation processes are described as solutions of linear stochastic differential equations driven by time-space Brownian…
Deep learning for quadratic hedging in incomplete jump market
Nacira Agram, Bernt Øksendal, Jan Rems
We propose a deep learning approach to study the minimal variance pricing and hedging problem in an incomplete jump diffusion market. It is based upon a rigorous stochastic calculu…
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…
Impulse control of conditional McKean-Vlasov jump diffusions
Nacira Agram, Giulia Pucci, Bernt Oksendal
This paper establishes a verification theorem for impulse control problems involving conditional McKean-Vlasov jump diffusions. We obtain a Markovian system by combining the state…