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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…
math.OC2023★ 2 cited
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…