14 citations · 35 across the 16 of their papers we have counts for
8 papers · 1 filter
Stochastic control of mean-field SPDEs with jumps
Roxana Dumitrescu, Bernt Øksendal, Agnès Sulem
We study the problem of optimal control for mean-field stochastic partial differential equations (stochastic evolution equations) driven by a Brownian motion and an independent Poi…
Mixed generalized Dynkin game and stochastic control in a Markovian framework
Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem
We introduce a mixed {\em generalized} Dynkin game/stochastic control with -expectation in a Markovian framework. We study both the case when the terminal reward functi…
Optimal control of predictive mean-field equations and applications to finance
Bernt Øksendal, Agnès Sulem
We study a coupled system of controlled stochastic differential equations (SDEs) driven by a Brownian motion and a compensated Poisson random measure, consisting of a forward SDE i…
A Weak Dynamic Programming Principle for Combined Optimal Stopping and Stochastic Control with - expectations
Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem
We study a combined optimal control/stopping problem under a nonlinear expectation induced by a BSDE with jumps, in a Markovian framework. The terminal reward function…
Singular mean-field control games with applications to optimal harvesting and investment problems
Yaozhong Hu, Bernt Øksendal, Agnès Sulem
This paper studies singular mean field control problems and singular mean field stochastic differential games. Both sufficient and necessary conditions for the optimal controls and…
Optimal stopping for dynamic risk measures with jumps and obstacle problems
Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem
We study the optimal stopping problem for a monotonous dynamic risk measure induced by a BSDE with jumps in the Markovian case. We show that the value function is a viscosity solut…
Risk minimization in financial markets modeled by Itô-Lévy processes
Bernt Øksendal, Agnès Sulem
This paper is mainly a survey of recent research developments regarding methods for risk minimization in financial markets modeled by Itô-Lévy processes, but it also contains some…
A stochastic HJB equation for optimal control of forward-backward SDEs
Bernt Øksendal, Agnès Sulem, Tusheng Zhang
We study optimal stochastic control problems of general coupled systems of forward-backward stochastic differential equations with jumps. By means of the Itô-Ventzell formula the s…