5 citations · 10 across the 5 of their papers we have counts for
5 papers
Optimal stopping, randomized stopping and singular control with partial information flow
Nacira Agram, Sven Haadem, Bernt Oksendal +1
The purpose of this paper is two-fold: We extend the well-known relation between optimal stopping and randomized stopping of a given stochastic process to a situation where the ava…
On the Construction and Malliavin Differentiability of Levy Noise Driven SDEs with Singular Coefficients
Sven Haadem, Frank Proske
In this paper we introduce a new technique to construct unique strong solutions of SDEs with singular coefficients driven by certain Levy processes. Our method which is based on Ma…
A maximum principle for infinite horizon delay equations
N. Agram, S. Haadem, B. Øksendal +1
We prove a maximum principle of optimal control of stochastic delay equations on infinite horizon. We establish first and second sufficient stochastic maximum principles as well as…
A maximum principle for fractional diffusion processes with infinite horizon
Sven Haadem
We prove a maximum principle for the problem of optimal control for a fractional diffusion with infinite horizon. Further, we show existence of fractional backward stochastic diffe…
Maximum principles for jump diffusion processes with infinite horizon
Sven Haadem, Bernt Øksendal, Frank Proske
We prove maximum principles for the problem of optimal control for a jump diffusion with infinite horizon and partial information. The results are applied to partial information op…