5 citations · 9 across the 3 of their papers we have counts for
10 papers · 1 filter
Spatially Controlled Evolution of Composite Materials via Stochastic Partial Differential Equations
Nacira Agram, Isabelle Turpin, Eya Zougar
This paper investigates a class of controlled stochastic partial differential equations (SPDEs) arising in the modeling of composite materials with spatially varying properties. Th…
Pricing of European options in incomplete jump diffusion markets
Nacira Agram, Bernt Øksendal
We study option prices in financial markets where the risky asset prices are modelled by jump diffusions. It was proposed by Schweizer (1996) in a general semimartingale setting, f…
Singular optimal control of stochastic Volterra integral equations
Nacira Agram, Saloua Labed, Bernt Øksendal +1
This paper deals with optimal combined singular and regular controls for stochastic Volterra integral equations, where the solution X^{u,ξ}(t)=X(t) is given by X(t) =ϕ(t)+\int_{0}^…
Mean-field FBSDE and optimal control
Nacira Agram, Salah Eddine Choutri
We study optimal control for mean-field forward backward stochastic differential equations with payoff functionals of mean-field type. Sufficient and necessary optimality condition…
Introduction to White Noise, Hida-Malliavin Calculus and Applications
Nacira Agram, Bernt Øksendal
The purpose of these lectures is threefold: We first give a short survey of the Hida white noise calculus, and in this context we introduce the Hida-Malliavin derivative as a stoch…
Singular control of SPDEs with space-mean dynamics
Nacira Agram, Astrid Hilbert, Bernt Øksendal
We consider the problem of optimal singular control of a stochastic partial differential equation (SPDE) with space-mean dependence. Such systems are proposed as models for populat…