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math.OC2014
Optimal control of forward-backward mean-field stochastic delayed systems
Nacira Agram, Elin Engen Rose
We study methods for solving stochastic control problems of systems of forward-backward mean-field equations with delay, in finite or infinite horizon. Necessary and sufficient max…
math.OC2014
Malliavin calculus and optimal control of stochastic Volterra equations
Nacira Agram, Bernt Øksendal
Solutions of stochastic Volterra (integral) equations are not Markov processes, and therefore classical methods, like dynamic programming, cannot be used to study optimal control p…