5 citations · 22 across the 33 of their papers we have counts for
4 papers · 2 filters
New approach to optimal control of stochastic Volterra integral equations
Nacira Agram, Bernt Øksendal, Samia Yakhlef
We study optimal control of stochastic Volterra integral equations (SVIE) with jumps by using Hida-Malliavin calculus. - We give conditions under which there exists unique solution…
Mean-field optimal control problem of SDDEs driven by fractional Brownian motion
Nacira Agram, Soukaina Douissi, Astrid Hilbert
We consider a mean-field optimal control problem for stochastic differential equations with delay driven by fractional Brownian motion with Hurst parameter greater than one half. S…
A Hida-Malliavin white noise calculus approach to optimal control
Nacira Agram, Bernt Øksendal
The classical maximum principle for optimal stochastic control states that if a control is optimal, then the corresponding Hamiltonian has a maximum at . The f…
Stochastic Control of Memory Mean-Field Processes
Nacira Agram, Bernt Øksendal
By a memory mean-field process we mean the solution of a stochastic mean-field equation involving not just the current state and its law at ti…