5 citations · 22 across the 33 of their papers we have counts for
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math.OC2016
Model Uncertainty Stochastic Mean-Field Control
Nacira Agram, Bernt Øksendal
We consider the problem of optimal control of a mean-field stochastic differential equation under model uncertainty. The model uncertainty is represented by ambiguity about the law…
math.OC2016
Optimal control of forward-backward stochastic Volterra equations
Nacira Agram, Bernt Øksendal, Samia Yakhlef
We study the problem of optimal control of a coupled system of forward-backward stochastic Volterra equations. We use Hida-Malliavin calculus to prove a sufficient and a necessary…
math.OC2016
Stochastic optimal control of McKean-Vlasov equations with anticipating law
Nacira Agram
In this paper, we generalise Pontryagin's stochastic maximum principle to controlled McKean-Vlasov equations with anticipating law. The associated new type of delayed backward equa…