5 citations · 22 across the 33 of their papers we have counts for
6 papers · 1 filter
SPDEs with space interactions and application to population modelling
Nacira Agram, Astrid Hilbert, Khouloud Makhlouf +1
We consider optimal control of a new type of non-local stochastic partial differential equations (SPDEs). The SPDEs have space interactions, in the sense that the dynamics of the s…
Mean-Field Stochastic Control with Elephant Memory in Finite and Infinite Time Horizon
Nacira Agram, Bernt Øksendal
Our purpose of this paper is to study stochastic control problem for systems driven by mean-field stochastic differential equations with elephant memory, in the sense that the syst…
Dynamic risk measure for BSVIE with jumps and semimartingale issues
Nacira Agram
Risk measure is a fundamental concept in finance and in the insurance industry, it is used to adjust life insurance rates. In this current paper, we will study dynamic risk measure…
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…
Mean-Field Delayed BSDEs with Jumps
Nacira Agram
We establish sufficient conditions for the existence and uniqueness of mean-field backward stochastic differential equations with time delayed generator in the sense that at t, the…
Mean-field backward stochastic differential equations and applications
Nacira Agram, Yaozhong Hu, Bernt Øksendal
In this paper we study the mean-field backward stochastic differential equations (mean-field bsde) of the form dY(t) =-f(t,Y(t),Z(t),K(t, . ),E[φ(Y(t),Z(t),K(t,.))])dt+Z(t)dB(t) +\…