5 citations · 22 across the 33 of their papers we have counts for
5 papers · 1 filter
A financial market with singular drift and no arbitrage
Nacira Agram, Bernt Øksendal
We study a financial market where the risky asset is modelled by a geometric Itô-Lévy process, with a singular drift term. This can for example model a situation where the asset pr…
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…