24 citations · 65 across the 23 of their papers we have counts for
34 papers
The Donsker delta function and local time for McKean-Vlasov processes and applications
Nacira Agram, Bernt Øksendal
The purpose of this paper is to establish a stochastic differential equation for the Donsker delta measure of the solution of a McKean-Vlasov (mean-field) stochastic differential e…
Optimal stopping of conditional McKean-Vlasov jump diffusions
Nacira Agram, Bernt Oksendal
We study the problem of optimal stopping of conditional McKean-Vlasov (mean-field) stochastic differential equations with jumps (conditional McKean-Vlasov jump diffusions, for shor…
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…
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…
Viable Insider Markets
Olfa Draouil, Bernt Øksendal
We consider the problem of optimal inside portfolio in a financial market with a corresponding wealth process modelled by \begin{align}\label{eq0.1} \begin{cas…
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) +\…
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…
Stochastic control of mean-field SPDEs with jumps
Roxana Dumitrescu, Bernt Øksendal, Agnès Sulem
We study the problem of optimal control for mean-field stochastic partial differential equations (stochastic evolution equations) driven by a Brownian motion and an independent Poi…
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…
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…
A white noise approach to optimal insider control of systems with delay
Olfa Draouil, Bernt Øksendal
We use a white noise approach to study the problem of optimal inside control of a stochastic delay equation driven by a Brownian motion B and a Poisson random measure N. In particu…
Optimal insider control of stochastic partial differential equations
Olfa Draouil, Bernt Øksendal
We study the problem of optimal inside control of an SPDE (a stochastic evolution equation) driven by a Brownian motion and a Poisson random measure. Our optimal control problem is…
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…
Optimal insider control and semimartingale decompositions under enlargement of filtration
Olfa Draouil, Bernt Øksendal
We combine stochastic control methods, white noise analysis and Hida-Malliavin calculus applied to the Donsker delta functional to obtain new representations of semimartingale deco…
Stochastic differential games with inside information
Olfa Draouil, Bernt Øksendal
We study stochastic differential games of jump diffusions, where the players have access to inside information. Our approach is based on anticipative stochastic calculus, white noi…
Singular recursive utility
Kristina R. Dahl, Bernt Øksendal
We introduce the concept of singular recursive utility. This leads to a kind of singular BSDE which, to the best of our knowledge, has not been studied before. We show conditions f…
A Donsker delta functional approach to optimal insider control and applications to finance
Olfa Draouil, Bernt Øksendal
We study \emph{optimal insider control problems}, i.e. optimal control problems of stochastic systems where the controller at any time in addition to knowledge about the histor…
A continuous auction model with insiders and random time of information release
José Manuel Corcuera, Giulia Di Nunno, Gergely Farkas +1
In a unified framework we study equilibrium in the presence of an insider having information on the signal of the firm value, which is naturally connected to the fundamental price…
Singular mean-field control games with applications to optimal harvesting and investment problems
Yaozhong Hu, Bernt Øksendal, Agnès Sulem
This paper studies singular mean field control problems and singular mean field stochastic differential games. Both sufficient and necessary conditions for the optimal controls and…
Optimal multi-dimensional stochastic harvesting with density-dependent prices
Luis H. R. Alvarez, Edward Lungu, Bernt Øksendal
We prove a verification theorem for a class of singular control problems which model optimal harvesting with density-dependent prices or optimal dividend policy with capital-depend…
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…
Optimal control of systems with noisy memory and BSDEs with Malliavin derivatives
Kristina R. Dahl, Salah-Eldin A. Mohammed, Bernt Øksendal +1
In this article we consider a stochastic optimal control problem where the dynamics of the state process, , is a controlled stochastic differential equation with jumps, delay…