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math.OC2018
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…
math.OC2012★ 5 cited
A maximum principle for infinite horizon delay equations
N. Agram, S. Haadem, B. Øksendal +1
We prove a maximum principle of optimal control of stochastic delay equations on infinite horizon. We establish first and second sufficient stochastic maximum principles as well as…