24 citations · 65 across the 23 of their papers we have counts for
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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…
math.OC2012★ 2 cited
Maximum principles for jump diffusion processes with infinite horizon
Sven Haadem, Bernt Øksendal, Frank Proske
We prove maximum principles for the problem of optimal control for a jump diffusion with infinite horizon and partial information. The results are applied to partial information op…