24 citations · 65 across the 23 of their papers we have counts for
4 papers · 1 filter
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…