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