5 citations · 8 across the 12 of their papers we have counts for
4 papers · 1 filter
SPDE Games Driven by a Brownian Sheet with Applications to Pollution Minimization
Nacira Agram, Bernt Øksendal, Frank Proske +1
This paper studies a nonzero-sum stochastic differential game in the context of shared spatial-domain pollution control. The pollution dynamics are governed by a stochastic partial…
Optimal control of SPDEs driven by time-space Brownian motion
Nacira Agram, Bernt Øksendal, Frank Proske +1
In this paper we study a Pontryagin type stochastic maximum principle for the optimal control of a system, where the state dynamics satisfy a stochastic partial differential equati…
On the Theoretical Properties of Noise Correlation in Stochastic Optimization
Aurelien Lucchi, Frank Proske, Antonio Orvieto +2
Studying the properties of stochastic noise to optimize complex non-convex functions has been an active area of research in the field of machine learning. Prior work has shown that…
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…