82 citations · 154 across the 37 of their papers we have counts for
3 papers · 1 filter
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…
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…
Sobolev differentiable stochastic flows for SDEs with singular coefficients: Applications to the transport equation
Salah-Eldin A. Mohammed, Torstein K. Nilssen, Frank N. Proske
In this paper, we establish the existence of a stochastic flow of Sobolev diffeomorphisms \[\mathbb{R}^d\ni x\quad\longmapsto\quadϕ_{s,t}(x)\in \mathbb{R}^d,\qquad s,t\in\mathbb{R}…