1 citations · 1 across the 3 of their papers we have counts for
3 papers
math.OC2020
A PDE approach for open-loop equilibriums in time-inconsistent stochastic optimal control problems
Ishak Alia
This paper studies open-loop equilibriums for a general class of time-inconsistent stochastic control problems under jump-diffusion SDEs with deterministic coefficients. Inspired b…
math.OC2020
On Stochastic Maximum Principle: A Backward Stochastic Partial Differential Equations Point of View
Ishak Alia, Mohamed Sofiane Alia
In this paper, we consider a class of stochastic control problems for stochastic differential equations with random coefficients. The control domain need not to be convex but the c…
math.OC2015★ 1 cited
The Maximum Principle in Time-Inconsistent LQ Optimal Control Problem for Jump Diffusions
Ishak Alia, Farid Chighoub, Ayesha Sohail
In this paper, we consider a general time-inconsistent optimal control problem for a non homogeneous linear system, in which its state evolves according to a stochastic differentia…