13 citations · 16 across the 3 of their papers we have counts for
5 papers
Stochastic systems with memory and jumps
D. R. Baños, F. Cordoni, G. Di Nunno +2
Stochastic systems with memory naturally appear in life science, economy, and finance. We take the modelling point of view of stochastic functional delay equations and we study the…
Mean-field delayed BSDEs in finite and infinite horizon
Nacira Agram, Elin Engen Røse
We establish sufficient conditions for the existence and uniqueness of different types of delayed BSDEs in finite time horizon. We consider then infinite horizon, replacing the ter…
A white noise approach to insider trading
Bernt Øksendal, Elin Røse
We present a new approach to the optimal portfolio problem for an insider with logarithmic utility. Our method is based on white noise theory, stochastic forward integrals, Hida-Ma…
Optimal control of forward-backward mean-field stochastic delayed systems
Nacira Agram, Elin Engen Rose
We study methods for solving stochastic control problems of systems of forward-backward mean-field equations with delay, in finite or infinite horizon. Necessary and sufficient max…
Optimal control of systems with noisy memory and BSDEs with Malliavin derivatives
Kristina R. Dahl, Salah-Eldin A. Mohammed, Bernt Øksendal +1
In this article we consider a stochastic optimal control problem where the dynamics of the state process, , is a controlled stochastic differential equation with jumps, delay…