13 citations · 16 across the 3 of their papers we have counts for
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math.OC2015★ 2 cited
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…
math.OC2014
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…
math.OC2014
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…