13 citations · 16 across the 3 of their papers we have counts for
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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…