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math.OC2016
A white noise approach to optimal insider control of systems with delay
Olfa Draouil, Bernt Øksendal
We use a white noise approach to study the problem of optimal inside control of a stochastic delay equation driven by a Brownian motion B and a Poisson random measure N. In particu…
math.OC2016
Optimal insider control of stochastic partial differential equations
Olfa Draouil, Bernt Øksendal
We study the problem of optimal inside control of an SPDE (a stochastic evolution equation) driven by a Brownian motion and a Poisson random measure. Our optimal control problem is…