Browsing Matematisk institutt by Author "Baghery, Fouzia"
Baghery, Fouzia; Øksendal, Bernt (Research report / Forskningsrapport, 2006)We study the problem of optimal control of a jump diffusion, i.e. a process which is the solution of a stochastic differential equation driven by Lévy processes. It is required that the control process is adapted to a given ...
Baghery, Fouzia; Haadem, Sven; Øksendal, Bernt; Turpin, Isabelle (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2013)We study stochastic differential games of jump diffusions driven by Brownian motions and compensated Poisson random measures, where one of the players can choose the stochastic control and the other player can decide when ...
Baghery, Fouzia; Haadem, Sven; Øksendal, Bernt; Turpin, Isabelle (Research report / Forskningsrapport, 2010)