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Now showing items 31-40 of 54
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2012)
In this paper, we initiate a study on optimal control problem for stochastic differential games under generalized expectation via backward stochastic differential equations and partial information. We first prove a sufficient ...
(Research report / Forskningsrapport, 2011)
In this paper, we prove a maximum principle for general stochastic differential Stackelberg games, and apply the theory to continuous time newsvendor problems. In the newsvendor problem, a manufacturer sells goods to a ...
(Research report / Forskningsrapport, 2013)
We study optimal stochastic control problems of general coupled systems of forward- backward stochastic di erential equations with jumps. By means of the Itô-Ventzell formula the system is transformed to a controlled ...
(Research report / Forskningsrapport, 2010)
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2012)
In this paper, we study backward stochastic differential equations (BSDEs) with respect to general filtrations. We prove existence and uniqueness theorems for such BSDEs and we establish a comparison theorem. Reflected ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2017)
This article studies singular mean field control problems and singular mean field two-players stochastic differential games. Both sufficient and necessary conditions for the optimal controls and for the Nash equilibrium ...
(Research report / Forskningsrapport, 2013)
We consider a problem of optimal control of an infinite horizon system governed by forward-backward stochastic differential equations with delay. Sufficient and necessary maximum principles for optimal control under partial ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2014)
We give a short introduction to the stochastic calculus for Itô-Lévy processes and review briefly the two main methods of optimal control of systems described by such processes:
(i) Dynamic programming and the ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2017)
By a memory mean-field process we mean the solution X(\cdot ) of a stochastic mean-field equation involving not just the current state X(t) and its law \mathcal {L}(X(t)) at time t, but also the state values X(s) and its ...
(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 ...