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Now showing items 11-20 of 34
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2019)
We use a white noise approach to study the problem of optimal insider control of a stochastic delay equation driven by a Brownian motion B and a Poisson random measure N. In particular, we use Hida-Malliavin calculus and ...
Stackelberg equilibria in continuous newsvendor models with uncertain demand and delayed information
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2014)
We consider explicit formulae for equilibrium prices in a continuous-time vertical contracting model. A manufacturer sells goods to a retailer, and the objective of both parties is to maximize expected profits. Demand is ...
(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 ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2019)
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2019)
We consider the problem of optimal singular control of a stochastic partial differential equation (SPDE) with space-mean dependence. Such systems are proposed as models for population growth in a random environment. We ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2019)
Our purpose of this paper is to study stochastic control problems for systems driven by mean-field stochastic differential equations with elephant memory, in the sense that the system (like the elephants) never forgets its ...
(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 ...
(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 ...