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(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2018)
In this paper, we study strongly robust optimal control problems under volatility uncertainty. In the G-framework, we adapt the stochastic maximum principle to find necessary and sufficient conditions for the existence of ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2018)
(Journal article / Tidsskriftartikkel / SubmittedVersion, 2018)
We study optimal control for mean-field stochastic partial differential equations (stochastic evolution equations) driven by a Brownian motion and an independent Poisson random measure, in case of partial information ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2018)
The classical maximum principle for optimal stochastic control states that if a control û is optimal, then the corresponding Hamiltonian has a maximum at u=û. The first proofs for this result assumed that the control did ...