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Now showing items 1-10 of 54
(Research report / Forskningsrapport, 2014)
(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 ...
(Research report / Forskningsrapport, 2011)
(Research report / Forskningsrapport, 2011)
(Research report / Forskningsrapport, 2011)
(Research report / Forskningsrapport, 2011)
We study optimal stochastic control problems under model uncertainty. We rewrite such problems as (zero-sum) stochastic di erential games of forward-backward stochastic di erential equations. We prove general stochastic ...