Nacira Agram
University of Oslo
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Publication
Featured researches published by Nacira Agram.
Journal of Optimization Theory and Applications | 2015
Nacira Agram; Bernt Øksendal
Solutions of stochastic Volterra (integral) equations are not Markov processes, and therefore, classical methods, such as dynamic programming, cannot be used to study optimal control problems for such equations. However, we show that using Malliavin calculus, it is possible to formulate modified functional types of maximum principle suitable for such systems. This principle also applies to situations where the controller has only partial information available to base her decisions upon. We present both a Mangasarian sufficient condition and a Pontryagin-type maximum principle of this type, and then, we use the results to study some specific examples. In particular, we solve an optimal portfolio problem in a financial market model with memory.
Journal of Computational and Applied Mathematics | 2014
Nacira Agram; Bernt Øksendal
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 information in infinite horizon are derived. We illustrate our results by an application to a problem of optimal consumption with respect to recursive utility from a cash flow with delay.
arXiv: Optimization and Control | 2018
Nacira Agram; Elin Engen Røse
We study methods for solving stochastic control problems of systems offorward–backward mean-field equations with delay, in finite and infinite time horizon.Necessary and sufficient maximum principles under partial information are given. The results are applied to solve a mean-field recursive utility optimal problem.
arXiv: Optimization and Control | 2016
Nacira Agram; Bernt Øksendal
Applied Mathematics and Optimization | 2017
Nacira Agram; Bernt Øksendal
arXiv: Optimization and Control | 2016
Nacira Agram; Bernt Øksendal; Samia Yakhlef
arXiv: Optimization and Control | 2012
Sven Haadem; Bernt Øksendal; Frank Proske; Nacira Agram
arXiv: Optimization and Control | 2017
Nacira Agram; Bernt Øksendal; Samia Yakhlef
arXiv: Optimization and Control | 2016
Nacira Agram
arXiv: Optimization and Control | 2018
Nacira Agram; Yaozhong Hu; Bernt Øksendal