Finn forfatter "Haadem, Sven"

Viser treff 1-3 av 3

  • A maximum principle for infinite horizon delay equatations 
    Agram, Nacira; Haadem, Sven; Øksendal, Bernt; Proske, Frank Norbert (Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2013)
    We prove a maximum principle of optimal control of stochastic delay equations on infinite horizon. We establish first and second sufficient stochastic maximum principles as well as necessary conditions for that problem. ...
  • Maximum principles for jump diffusion processes with infinite horizon 
    Haadem, Sven; Øksendal, Bernt; Proske, Frank Norbert (Journal article / Tidsskriftartikkel / SubmittedVersion, 2013)
    We prove maximum principles for the problem of optimal control for a jump diffusion with infinite horizon and partial information. The results are applied to an optimal consumption and portfolio problem in infinite ...
  • Optimal stopping and stochastic control differential games for jump diffusions 
    Baghery, Fouzia; Haadem, Sven; Øksendal, Bernt; Turpin, Isabelle (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 ...