Browsing NHH Brage by Journals "Springer Proceedings in Mathematics & statistics"
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Optimal control of predictive mean-field equations and applications to finance
(Peer reviewed; Journal article, 2016)We study a coupled system of controlled stochastic differential equations (SDEs) driven by a Brownian motion and a compensated Poisson random measure, consisting of a forward SDE in the unknown process X(t) and a predictive ...