Browsing NHH Brage by Subject "Malliavin derivative"

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    • Optimal control of systems with noisy memory and BSDEs with Malliavin derivatives 

      Øksendal, Bernt; Mohammed, Salah-Eldin; Røse, Elin Engen; Dahl, Kristina Rognlien (Journal article; Peer reviewed, 2016)
      In this article we consider a stochastic optimal control problem where the dynamics of the state process, X(t), is a controlled stochastic differential equation with jumps, delay and noisy memory. The term noisy memory ...