Bernt Øksendal

Publication Activity (10 Years)

Years Active: 1998-2024
Publications (10 Years): 6

Top Topics

Hamilton Jacobi Bellman

Differential Equations

Infinite Horizon

Optimal Stopping

Top Venues

J. Optim. Theory Appl.

Syst. Control. Lett.

J. Appl. Probab.

J. Comput. Appl. Math.

Publications

Nacira Agram, Bernt Øksendal
Optimal stopping of conditional McKean-Vlasov jump diffusions. Syst. Control. Lett. 188 (2024)
Nacira Agram, Giulia Pucci, Bernt Øksendal
Impulse Control of Conditional McKean-Vlasov Jump Diffusions. J. Optim. Theory Appl. 200 (3) (2024)
Nacira Agram, Bernt Øksendal
Stochastic Fokker-Planck Equations for Conditional McKean-Vlasov Jump Diffusions and Applications to Optimal Control. SIAM J. Control. Optim. 61 (3) (2023)
Nacira Agram, Yaozhong Hu, Bernt Øksendal
Mean-field backward stochastic differential equations and applications. Syst. Control. Lett. 162 (2022)
Nacira Agram, Achref Bachouch, Bernt Øksendal, Frank Proske
Singular Control Optimal Stopping of Memory Mean-Field Processes. SIAM J. Math. Anal. 51 (1) (2019)
Roxana Dumitrescu, Bernt Øksendal, Agnès Sulem
Stochastic Control for Mean-Field Stochastic Partial Differential Equations with Jumps. J. Optim. Theory Appl. 176 (3) (2018)
Nacira Agram, Bernt Øksendal
Malliavin Calculus and Optimal Control of Stochastic Volterra Equations. J. Optim. Theory Appl. 167 (3) (2015)
Bernt Øksendal, Agnès Sulem
Forward-Backward Stochastic Differential Games and Stochastic Control under Model Uncertainty. J. Optim. Theory Appl. 161 (1) (2014)
Nacira Agram, Bernt Øksendal
Infinite horizon optimal control of forward-backward stochastic differential equations with delay. J. Comput. Appl. Math. 259 (2014)
Bernt Øksendal, Agnès Sulem, Tusheng Zhang
Singular Control and Optimal Stopping of SPDEs, and Backward SPDEs with Reflection. Math. Oper. Res. 39 (2) (2014)
Bernt Øksendal, Leif Sandal, Jan Ubøe
Stackelberg equilibria in a continuous-time vertical contracting model with uncertain demand and delayed information. J. Appl. Probab. 51 (A) (2014)
Sven Haadem, Bernt Øksendal, Frank Proske
Maximum principles for jump diffusion processes with infinite horizon. Autom. 49 (7) (2013)
Nacira Agram, Sven Haadem, Bernt Øksendal, Frank Proske
A Maximum Principle for Infinite Horizon Delay Equations. SIAM J. Math. Anal. 45 (4) (2013)
Bernt Øksendal, Agnès Sulem
Singular Stochastic Control and Optimal Stopping with Partial Information of Itô-Lévy Processes. SIAM J. Control. Optim. 50 (4) (2012)
Knut K. Aase, Terje Bjuland, Bernt Øksendal
An anticipative linear filtering equation. Syst. Control. Lett. 60 (7) (2011)
Bernt Øksendal, Agnès Sulem
Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps. SIAM J. Control. Optim. 48 (5) (2009)
Yaozhong Hu, Bernt Øksendal
Partial Information Linear Quadratic Control for Jump Diffusions. SIAM J. Control. Optim. 47 (4) (2008)
Bernt Øksendal, Agnès Sulem
Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs. SIAM J. Control. Optim. 40 (6) (2002)
Knut K. Aase, Bernt Øksendal, Nicolas Privault, Jan Ubøe
White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance. Finance Stochastics 4 (4) (2000)
Yaozhong Hu, Bernt Øksendal
Optimal time to invest when the price processes are geometric Brownian motions. Finance Stochastics 2 (3) (1998)