Sökning: "Fred Espen Benth"

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1. 1. Contributions to the Stochastic Maximum Principle

   Författare :Daniel Andersson; Boualem Djehiche; Fred Espen Benth; KTH; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematical statistics; Matematisk statistik;

   Sammanfattning : This thesis consists of four papers treating the maximum principle for stochastic control problems. In the first paper we study the optimal control of a class of stochastic differential equations (SDEs) of mean-field type, where the coefficients are allowed to depend on the law of the process. LÄS MER