Publications
Academic research in stochastic control, game theory, and mathematical finance
5
Total Publications
145
Total Citations
3
Journal Articles
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A maximum principle for infinite horizon delay equations
N. Agram, S. Haadem, B. Øksendal, F. Proske
SIAM Journal on Mathematical Analysis, 45 (2013)
We prove a stochastic maximum principle for controlled systems with delay in the state and in the control.
Optimal stopping and stochastic control differential games for jump diffusions
F. Baghery, S. Haadem, B. Øksendal, I. Turpin
Stochastics: An International Journal of Probability and Stochastic Processes, 85, pp. 85-97 (2012)
We study optimal stopping and stochastic control differential games for jump diffusion processes.
A maximum principle for fractional diffusion processes with infinite horizon
S. Haadem
arXiv (2012)
arXiv: 1206.3432v2We develop a maximum principle for stochastic control problems involving fractional diffusion processes.
Maximum principles for jump diffusion processes with infinite horizon
S. Haadem, B. Øksendal, F. Proske
Automatica, 49, pp. 2267-2275 (2012)
We establish maximum principles for optimal control of jump diffusion processes over an infinite time horizon.
Research Interests
Areas of academic focus and expertise
Primary Research Areas
• Stochastic Control Theory
• Maximum Principles for Jump Diffusions
• Differential Game Theory
• Risk Measures in Mathematical Finance
• Fractional Diffusion Processes
Applications
• Financial Mathematics
• Optimal Control Problems
• Risk Management
• Quantitative Finance
• Machine Learning in Finance
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I'm always open to discussing research opportunities and collaborations in stochastic control, mathematical finance, and related fields.
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