seeking Jens Olsen (Kjeldsrud)

I am trying to help my grandmother understand exactly when and how her Norwegian grandmother and great-grandfather emigrated from Norway. The family were Mormon converts. Family lore says two daughters arrived in the Utah territories in 1875 -- Annetta (b. 1859) and Josephine (b. 1862) Olsen (Olsdotter?). The story is they crossed the Atlantic in about 1871. My grandmother insists that the story is that they came alone, although their parents death records show they died in Utah. The parents are Jens Olsen Kjeldsrud (b. 1819) and Eline or Elena or Olena Henrichsen (b. 1825) (Henrichsdotter?) from Syverud. Another piece to the puzzle is that the girls' older sister Hedevig (b. 1849) came earlier and the girls "traveled through New Jersey not knowing they were so near to seeing her." She married a Charles Brandenburg, although I have no information on him other than a name. Any thoughts on where to begin looking? I've looked through the ships' records that have been transcribed and come up empty. Many thanks for any suggestions from the experts.