Now showing items 1-6 of 6

  • Draouil, Olfa; Øksendal, Bernt (Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2019)
    We use a white noise approach to study the problem of optimal insider control of a stochastic delay equation driven by a Brownian motion B and a Poisson random measure N. In particular, we use Hida-Malliavin calculus and ...
  • Draouil, Olfa; Øksendal, Bernt (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2015)
    We study optimal insider control problems, i.e., optimal control problems of stochastic systems where the controller at any time t, in addition to knowledge about the history of the system up to this time, also has additional ...
  • Øksendal, Bernt; Draouil, Olfa (Journal article / Tidsskriftartikkel / SubmittedVersion, 2016)
    We combine stochastic control methods, white noise analysis, and Hida–Malliavin calculus applied to the Donsker delta functional to obtain explicit representations of semimartingale decompositions under enlargement of ...
  • Draouil, Olfa; Øksendal, Bernt (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2017)
    We study the problem of optimal insider control of an SPDE (a stochastic evolution equation) driven by a Brownian motion and a Poisson random measure. Our optimal control problem is new in two ways: - The controller has ...
  • Øksendal, Bernt; Draouil, Olfa (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2016)
    We study stochastic differential games of jump diffusions, where the players have access to inside information. Our approach is based on anticipative stochastic calculus, white noise, Hida–Malliavin calculus, forward ...
  • Øksendal, Bernt; Draouil, Olfa (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2019)