List of papers.
Paper 1 / Chapter 2: On chaos representation and orthogonal polynomials for the doubly stochastic Poisson process, together with Giulia Di Nunno. Published in Seminar on stochastic analysis, random fields and applications VII, R. Daland, M. Dozzi and F. Russo (eds), vol 67 of Progress in Probability, Springer Basel 2013. doi:10.1007/978-3-0348-0545-2_2 The final publication is available at Springer.
Paper 2 / Chapter 3: BSDEs for time-changed Lévy processes and application to optimal control, together with Giulia Di Nunno. NOTICE: this is the author’s version of a work that was accepted for publication. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Stochastic Processes and their Applications Volume 124, Issue 4, April 2014, Pages 1679–1709 doi:10.1016/j.spa.2013.12.010 Also available in DUO as part of the preprint-series Pure mathematics http://urn.nb.no/URN:NBN:no-35676
Paper 3 / Chapter 4: Maximum principles for martingale random fields via non-anticipating stochastic derivatives. Submitted. Available in DUO as part of the preprint-series Pure mathematics http://urn.nb.no/URN:NBN:no-38134
Paper 4 / Chapter5: Information and optimal investment in defaultable assets, together with Giulia Di Nunno. Submitted. Available in DUO as part of the preprint-series Pure mathematics http://urn.nb.no/URN:NBN:no-28063