Stochastic optimal control and time changed Lévy noises
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- Matematisk institutt [3772]
Abstract
No abstract.List of papers
Paper I / 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. The published version of this paper is available at: https://doi.org/10.1007/978-3-0348-0545-2_2 |
Paper II / 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. The published version of this paper is available at: https://doi.org/10.1016/j.spa.2013.12.010 |
Paper II / Chapter 3: Also available in DUO as part of the preprint-series Pure mathematics http://urn.nb.no/URN:NBN:no-35676 |
Paper III / 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 IV / 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 |