Browsing Matematisk institutt by Author "Framstad, Nils Christian"
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Framstad, Nils Christian (Research report / Forskningsrapport, 2002)This paper shows a version of Arrow's generalization of Mangasarian's sufficient conditions valid for controlled stochastic differential equations driven by semimartingales. The infinite case is covered. An example is given.
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Framstad, Nils Christian (Research report / Forskningsrapport, 2001)The problem of irreversibly harvesting from a general one dimensional (Wiener-Poisson) jump diffusion population model is studied. For a wide class of models, including stochastic generalizations of the logistic model ...
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Framstad, Nils Christian (Research report / Forskningsrapport, 2002)It is well known that a wide range of impulse control problems are continuous, but not differentiable, with respect to intervention cost as it approaches zero. We show a similar non-C1 result, assuming that the problem and ...
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Framstad, Nils Christian; Øksendal, Bernt; Sulem, Agnès (Research report / Forskningsrapport, 2000)
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Framstad, Nils Christian (Research report / Forskningsrapport, 2000)
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Framstad, Nils Christian (Research report / Forskningsrapport, 2001)While it is common knowledge that portfolio separation in a continuous-time lognormal market is due to the basic properties of the normal distribution, the usual exposition found in text books relies on dynamic programming ...
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Framstad, Nils Christian (Research report / Forskningsrapport, 2001)When portfolio choice in discontinuous asset price models is considered, the possibility of a jump to 0 is often overlooked. We solve the Merton problem for a (modified) HARA agent in a geometric Lévy market where the ...
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Framstad, Nils Christian (Research report / Forskningsrapport, 2001)For a wide class of models concerning the optimal harvesting of a natural resource, an expected profit maximizer will not deplete the resource completely if its relative growth rate is strictly greater than the interest ...
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Framstad, Nils Christian; Øksendal, Bernt; Sulem, Agnès (Research report / Forskningsrapport, 2001)We give a verification theorem by employing Arrow's generalization of the Mangasarian sufficient condition to a general jump diffusion setting, and show the adjoint processes' connections to dynamic programming. The result ...