Browsing Matematisk institutt by Author "Menoukeu Pamen, Olivier"
Now showing items 1-12 of 12
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Meyer-Brandis, Thilo; Proske, Frank; Menoukeu Pamen, Olivier (Research report / Forskningsrapport, 2010)In this paper, we develop a variational approach to study perturbation problems of ordinary differential equations (ODE's) with discontinuous coefficients. We propose a mathematical framework which can be used to construct ...
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A general maximum principle for anticipative stochastic control and applications to insider trading Di Nunno, Giulia; Øksendal, Bernt; Menoukeu Pamen, Olivier; Proske, Frank (Research report / Forskningsrapport, 2009)In this paper we suggest a general stochastic maximum principle for optimal control of anticipating stochastic differential equations driven by a Lévy type of noise. We use techniques of Malliavin calculus and forward ...
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Momeya, Romuald; Menoukeu Pamen, Olivier (Research report / Forskningsrapport, 2011)In this paper, the option hedging problem for a Markov-modulated exponential Lévy model is examined. We employ the local risk-minimization approach to study optimal hedging strategies for Europeans derivatives under both ...
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Meyer-Brandis, Thilo; Proske, Frank; Salleh, Hassilah Binti; Menoukeu Pamen, Olivier (Research report / Forskningsrapport, 2007)In this paper we employ Malliavin calculus to derive a general stochastic maximum principle for stochastic partial di¨eremtial equations with jumps under partial information. We apply this result to solve an optimal ...
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Menoukeu Pamen, Olivier (Research report / Forskningsrapport, 2011)We consider a time-advanced backward stochastic di erential equations (AB-SDEs). We study Malliavin di erentiability of solutions of such equations and derive equations satis ed by the Malliavin derivative processes.
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Menoukeu Pamen, Olivier (Research report / Forskningsrapport, 2011)We prove an existence and uniqueness result for non-linear time-advanced backward stochastic partial di erential equations with jumps (ABSPDEJs). We then apply our results to study a time-advanced backward type of stochastic ...
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Kettler, Paul C.; Proske, Frank; Menoukeu Pamen, Olivier (Research report / Forskningsrapport, 2009)In this paper, we derive the evolution of a stock price from the dynamics of the "best bid" and "best ask". Under the assumption that the bid and ask prices are described by semimartingales, we study the completeness and ...
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Menoukeu Pamen, Olivier (Research report / Forskningsrapport, 2011)In this paper, we study a robust recursive utility maximization problem for time-delayed stochastic di erential equation with jumps. This problem can be written as a stochastic delayed di erential game. We suggest a maximum ...
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Menoukeu Pamen, Olivier; Ta, An Thi Kieu (Research report / Forskningsrapport, 2011)We study the problem of recursive utility maximization in the presence of nonlinear constraint on the wealth for a model driven by L evy processes. We extend the notion of W-divergence to vector valued functions and then ...
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Proske, Frank; Salleh, Hassilah Binti; Menoukeu Pamen, Olivier (Research report / Forskningsrapport, 2009)In this paper we use techniques of Malliavin calculus and forward integration to present a general stochastic maximum principle for anticipating stochastic differential equations driven by a Lévy type of noise. We apply ...
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Di Nunno, Giulia; Øksendal, Bernt; Proske, Frank; Menoukeu Pamen, Olivier (Research report / Forskningsrapport, 2009)In this paper we introduce Skorohod-semimartingales as an expanded concept of classical semimartingales in the setting of Lévy processes. We show under mild conditions that Skorohod-semimartingales similarly to semimartingales ...
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Meyer-Brandis, Thilo; Nilssen, Torstein Kastberg; Menoukeu Pamen, Olivier; Proske, Frank; Zhang, Tusheng (Research report / Forskningsrapport, 2011)