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(Research report / Forskningsrapport, 2010)
(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 ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2016)
(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 ...
(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 ...
(Research report / Forskningsrapport, 2010)
(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 ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2015)
Solutions of stochastic Volterra (integral) equations are not Markov processes, and therefore, classical methods, such as dynamic programming, cannot be used to study optimal control problems for such equations. However, ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2016)
We prove a verification theorem for a class of singular control problems which model optimal harvesting with density-dependent prices or optimal dividend policy with capital-dependent utilities. The result is applied to ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2016)
A celebrated financial application of convex duality theory gives an explicit relation between the following two quantities:
(i) The optimal terminal wealth X^*(T) : = X_{\varphi ^*}(T) of the problem to maximize the ...