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Now showing items 21-30 of 34
(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 ...
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2019)
We use a white noise approach to study the problem of optimal insider control of a stochastic delay equation driven by a Brownian motion B and a Poisson random measure N. In particular, we use Hida-Malliavin calculus and ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2019)
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2019)
Our purpose of this paper is to study stochastic control problems for systems driven by mean-field stochastic differential equations with elephant memory, in the sense that the system (like the elephants) never forgets its ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2019)
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2018)
In this paper, we study strongly robust optimal control problems under volatility uncertainty. In the G-framework, we adapt the stochastic maximum principle to find necessary and sufficient conditions for the existence of ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2019)
The purpose of this paper is to study the following topics and the relation between them: (i) Optimal singular control of mean-field stochastic differential equations with memory; (ii) reflected advanced mean-field backward ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2012)
In this paper, we initiate a study on optimal control problem for stochastic differential games under generalized expectation via backward stochastic differential equations and partial information. We first prove a sufficient ...
Stackelberg equilibria in continuous newsvendor models with uncertain demand and delayed information
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2014)
We consider explicit formulae for equilibrium prices in a continuous-time vertical contracting model. A manufacturer sells goods to a retailer, and the objective of both parties is to maximize expected profits. Demand is ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2018)