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Now showing items 31-34 of 34
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2017)
We introduce the concept of singular recursive utility. This leads to a kind of singular backward stochastic differential equation (BSDE) which, to the best of our knowledge, has not been studied before. We show conditions ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2019)
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2019)
We consider the problem of optimal singular control of a stochastic partial differential equation (SPDE) with space-mean dependence. Such systems are proposed as models for population growth in a random environment. We ...
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2020)
We study a financial market where the risky asset is modelled by a geometric Itô-Lévy process, with a singular drift term. This can for example model a situation where the asset price is partially controlled by a company ...