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Uniqueness of Decompositions of Skorohod-Semimartingales 
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 ...
ON LOCAL TIMES: APPLICATION TO PRICING USING BID-ASK 
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 ...
Stochastic Differential Games in Insider Markets via Malliavin Calculus 
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 ...
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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Date Issued
2009 (4)
Document TypeForskningsrapport (4)Author
Menoukeu Pamen, Olivier (4)
Proske, Frank (4)Di Nunno, Giulia (2)Øksendal, Bernt (2)Kettler, Paul C. (1)... View More
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