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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 ...
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 (2)
Document TypeForskningsrapport (2)Author
Di Nunno, Giulia (2)
Menoukeu Pamen, Olivier (2)Proske, Frank (2)
Øksendal, Bernt (2)
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