Search
Now showing items 1-5 of 5
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2014)
We give a short introduction to the stochastic calculus for Itô-Lévy processes and review briefly the two main methods of optimal control of systems described by such processes:
(i) Dynamic programming and the ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2014)
We study optimal stochastic control problems with jumps under model uncertainty. We rewrite such problems as stochastic differential games of forward–backward stochastic differential equations. We prove general stochastic ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2014)
We consider a financial market model with a single risky asset whose price process evolves according to a general jump-diffusion with locally bounded coefficients and where market participants have only access to a partial ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2014)
This paper is mainly a survey of recent research developments regarding methods for risk minimization in financial markets modeled by Itô-Lévy processes, but it also contains some new results on the underlying stochastic ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2014)
We consider general singular control problems for random fields given by a stochastic partial differential equation (SPDE). We show that under some conditions the optimal singular control can be identified with the solution ...