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STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS DRIVEN BY MULTI-PARAMETER WHITE NOISE OF LÉVY PROCESSES 
Øksendal, Bernt (Research report / Forskningsrapport, 2007)
We give a short introduction to the white noise theory for multiparameter Lévy processes and its application to stochastic partial differential equations driven by such processes. Examples include temperature distribution ...
Risk indifference pricing in jump diffusion markets 
Øksendal, Bernt; Sulem, Agnès (Research report / Forskningsrapport, 2007)
Fractional Brownian Motion in Finance 
Øksendal, Bernt (Research report / Forskningsrapport, 2003)
We give a survey of the stochastic calculus of fractional Brownian motion, and we discuss its applications to financial markets where the prices are described as solutions of stochastic differential equations driven by ...
A stochastic maximum principle for processes driven by fractional Brownian motion. 
Biagini, Francesca; Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnès (Research report / Forskningsrapport, 2000)
Optimal consumtion and portfolio in a Black-Scholes market driven by fractional Brownian motion 
Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnès (Research report / Forskningsrapport, 2000)
Maximum principles for optimal control of forward-backward stochastic differential equations with jumps 
Øksendal, Bernt; Sulem, Agnès (Research report / Forskningsrapport, 2008)
We present various versions of the maximum principle for optimal control of forward-backward SDEs with jumps. Our study is motivated by risk minimization via g-expectations. We first prove a general sufficient maximum ...
A MAXIMUM PRINCIPLE FOR STOCHASTIC DIFFERENTIAL GAMES WITH PARTIAL INFORMATION 
Øksendal, Bernt; Ta, An Thi Kieu (Research report / Forskningsrapport, 2007)
In this paper we first deal with the problem of optimal control for zero-sum stochastic differential games. We give a necessary and sufficient maximum principle for that problem with partial information. Then we use the ...
Partial observation control in an anticipating environment. 
Øksendal, Bernt; Sulem, Agnès (Research report / Forskningsrapport, 2003)
Stochastic Partial Differential Equations driven by Lévy Space-Time White Noise 
Løkka, Arne; Øksendal, Bernt; Proske, Frank (Research report / Forskningsrapport, 2002)
In this paper we develop a white noise framework for the study of stochastic partial differential equations driven by a d-parameter (pure jump) Lévy white noise. As an example we use this theory to solve the stochastic ...
A Malliavin calculus approach to general stochastic differential games with partial information 
Yolcu Okur, Yeliz; Øksendal, Bernt; Ta, An Thi Kieu (Research report / Forskningsrapport, 2008)
In this paper we consider a general partial information stochastic differential game where the state process is a controlled Itô-Lévy process. We use Malliavin calculus to derive a maximum principle for general stochastic ...
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