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(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2016)
(Journal article / Tidsskriftartikkel / SubmittedVersion, 2016)
We combine stochastic control methods, white noise analysis, and Hida–Malliavin calculus applied to the Donsker delta functional to obtain explicit representations of semimartingale decompositions under enlargement of ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2016)
We study stochastic differential games of jump diffusions, where the players have access to inside information. Our approach is based on anticipative stochastic calculus, white noise, Hida–Malliavin calculus, forward ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2016)
We prove a verification theorem for a class of singular control problems which model optimal harvesting with density-dependent prices or optimal dividend policy with capital-dependent utilities. The result is applied to ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2016)
A celebrated financial application of convex duality theory gives an explicit relation between the following two quantities:
(i) The optimal terminal wealth X^*(T) : = X_{\varphi ^*}(T) of the problem to maximize the ...
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2016)
We study a coupled system of controlled stochastic differential equations (SDEs) driven by a Brownian motion and a compensated Poisson random measure, consisting of a forward SDE in the unknown process X(t) and a predictive ...