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Backward stochastic differential equations with respect to general filtrations and applications to insider finance 
Øksendal, Bernt; Zhang, Tusheng (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2012)
In this paper, we study backward stochastic differential equations (BSDEs) with respect to general filtrations. We prove existence and uniqueness theorems for such BSDEs and we establish a comparison theorem. Reflected ...
Stochastic control of Itô-Lévy processes with applications to finance 
Øksendal, Bernt; Sulem, Agnès (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 ...
Forward-Backward Stochastic Differential Games and Stochastic Control under Model Uncertainty 
Øksendal, Bernt; Sulem, Agnès (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 ...
Market Viability and Martingale Measures under Partial Information 
Fontana, Claudio; Øksendal, Bernt; Sulem, Agnès (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 ...
Optimal stopping and stochastic control differential games for jump diffusions 
Baghery, Fouzia; Haadem, Sven; Øksendal, Bernt; Turpin, Isabelle (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2013)
We study stochastic differential games of jump diffusions driven by Brownian motions and compensated Poisson random measures, where one of the players can choose the stochastic control and the other player can decide when ...
Risk minimization in financial markets modeled by Itô-Lévy processes 
Øksendal, Bernt; Sulem, Agnès (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 ...
Partially informed noise traders 
Aase, Knut K.; Bjuland, Terje; Øksendal, Bernt (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2012)
The single auction equilibrium of Kyle’s (1985) is studied, in which noise traders may be partially informed, or alternatively they can be manipulated. Unlike Kyle’s assumption that the quantity traded by the noise traders ...
A maximum principle for infinite horizon delay equatations 
Agram, Nacira; Haadem, Sven; Øksendal, Bernt; Proske, Frank Norbert (Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2013)
We prove a maximum principle of optimal control of stochastic delay equations on infinite horizon. We establish first and second sufficient stochastic maximum principles as well as necessary conditions for that problem. ...
Singular stochastic control and optimal stopping with partial information of itô-lévy processes 
Øksendal, Bernt; Sulem, Agnès (Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2012)
We study partial information, possibly non-Markovian, singular stochastic control of Itô--Lévy processes and obtain general maximum principles. The results are used to find connections between singular stochastic control, ...
Singular control and optimal stopping of SPDEs, and backward SPDEs with reflection 
Øksendal, Bernt; Sulem, Agnès; Zhang, Tusheng (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 ...
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Øksendal, Bernt (24)
Sulem, Agnès (9)Agram, Nacira (3)Draouil, Olfa (3)Dahl, Kristina Rognlien (2)... View MorePeer Reviewed
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