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(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 ...
(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 ...
(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, ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2012)
In this paper, we initiate a study on optimal control problem for stochastic differential games under generalized expectation via backward stochastic differential equations and partial information. We first prove a sufficient ...