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Backward Stochastic Partial Differential Equations with Jumps and Application to Optimal Control of Random Jump Fields 
Øksendal, Bernt; Proske, Frank; Zhang, Tusheng (Research report / Forskningsrapport, 2005)
We prove an existence and uniqueness result for a general class of backward stochastic partial differential equations with jumps. This is a type of equations which appear as adjoint equations in the maximum principle ...
Anticipative stochastic control for Lévy processes with application to insider trading Previous title: Optimal Portfolio for a "large" Insider in a Market driven by Lévy Processes 
Di Nunno, Giulia; Kohatsu-Higa, Arturo; Meyer-Brandis, Thilo; Øksendal, Bernt; Proske, Frank; Sulem, Agnès (Research report / Forskningsrapport, 2005)
An insider is an agent who has access to larger information than the one given by the development of the market events and who takes advantage of this in optimizing his position in the market. In this paper we consider the ...
 
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Date Issued
2005 (2)
Document Type
Forskningsrapport (2)
Author
Proske, Frank (2)
Øksendal, Bernt (2)
Di Nunno, Giulia (1)Kohatsu-Higa, Arturo (1)Meyer-Brandis, Thilo (1)... View More
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