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(Research report / Forskningsrapport, 2000)
(Research report / Forskningsrapport, 2000)
(Research report / Forskningsrapport, 2000)
(Research report / Forskningsrapport, 2000)
(Research report / Forskningsrapport, 2002)
(Research report / Forskningsrapport, 2001)
A Meyer-Tanaka formula involving weighted local time is derived for fractional Brownian motion and geometric fractional Brownian motion. The formula is applied to the study of the stop-loss-start-gain (SLSG) portfolio in ...
(Research report / Forskningsrapport, 2006)
We study a stochastic control problem where the state process is described by a stochastic differential equation driven by a Brownian motion and a Poisson random measure, being affine in both the state and the control. The ...
(Research report / Forskningsrapport, 2003)
We study the optimal portfolio problem for an insider, in the case that the performance is measured in terms of the logarithm of the terminal wealth minus a term measuring the roughness and the growth of the portfolio. We ...
(Research report / Forskningsrapport, 2001)
(Research report / Forskningsrapport, 2007)