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(Research report / Forskningsrapport, 2003)
We give a survey of the stochastic calculus of fractional Brownian motion, and we discuss its applications to financial markets where the prices are described as solutions of stochastic differential equations driven by ...
(Research report / Forskningsrapport, 2003)
(Research report / Forskningsrapport, 2003)
(Research report / Forskningsrapport, 2003)
We give an explicit formula for the Donsker delta function of a certain class of Lévy processes in the Lévy-Hida distribution space. As an application we use the Donsker delta function to derive an explicit chaos expansion ...
(Research report / Forskningsrapport, 2003)
We introduce the forward integral with respect to a pure jump Lévy process and we prove and formula for this integral. Then we use Mallivin calculus to establish a relationship between the forward integral and the Skorohod ...
(Research report / Forskningsrapport, 2003)
No abstract
(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 ...