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(Research report / Forskningsrapport, 2004)
We consider the forward integral with respect to fractional Brownian motion B(H)(t) and relate this to the Wick-Itô-Skorohod integral by using the M-operator introduced by [10] and the Malliavin derivative DHt. Using this ...
(Research report / Forskningsrapport, 2004)
(Research report / Forskningsrapport, 2004)
(Research report / Forskningsrapport, 2004)
In this paper we first study the problem of minimal hedging for an insider trader in incomplete markets. We use the forward integral in order to model the insider portfolio and consider a general larger filtration. We ...
(Research report / Forskningsrapport, 2004)
In this paper we obtain existence and uniqueness of solutions of forward stochastic differential equations driven by compensated Poisson random measures. To this end, an Itô-Ventzell formula for jump processes is proved ...
(Research report / Forskningsrapport, 2004)
We study a general optimal stopping problem for a strong Markov process in the case when there is a time lag $\delta>0$ from the time $\tau$ when the decision to stop is taken (a stopping time) to the time $\tau+\delta$ ...