Search
Now showing items 1-5 of 5
(Research report / Forskningsrapport, 2005)
In this paper we consider the problem to find a market portfolio that minimizes the convex risk measure of the terminal wealth in a jump diffusion market. We formulate the problem as a two player (zero-sum) stochastic ...
(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 ...
(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 ...
(Research report / Forskningsrapport, 2005)
We study impulse control problems of jump diffusions with delayed reaction. This means that there is a delay $\delta>0$ between the time when a decision for intervention is taken and the time when the intervention is ...
(Research report / Forskningsrapport, 2005)
We present an optimal portfolio problem with logarithmic utility in the following 3 cases:
\begin{itemize}
\item[(i)] The classical case, with complete information from the market available to the agent at all times. ...