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(Research report / Forskningsrapport, 2006)
We consider a stochastic differential game in a financial jump diffusion market, where the agent chooses a portfolio which maximizes the utility of her terminal wealth, while the market chooses a scenario (represented by ...
(Research report / Forskningsrapport, 2006)
We use white noise calculus for Lévy processes to obtain a representation formula for the functionals of a jump diffusion. Then we use this to find an explicit formula for the Donsker delta function of a jump diffusion and ...
(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, 2006)
We study the problem of optimal control of a jump diffusion, i.e. a process which is the solution of a stochastic differential equation driven by Lévy processes. It is required that the control process is adapted to a given ...
(Research report / Forskningsrapport, 2006)
In a market driven by Lévy processes, we consider an optimal portfolio problem for a dealer who has access to some information in general smaller than the one generated by the market events, in this sense we refer to this ...