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(Research report / Forskningsrapport, 2007)
(Research report / Forskningsrapport, 2007)
The continuous-time version of Kyle's (1985) model of asset pricing with asymmetric information is studied, and generalized in various directions, i.e., by allowing time-varying noise trading, and by allowing the orders ...
(Research report / Forskningsrapport, 2007)
In this paper we first deal with the problem of optimal control for zero-sum stochastic differential games. We give a necessary and sufficient maximum principle for that problem with partial information. Then we use the ...
(Research report / Forskningsrapport, 2007)
We give a short introduction to the white noise theory for multiparameter Lévy processes and its application to stochastic partial differential equations driven by such processes. Examples include temperature distribution ...
(Research report / Forskningsrapport, 2007)