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(Research report / Forskningsrapport, 2008)
(Research report / Forskningsrapport, 2009)
In the first part of the paper, we obtain existence and characterizations of an optimal control for a linear quadratic control problem of linear stochastic Volterra equations. In the second part, using the Malliavin calculus ...
(Research report / Forskningsrapport, 2009)
In this paper we study the Cauchy problem for the wave equation with space-time Lévy noise initial data in the Kondratiev space of stochastic distributions. We prove that this problem has a strong and unique C2-solution, ...
(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, 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, 2004)
(Research report / Forskningsrapport, 2004)
(Research report / Forskningsrapport, 2001)
A Meyer-Tanaka formula involving weighted local time is derived for fractional Brownian motion and geometric fractional Brownian motion. The formula is applied to the study of the stop-loss-start-gain (SLSG) portfolio in ...
(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, 2001)
We give a verification theorem by employing Arrow's generalization of the Mangasarian sufficient condition to a general jump diffusion setting, and show the adjoint processes' connections to dynamic programming. The result ...