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Now showing items 21-30 of 63
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2016)
A celebrated financial application of convex duality theory gives an explicit relation between the following two quantities:
(i) The optimal terminal wealth X^*(T) : = X_{\varphi ^*}(T) of the problem to maximize the ...
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2016)
We study a coupled system of controlled stochastic differential equations (SDEs) driven by a Brownian motion and a compensated Poisson random measure, consisting of a forward SDE in the unknown process X(t) and a predictive ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2015)
Solutions of stochastic Volterra (integral) equations are not Markov processes, and therefore, classical methods, such as dynamic programming, cannot be used to study optimal control problems for such equations. However, ...
(Journal article / Tidsskriftartikkel / SubmittedVersion, 2016)
We combine stochastic control methods, white noise analysis, and Hida–Malliavin calculus applied to the Donsker delta functional to obtain explicit representations of semimartingale decompositions under enlargement of ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2016)
We study stochastic differential games of jump diffusions, where the players have access to inside information. Our approach is based on anticipative stochastic calculus, white noise, Hida–Malliavin calculus, forward ...
(Research report / Forskningsrapport, 2010)
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2015)
We study optimal insider control problems, i.e., optimal control problems of stochastic systems where the controller at any time t, in addition to knowledge about the history of the system up to this time, also has additional ...
(Research report / Forskningsrapport, 2011)
(Research report / Forskningsrapport, 2011)
(Research report / Forskningsrapport, 2010)
We study partial information, possibly non-Markovian, singular stochastic control of Itô-Lévy processes and obtain general maximum principles. The results are used to find connections between singular stochastic control, ...