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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, 2003)
We introduce the forward integral with respect to a pure jump Lévy process and we prove and formula for this integral. Then we use Mallivin calculus to establish a relationship between the forward integral and the Skorohod ...
(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, 2003)
No abstract
(Research report / Forskningsrapport, 2001)
We prove an existence and uniqueness result for a general class of backward stochastic partial differential equations. This is a type of equations which appear as adjoint equations in the maximum principle approach to ...
(Research report / Forskningsrapport, 2001)
We prove a sufficient maximum principle for the optimal control of systems described by a quasilinear stochastic heat equation. The result is applied to give a maximum principle solution method for stochastic control ...
(Research report / Forskningsrapport, 2009)
In this paper we suggest a general stochastic maximum principle for optimal control of anticipating stochastic differential equations driven by a Lévy type of noise. We use techniques of Malliavin calculus and forward ...
(Research report / Forskningsrapport, 2004)
In this paper we first study the problem of minimal hedging for an insider trader in incomplete markets. We use the forward integral in order to model the insider portfolio and consider a general larger filtration. We ...
(Research report / Forskningsrapport, 2000)
(Research report / Forskningsrapport, 2002)
We discuss the extension to the multi-dimensional case of the Wick-Itô integral with respect to fractional Brownian motion, introduced by [DHP] in the 1-dimensional case. We prove a multi-dimensional Itô type isometry for ...