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(Research report / Forskningsrapport, 2002)
(Research report / Forskningsrapport, 2005)
An insider is an agent who has access to larger information than the one given by the development of the market events and who takes advantage of this in optimizing his position in the market. In this paper we consider the ...
(Research report / Forskningsrapport, 2009)
(Research report / Forskningsrapport, 2001)
(Research report / Forskningsrapport, 2001)
We give a short introduction to some of the theory and methods involved in We prove a verification theorem for a class of singular control problems which model optimal harvesting with density-dependent prices or optimal ...
(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, 2003)
We study the optimal portfolio problem for an insider, in the case that the performance is measured in terms of the logarithm of the terminal wealth minus a term measuring the roughness and the growth of the portfolio. We ...
(Research report / Forskningsrapport, 2000)
(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, 2000)