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Now showing items 51-60 of 66
(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, 2009)
In this paper we introduce Skorohod-semimartingales as an expanded concept of classical semimartingales in the setting of Lévy processes. We show under mild conditions that Skorohod-semimartingales similarly to semimartingales ...
(Research report / Forskningsrapport, 2009)
In this paper, we study backward stochastic differential equations with respect to general filtrations. The results are used to find the optimal consumption rate for an insider from a cash flow modeled as a generalized ...
(Research report / Forskningsrapport, 2005)
We prove an existence and uniqueness result for a general class of backward stochastic partial differential equations with jumps. This is a type of equations which appear as adjoint equations in the maximum principle ...
(Research report / Forskningsrapport, 2004)
In this paper we obtain existence and uniqueness of solutions of forward stochastic differential equations driven by compensated Poisson random measures. To this end, an Itô-Ventzell formula for jump processes is proved ...
(Research report / Forskningsrapport, 2005)
We study impulse control problems of jump diffusions with delayed reaction. This means that there is a delay $\delta>0$ between the time when a decision for intervention is taken and the time when the intervention is ...
(Research report / Forskningsrapport, 2009)
We study an optimal stopping problem for a stochastic differential equation with delay driven by a Lévy noise. Approaching the problem by its infinite-dimensional representation, we derive conditions yielding an explicit ...
(Research report / Forskningsrapport, 2004)
We study a general optimal stopping problem for a strong Markov process in the case when there is a time lag $\delta>0$ from the time $\tau$ when the decision to stop is taken (a stopping time) to the time $\tau+\delta$ ...
(Research report / Forskningsrapport, 2005)
We present an optimal portfolio problem with logarithmic utility in the following 3 cases:
\begin{itemize}
\item[(i)] The classical case, with complete information from the market available to the agent at all times. ...
(Research report / Forskningsrapport, 2006)
We study the problem of optimal control of a jump diffusion, i.e. a process which is the solution of a stochastic differential equation driven by Lévy processes. It is required that the control process is adapted to a given ...