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(Research report / Forskningsrapport, 2002)
(Research report / Forskningsrapport, 2007)
(Research report / Forskningsrapport, 2002)
(Research report / Forskningsrapport, 2006)
In a market driven by Lévy processes, we consider an optimal portfolio problem for a dealer who has access to some information in general smaller than the one generated by the market events, in this sense we refer to this ...
(Research report / Forskningsrapport, 2008)
We present various versions of the maximum principle for optimal control of forward-backward SDEs with jumps. Our study is motivated by risk minimization via g-expectations. We first prove a general sufficient maximum ...
(Research report / Forskningsrapport, 2008)
In this paper we consider a general partial information stochastic differential game where the state process is a controlled Itô-Lévy process. We use Malliavin calculus to derive a maximum principle for general stochastic ...