Browsing Matematisk institutt by Author "Øksendal, Bernt"
Now showing items 1-20 of 186
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Corcuera, José Manuel; Di Nunno, Giulia; Farkas, Gergely; Øksendal, Bernt (Research report / Forskningsrapport, 2014)
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Øksendal, Bernt; Sulem, Agnès; Zhang, Tusheng (Research report / Forskningsrapport, 2013)We study optimal stochastic control problems of general coupled systems of forward- backward stochastic di erential equations with jumps. By means of the Itô-Ventzell formula the system is transformed to a controlled ...
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Draouil, Olfa; Øksendal, Bernt (Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2019)We use a white noise approach to study the problem of optimal insider control of a stochastic delay equation driven by a Brownian motion B and a Poisson random measure N. In particular, we use Hida-Malliavin calculus and ...
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Aase, Knut K.; Bjuland, Terje; Øksendal, Bernt (Research report / Forskningsrapport, 2010)
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Øksendal, Bernt; Sulem, Agnès (Research report / Forskningsrapport, 2009)
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Di Nunno, Giulia; Kohatsu-Higa, Arturo; Meyer-Brandis, Thilo; Øksendal, Bernt; Proske, Frank; Sulem, Agnès (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 ...
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Øksendal, Bernt; Våge, Gjermund; Zhao, Huaizhong (Research report / Forskningsrapport, 1998)
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Øksendal, Bernt; Zhang, Tusheng (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2012)In this paper, we study backward stochastic differential equations (BSDEs) with respect to general filtrations. We prove existence and uniqueness theorems for such BSDEs and we establish a comparison theorem. Reflected ...
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Øksendal, Bernt; Zhang, Tusheng (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 ...
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Øksendal, Bernt; Proske, Frank; Zhang, Tusheng (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 ...
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Øksendal, Bernt (Research report / Forskningsrapport, 1999)
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Holden, Helge; Lindstrøm, Tom; Øksendal, Bernt; Ubøe, Jan; Zhang, Tusheng (Research report / Forskningsrapport, 1993)
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Øksendal, Bernt; Proske, Frank; Signahl, Mikael (Research report / Forskningsrapport, 2009)In this paper we study the Cauchy problem for the wave equation with space-time Lévy noise initial data in the Kondratiev space of stochastic distributions. We prove that this problem has a strong and unique C2-solution, ...
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Hu, Yaozhong; Øksendal, Bernt (Research report / Forskningsrapport, 2000)
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Chancelier, Jean-Philippe; Øksendal, Bernt; Sulem, Agnès (Research report / Forskningsrapport, 2000)
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Agram, Nacira; Øksendal, Bernt (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2019)
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Holden, Helge; Lindstrøm, Tom; Øksendal, Bernt; Ubøe, Jan (Research report / Forskningsrapport, 1992)
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Holden, Helge; Lindstrøm, Tom; Øksendal, Bernt; Ubøe, Jan (Research report / Forskningsrapport, 1993)
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Mataramvura, Sure; Øksendal, Bernt; Proske, Frank (Research report / Forskningsrapport, 2003)We give an explicit formula for the Donsker delta function of a certain class of Lévy processes in the Lévy-Hida distribution space. As an application we use the Donsker delta function to derive an explicit chaos expansion ...
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Di Nunno, Giulia; Øksendal, Bernt (Research report / Forskningsrapport, 2004)