Browsing Matematisk institutt by Author "Øksendal, Bernt"
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Øksendal, Bernt (Research report / Forskningsrapport, 1989)

Agram, Nacira; Øksendal, Bernt (Research report / Forskningsrapport, 2013)We consider a problem of optimal control of an infinite horizon system governed by forwardbackward stochastic differential equations with delay. Sufficient and necessary maximum principles for optimal control under partial ...

Agram, Nacira; Øksendal, Bernt (Journal article / Tidsskriftartikkel / SubmittedVersion, 2014)We consider a problem of optimal control of an infinite horizon system governed by forward–backward stochastic differential equations with delay. Sufficient and necessary maximum principles for optimal control under partial ...

Biagini, Francesca; MeyerBrandis, Thilo; Hu, Yaozhong; Øksendal, Bernt (Research report / Forskningsrapport, 2011)

Aase, Knut K.; Bjuland, Terje; Øksendal, Bernt (Research report / Forskningsrapport, 2011)The single auction equilibrium of Kyle's (1985) is studied, in which noise traders may be partially informed, or alternatively they can be manipulated. Unlike Kyle's assumption that the quantity traded by the noise traders ...

Lèfevre, David; Øksendal, Bernt; Sulem, Agnès (Research report / Forskningsrapport, 2001)We give a short introduction to some of the theory and methods involved in stochastic control with partial observation. As an illustration we use the stochastic maximum principle and the KalmanBucy filter to solve explicitly ...

Biagini, Francesca; Øksendal, Bernt; Sulem, Agnès; Wallner, Naomi (Research report / Forskningsrapport, 2003)No abstract

Hu, Yaozhong; Lindstrøm, Tom; Øksendal, Bernt; Ubøe, Jan; Zhang, Tusheng (Research report / Forskningsrapport, 1993)

Øksendal, Bernt; Zhang, Tusheng (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 ItôVentzell formula for jump processes is proved ...

Corcuera, José Manuel; Farkas, Gergely; Di Nunno, Giulia; Øksendal, Bernt (Research report / Forskningsrapport, 2010)The continuoustime version of Kyle's [6] model, known as the Back's [2] model, of asset pricing with asymmetric information, is studied. A larger class of price processes and a larger classes of noise traders' processes ...

Hu, Yaozhong; Øksendal, Bernt (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2019)

Di Nunno, Giulia; MeyerBrandis, Thilo; Øksendal, Bernt; Proske, Frank (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 ...

Agram, Nacira; Øksendal, Bernt (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2015)Solutions of stochastic Volterra (integral) equations are not Markov processes, and therefore, classical methods, such as dynamic programming, cannot be used to study optimal control problems for such equations. However, ...

Yolcu Okur, Yeliz; Øksendal, Bernt; Ta, An Thi Kieu (Research report / Forskningsrapport, 2008)In this paper we consider a general partial information stochastic differential game where the state process is a controlled ItôLévy process. We use Malliavin calculus to derive a maximum principle for general stochastic ...

Fontana, Claudio; Øksendal, Bernt; Sulem, Agnès (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2014)We consider a financial market model with a single risky asset whose price process evolves according to a general jumpdiffusion with locally bounded coefficients and where market participants have only access to a partial ...

Øksendal, Bernt (Research report / Forskningsrapport, 2010)

Øksendal, Bernt; Proske, Frank; Ta, An Thi Kieu (Research report / Forskningsrapport, 2008)

Agram, Nacira; Haadem, Sven; Øksendal, Bernt; Proske, Frank Norbert (Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2013)We prove a maximum principle of optimal control of stochastic delay equations on infinite horizon. We establish first and second sufficient stochastic maximum principles as well as necessary conditions for that problem. ...

Haadem, Sven; Øksendal, Bernt; Proske, Frank; Agram, Nacira (Research report / Forskningsrapport, 2012)We prove a maximum principle of optimal control of stochastic delay equations on infinite horizon. We establish first and second sufficient stochastic maximum principles as well as necessary conditions for that problem. ...

Øksendal, Bernt; Sulem, Agnès (Research report / Forskningsrapport, 2000)