Now showing items 1-10 of 10

  • Dahl, Kristina Rognlien; Stokkereit, Espen (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2019)
    This paper studies a duopoly investment model with uncertainty. There are two alternative irreversible investments. The first firm to invest gets a monopoly benefit for a specified period of time. The second firm to invest ...
  • Dahl, Kristina Rognlien; Huseby, Arne (Chapter / Bokkapittel / AcceptedVersion; Peer reviewed, 2018)
    The main idea of this paper is to use the notion of buffered failure probability from probabilistic structural design, first introduced by Rockafellar & Royset (2010), to introduce buffered environmental contours. Classical ...
  • Dahl, Kristina Rognlien (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2016)
    We consider the pricing problem facing a seller of a contingent claim. We assume that this seller has some general level of partial information, and that he is not allowed to sell short in certain assets. This pricing ...
  • Dahl, Kristina Rognlien (Doctoral thesis / Doktoravhandling, 2016)
  • Dahl, Geir; Dahl, Kristina Rognlien (Research report / Forskningsrapport, 2012)
  • Dahl, Kristina Rognlien (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2019)
    We consider a stochastic hydroelectric power plant management problem in discrete time with arbitrary scenario space. The inflow to the system is some stochastic process, representing the precipitation to each dam. The ...
  • Dahl, Kristina Rognlien; Mohammed, Salah-Eldin; Øksendal, Bernt; Røse, Elin Engen (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2016)
  • Dahl, Kristina Rognlien (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2013)
    We consider the pricing problem of a seller with delayed price information. By using Lagrange duality, a dual problem is derived, and it is proved that there is no duality gap. This gives a characterization of the seller’s ...
  • Dahl, Kristina Rognlien; Øksendal, Bernt (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2017)
    We introduce the concept of singular recursive utility. This leads to a kind of singular backward stochastic differential equation (BSDE) which, to the best of our knowledge, has not been studied before. We show conditions ...
  • Dahl, Kristina Rognlien; Stokkereit, Espen (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2015)
    We show how a stochastic version of the Lagrange multiplier method can be combined with the stochastic maximum principle for jump diffusions to solve certain constrained stochastic optimal control problems. Two different ...