• Optimal consumption and portfolio in a jump diffusion market 

      Framstad, Nils Christian; Øksendal, Bernt; Sulem, Agnès (Discussion paper, Working paper, 2001-06)
      We consider the problem of optimal consumption and portfolio in a jump diffusion market consisting of a bank account and a stock, whose price is modeled by a geometric Lévy process. We show that in the absence of transaction ...
    • Optimal control of predictive mean-field equations and applications to finance 

      Øksendal, Bernt; Sulem, Agnès (Peer reviewed; Journal article, 2016)
      We study a coupled system of controlled stochastic differential equations (SDEs) driven by a Brownian motion and a compensated Poisson random measure, consisting of a forward SDE in the unknown process X(t) and a predictive ...