Blar i Articles (FOR) på forfatter "Øksendal, Bernt"
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A Donsker delta functional approach to optimal insider control and applications to finance
Draouil, Olfa; Øksendal, Bernt (Journal article; Peer reviewed, 2015)We study optimal insider control problems, i.e. optimal control problems of stochastic systems where the controller at any time t, in addition to knowledge about the history of the system up to this time, also has ... -
A Maximum Principle Approach to Risk Indifference Pricing with Partial Information
An, Ta Thi Kieu; Øksendal, Bernt; Proske, Frank (Journal article, 2008)We consider the problem of risk indifference pricing on an incomplete market, namely on a jump diffusion market where the controller has limited access to market information. We use the maximum principle for stochastic ... -
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 ... -
Optimal control of systems with noisy memory and BSDEs with Malliavin derivatives
Øksendal, Bernt; Mohammed, Salah-Eldin; Røse, Elin Engen; Dahl, Kristina Rognlien (Journal article; Peer reviewed, 2016)In this article we consider a stochastic optimal control problem where the dynamics of the state process, X(t), is a controlled stochastic differential equation with jumps, delay and noisy memory. The term noisy memory ... -
Optimal control with partial information for stochastic Volterra equations
Øksendal, Bernt; Zhang, Tusheng (Journal article; Peer reviewed, 2010)In the first part of the paper we obtain existence and characterizations of an optimal control for a linear quadratic control problem of linear stochastic Volterra equations. In the second part, using the Malliavin calculus ... -
Optimal control with partial information for stochastic Volterra equations
Øksendal, Bernt; Zhang, Tusheng (Journal article; Peer reviewed, 2010)In the first part of the paper we obtain existence and characterizations of an optimal control for a linear quadratic control problem of linear stochastic Volterra equations. In the second part, using the Malliavin ... -
Optimal multi-dimensional stochastic harvesting with density-dependent prices
Alvarez, Luis H.; Lungu, Edward; Øksendal, Bernt (Journal article; Peer reviewed, 2016)We prove a verification theorem for a class of singular control problems which model optimal harvesting with density-dependent prices or optimal dividend policy with capitaldependent utilities. The result is applied to ... -
Stackelberg equilibria in continuous newsvendor models with uncertain demand and delayed information
Øksendal, Bernt; Sandal, Leif Kristoffer; Ubøe, Jan (Journal article; Peer reviewed, 2014)We consider explicit formulae for equilibrium prices in a continuous-time vertical contracting model. A manufacturer sells goods to a retailer, and the objective of both parties is to maximize expected profits. Demand ... -
Stochastic Stackelberg equilibria with applications to time-dependent newsvendor models
Øksendal, Bernt; Sandal, Leif Kristoffer; Ubøe, Jan (Journal article; Peer reviewed, 2013)In this paper, we prove a maximum principle for general stochastic differential Stackelberg games, and apply the theory to continuous time newsvendor problems. In the newsvendor problem, a manufacturer sells goods to a ... -
Strategic insider trading equilibrium: A filter theory approach
Aase, Knut K.; Bjuland, Terje; Øksendal, Bernt (Journal article; Peer reviewed, 2012)The continuous-time version of Kyle’s (Econometrica 53(6):1315–1336, 1985 ) model of asset pricing with asymmetric information is studied, and generalized in various directions, i.e., by allowing time-varying liquidity ...