Blar i Articles (FOR) på tidsskrift "Afrika Matematika"

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    • 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 ...

    • 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 ...