Blar i Articles (FOR) på emneord "VDP::Mathematics and natural science: 400::Mathematics: 410"
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A Maximum Principle Approach to Risk Indifference Pricing with Partial Information
(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 ... -
Holomorphic convexity and Carleman approximation by entire functions on Stein manifolds
(Journal article; Peer reviewed, 2011)We give necessary and sufficient conditions for totally real sets in Stein manifolds to admit Carleman approximation of class Ck , k ≥ 1, by entire functions. -
Optimal control with partial information for stochastic Volterra equations
(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
(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 ...