Browsing Publikasjoner fra CRIStin (NHH) by Author "Øksendal, Bernt"
Now showing items 1-5 of 5
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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 ... -
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 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 ...