Blar i Publikasjoner fra CRIStin (NHH) på emneord "VDP::Mathematics and natural science: 400::Mathematics: 410"
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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 ... -
Spillovers from US monetary policy: evidence from a time varying parameter global vector auto-regressive model
(Journal article; Peer reviewed, 2019)The paper develops a global vector auto-regressive model with time varying parameters and stochastic volatility to analyse whether international spillovers of US monetary policy have changed over time. The model proposed ...