5 citations · 9 across the 6 of their papers we have counts for
6 papers · 1 filter
Environmental contours and optimal design
Kristina Rognlien Dahl, Arne Bang Huseby
Classical environmental contours are used in structural design in order to obtain upper bounds on the failure probabilities of a large class of designs. Buffered environmental cont…
A duopoly preemption game with two alternative stochastic investment choices
Kristina Rognlien Dahl, Espen Stokkereit
This paper studies a duopoly investment model with uncertainty. There are two alternative irreversible investments. The first firm to invest gets a monopoly benefit for a specified…
Stochastic maximum principle with Lagrange multipliers and optimal consumption with Lévy wage
Kristina Rognlien Dahl, Espen Stokkereit
We show how a stochastic version of the Lagrange multiplier method can be combined with the stochastic maximum principle for jump diffusions to solve certain constrained stochastic…
Pricing of claims in discrete time with partial information
Kristina Rognlien Dahl
We consider the pricing problem of a seller with delayed price information. By using Lagrange duality, a dual problem is derived, and it is proved that there is no duality gap. Thi…
Management of a hydropower system via convex duality
Kristina Rognlien Dahl
We consider the problem of managing a hydroelectric power plant system. The system consists of N hydropower dams, which all have some maximum production capacity. The inflow to the…
Forward Backward Stochastic Differential Equation Games with Delay and Noisy Memory
Kristina Rognlien Dahl
The main goal of this paper is to study a stochastic game connected to a system of forward backward stochastic differential equations (FBSDEs) involving delay and so-called noisy m…