25 citations · 48 across the 12 of their papers we have counts for
Showing 2019 · math.OCShow all
3 papers · 2 filters
math.OC2019
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…
math.OC2019★ 5 cited
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…
math.OC2019★ 1 cited
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…