25 citations · 48 across the 12 of their papers we have counts for
6 papers · 1 filter
Buffered environmental contours
Kristina Rognlien Dahl, Arne Bang Huseby
The main idea of this paper is to use the notion of buffered failure probability from probabilistic structural design, to introduce buffered environmental contours. Classical envir…
A numerical method for solving stochastic differential equations with noisy memory
Kristina Rognlien Dahl
Stochastic differential equations with noisy memory are often impossible to solve analytically. Therefore, we derive a numerical Euler-Maruyama scheme for such equations and prove…
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…
A convex duality approach for pricing contingent claims under partial information and short selling constraints
Kristina Rognlien Dahl
We consider the pricing problem facing a seller of a contingent claim. We assume that this seller has some general level of partial information, and that he is not allowed to sell…