3 papers
math.OC2014
Maximum principles for non-Markovian semi-martingales with jumps and more
Steffen Sjursen
We find a maximum principle for general non-Markovian semi-martingales. We do so by describing the adjoint processes with non-anticipating stochastic derivatives in a martingale ra…
q-fin.PR2013
Information and optimal investment in defaultable assets
Giulia Di Nunno, Steffen Sjursen
We study optimal investment in an asset subject to risk of default for investors that rely on different levels of information. The price dynamics can include noises both from a Wie…
math.PR2013
BSDEs driven by time-changed Lévy noises and optimal control
Giulia Di Nunno, Steffen Sjursen
We study backward stochastic differential equations (BSDEs) for time-changed Lévy noises when the time-change is independent of the Lévy process. We prove existence and uniqueness…