14 citations · 35 across the 16 of their papers we have counts for
4 papers · 1 filter
A stochastic HJB equation for optimal control of forward-backward SDEs
Bernt Øksendal, Agnès Sulem, Tusheng Zhang
We study optimal stochastic control problems of general coupled systems of forward-backward stochastic differential equations with jumps. By means of the Itô-Ventzell formula the s…
Generalized Dynkin Games and Doubly Reflected BSDEs with Jumps
Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem
We introduce a generalized Dynkin game problem with non linear conditional expectation induced by a Backward Stochastic Differential Equation (BSDE) with jumps. Let $ξ,…
Dynamic robust duality in utility maximization
Bernt Øksendal, Agnès Sulem
A celebrated financial application of convex duality theory gives an explicit relation between the following two quantities: (i) The optimal terminal wealth …
Market viability and martingale measures under partial information
Claudio Fontana, Bernt Øksendal, Agnès Sulem
We consider a financial market model with a single risky asset whose price process evolves according to a general jump-diffusion with locally bounded coefficients and where market…