24 citations · 65 across the 23 of their papers we have counts for
4 papers · 2 filters
Optimal insider control and semimartingale decompositions under enlargement of filtration
Olfa Draouil, Bernt Øksendal
We combine stochastic control methods, white noise analysis and Hida-Malliavin calculus applied to the Donsker delta functional to obtain new representations of semimartingale deco…
Stochastic differential games with inside information
Olfa Draouil, Bernt Øksendal
We study stochastic differential games of jump diffusions, where the players have access to inside information. Our approach is based on anticipative stochastic calculus, white noi…
Singular recursive utility
Kristina R. Dahl, Bernt Øksendal
We introduce the concept of singular recursive utility. This leads to a kind of singular BSDE which, to the best of our knowledge, has not been studied before. We show conditions f…
A Donsker delta functional approach to optimal insider control and applications to finance
Olfa Draouil, Bernt Øksendal
We study \emph{optimal insider control problems}, i.e. optimal control problems of stochastic systems where the controller at any time in addition to knowledge about the histor…