24 citations · 65 across the 23 of their papers we have counts for
8 papers · 1 filter
A continuous auction model with insiders and random time of information release
José Manuel Corcuera, Giulia Di Nunno, Gergely Farkas +1
In a unified framework we study equilibrium in the presence of an insider having information on the signal of the firm value, which is naturally connected to the fundamental price…
Singular mean-field control games with applications to optimal harvesting and investment problems
Yaozhong Hu, Bernt Øksendal, Agnès Sulem
This paper studies singular mean field control problems and singular mean field stochastic differential games. Both sufficient and necessary conditions for the optimal controls and…
Optimal multi-dimensional stochastic harvesting with density-dependent prices
Luis H. R. Alvarez, Edward Lungu, Bernt Øksendal
We prove a verification theorem for a class of singular control problems which model optimal harvesting with density-dependent prices or optimal dividend policy with capital-depend…
Malliavin calculus and optimal control of stochastic Volterra equations
Nacira Agram, Bernt Øksendal
Solutions of stochastic Volterra (integral) equations are not Markov processes, and therefore classical methods, like dynamic programming, cannot be used to study optimal control p…
Optimal control of systems with noisy memory and BSDEs with Malliavin derivatives
Kristina R. Dahl, Salah-Eldin A. Mohammed, Bernt Øksendal +1
In this article we consider a stochastic optimal control problem where the dynamics of the state process, , is a controlled stochastic differential equation with jumps, delay…
A comparison theorem for backward SPDEs with jumps
Bernt Øksendal, Agnès Sulem, Tusheng Zhang
In this paper we obtain a comparison theorem for backward stochastic partial differential equation (SPDEs) with jumps. We apply it to introduce space-dependent convex risk measures…
Optimal control with delayed information flow of systems driven by -Brownian motion
Francesca Biagini, Thilo Meyer-Brandis, Bernt Øksendal +1
In this paper we study strongly robust optimal control problems under volatility uncertainty. In the -framework we adapt the stochastic maximum principle to find necessary and s…
Risk minimization in financial markets modeled by Itô-Lévy processes
Bernt Øksendal, Agnès Sulem
This paper is mainly a survey of recent research developments regarding methods for risk minimization in financial markets modeled by Itô-Lévy processes, but it also contains some…