1 citations · 2 across the 5 of their papers we have counts for
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Pricing of European options in incomplete jump diffusion markets
Nacira Agram, Bernt Øksendal
We study option prices in financial markets where the risky asset prices are modelled by jump diffusions. It was proposed by Schweizer (1996) in a general semimartingale setting, f…
Singular optimal control of stochastic Volterra integral equations
Nacira Agram, Saloua Labed, Bernt Øksendal +1
This paper deals with optimal combined singular and regular controls for stochastic Volterra integral equations, where the solution X^{u,ξ}(t)=X(t) is given by X(t) =ϕ(t)+\int_{0}^…
A new approach to optimal stopping for Hunt processes
Achref Bachouch, Olfa Draouil, Bernt Øksendal
In this paper we present a new verification theorem for optimal stopping problems for Hunt processes. The approach is based on the Fukushima-Dynkin formula, and its advantage is th…
Introduction to White Noise, Hida-Malliavin Calculus and Applications
Nacira Agram, Bernt Øksendal
The purpose of these lectures is threefold: We first give a short survey of the Hida white noise calculus, and in this context we introduce the Hida-Malliavin derivative as a stoch…
Optimal control of predictive mean-field equations and applications to finance
Bernt Øksendal, Agnès Sulem
We study a coupled system of controlled stochastic differential equations (SDEs) driven by a Brownian motion and a compensated Poisson random measure, consisting of a forward SDE i…