1 citations · 5 across the 20 of their papers we have counts for
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q-fin.PM2015★ 1 cited
A white noise approach to insider trading
Bernt Øksendal, Elin Røse
We present a new approach to the optimal portfolio problem for an insider with logarithmic utility. Our method is based on white noise theory, stochastic forward integrals, Hida-Ma…
math.OC2015
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…