1 citations · 5 across the 20 of their papers we have counts for
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A financial market with singular drift and no arbitrage
Nacira Agram, Bernt Øksendal
We study a financial market where the risky asset is modelled by a geometric Itô-Lévy process, with a singular drift term. This can for example model a situation where the asset pr…
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…
Strategic Insider Trading Equilibrium with a Non-fiduciary Market Maker
Knut Aase, Bernt Øksendal
The continuous-time version of Kyle's (1985) model is studied, in which market makers are not fiduciaries. They have some market power which they utilize to set the price to their…
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…