3 papers
math.PR2019
Stochastic Volterra integral equations and a class of first order stochastic partial differential equations
Fred Espen Benth, Nils Detering, Paul Kruehner
We investigate stochastic Volterra equations and their limiting laws. The stochastic Volterra equations we consider are driven by a Hilbert space valued \Levy noise and integration…
q-fin.MF2017
Dynamic trading under integer constraints
Stefan Gerhold, Paul Krühner
In this paper we investigate discrete time trading under integer constraints, that is, we assume that the offered goods or shares are traded in integer quantities instead of the us…
q-fin.MF2016
A Note on the Optimal Dividends Paid in a Foreign Currency
Julia Eisenberg, Paul Krühner
We consider an insurance entity endowed with an initial capital and a surplus process modelled as a Brownian motion with drift. It is assumed that the company seeks to maximise the…