13 citations · 16 across the 3 of their papers we have counts for
Showing 2015Show all
2 papers · 1 filter
math.OC2015★ 2 cited
Mean-field delayed BSDEs in finite and infinite horizon
Nacira Agram, Elin Engen Røse
We establish sufficient conditions for the existence and uniqueness of different types of delayed BSDEs in finite time horizon. We consider then infinite horizon, replacing the ter…
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…