3 papers
math.OC2019
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…
q-fin.MF2018
Viable Insider Markets
Olfa Draouil, Bernt Øksendal
We consider the problem of optimal inside portfolio in a financial market with a corresponding wealth process modelled by \begin{align}\label{eq0.1} \begin{cas…
math.OC2017
Optimal insider control of stochastic Volterra equations
Olfa Draouil
We study the problem of optimal inside control of a stochastic Volterra equation driven by a Brownian motion and a Poisson random measure. We prove a sufficient and a necessary max…