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Stochastic process
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the stochastic maximum principle
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Aase, Knut K.
8
Øksendal, Bernt K.
7
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Di Nunno, Giulia
3
Proske, Frank
3
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2
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The value of information in stochastic control and finance
Øksendal, Bernt K.
- In:
Australian economic papers
44
(
2005
)
4
,
pp. 352-364
Persistent link: https://www.econbiz.de/10003236998
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2
Explicit representation of the minimal variance portfolio in markets driven by Lévy processes
Benth, Fred Espen
;
Di Nunno, Giulia
;
Løkka, Arne
; …
- In:
Mathematical finance : an international journal of …
13
(
2003
)
1
,
pp. 55-72
Persistent link: https://www.econbiz.de/10001765640
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3
A general maximum principle for anticipative stochastic control and applications to insider trading
Di Nunno, Giulia
;
Pamen, Olivier Menoukeu
;
Øksendal, …
- In:
Advanced mathematical methods for finance
,
(pp. 181-221)
.
2011
Persistent link: https://www.econbiz.de/10008991293
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4
Singular control and optimal stopping of SPDEs, and backward SPDEs with reflection
Øksendal, Bernt K.
;
Sulem, Agnès
;
Zhang, Tusheng
- In:
Mathematics of operations research
39
(
2014
)
2
,
pp. 464-486
Persistent link: https://www.econbiz.de/10010384186
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5
Anticipative stochastic control for Lévy processes with application to insider trading
Sulem, Agnès
;
Kohatsu-Higa, Arturo
;
Øksendal, Bernt K.
; …
-
2009
Persistent link: https://www.econbiz.de/10003827062
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6
A financial market with singular drift and no arbitrage
Agram, Nacira
;
Øksendal, Bernt K.
- In:
Mathematics and financial economics
15
(
2021
)
3
,
pp. 477-500
Persistent link: https://www.econbiz.de/10012586178
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7
Deep learning for quadratic hedging in incomplete jump market
Agram, Nacira
;
Øksendal, Bernt K.
;
Rems, Jan
- In:
Digital finance : smart data analytics, investment …
6
(
2024
)
3
,
pp. 463-499
Persistent link: https://www.econbiz.de/10015078228
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8
The perpetual American put option for jump-diffusions
Aase, Knut K.
- In:
Energy, natural resources and environmental economics
,
(pp. 493-507)
.
2010
Persistent link: https://www.econbiz.de/10008652291
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9
Using option pricing theory to infer about equity premiums
Aase, Knut K.
(
contributor
)
-
2005
Persistent link: https://www.econbiz.de/10003209519
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10
Recursive utility using the stochastic maximum principle
Aase, Knut K.
- In:
Quantitative economics : QE ; journal of the …
7
(
2016
)
3
,
pp. 859-887
Persistent link: https://www.econbiz.de/10011793548
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