Bernt Øksendal, Agnès Sulem: search on Z-Library

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1

Risk minimization in financial markets modeled by Itô-Lévy processes

Øksendal, Bernt, Sulem, Agnès

Journal:

Afrika Matematika

Year:

2015

Language:

english

File:

PDF, 416 KB

english, 2015

2

Applied Stochastic Control of Jump Diffusions ||

Øksendal, Bernt, Sulem, Agnès

Year:

2007

Language:

english

File:

PDF, 109 KB

english, 2007

3

Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs

Nils Chr. Framstad, Bernt Øksendal, Agnès Sulem

Journal:

Journal of Mathematical Economics

Year:

2001

Language:

english

File:

PDF, 242 KB

english, 2001

4

Portfolio optimization under model uncertainty and BSDE games

Øksendal, Bernt, Sulem, Agnès

Journal:

Quantitative Finance

Year:

2011

Language:

english

File:

PDF, 186 KB

english, 2011

5

RISK INDIFFERENCE PRICING IN JUMP DIFFUSION MARKETS

Bernt Øksendal, Agnès Sulem

Journal:

Mathematical Finance

Year:

2009

Language:

english

File:

PDF, 157 KB

english, 2009

6

OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION

HU, YAOZHONG, ØKSENDAL, BERNT, SULEM, AGNÈS

Journal:

Infinite Dimensional Analysis Quantum Probability and Related Topics

Year:

2003

Language:

english

File:

PDF, 223 KB

english, 2003

7

OPTIMAL CONTROL OF STOCHASTIC DELAY EQUATIONS AND TIME-ADVANCED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS

BERNT ØKSENDAL, AGNÈS SULEM and TUSHENG ZHANG

Journal:

Advances in Applied Probability

Year:

2011

Language:

english

File:

PDF, 1.30 MB

english, 2011

8

Some Solvable Stochastic Control Problems With Delay

Elsanosi, Ismail, Øksendal, Bernt, Sulem, Agnès

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

2000

Language:

english

File:

PDF, 496 KB

english, 2000

9

Forward–Backward Stochastic Differential Games and Stochastic Control under Model Uncertainty

Bernt Øksendal, Agnès Sulem

Journal:

Journal of Optimization Theory and Applications

Year:

2014

Language:

english

File:

PDF, 990 KB

english, 2014

10

Market Viability and Martingale Measures under Partial Information

Fontana, Claudio, Øksendal, Bernt, Sulem, Agnès

Journal:

Methodology and Computing in Applied Probability

Year:

2015

Language:

english

File:

PDF, 606 KB

english, 2015

11

A stochastic maximum principle for processes driven by fractional Brownian motion

Francesca Biagini, Yaozhong Hu, Bernt Øksendal, Agnès Sulem

Journal:

Stochastic Processes and their Applications

Year:

2002

Language:

english

File:

PDF, 194 KB

english, 2002

12

Optimal Stochastic Impulse Control with Delayed Reaction

Bernt Øksendal, Agnès Sulem

Journal:

Applied Mathematics & Optimization

Year:

2008

Language:

english

File:

PDF, 379 KB

english, 2008

13

Singular mean-field control games

Hu, Yaozhong, Øksendal, Bernt, Sulem, Agnès

Journal:

Stochastic Analysis and Applications

Year:

2017

Language:

english

File:

PDF, 738 KB

english, 2017

14

Singular Control and Optimal Stopping of SPDEs, and Backward SPDEs with Reflection

Øksendal, Bernt, Sulem, Agnès, Zhang, Tusheng

Journal:

Mathematics of Operations Research

Year:

2014

Language:

english

File:

PDF, 305 KB

english, 2014

15

Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations

Øksendal, Bernt, Sulem, Agnès, Zhang, Tusheng

Journal:

Advances in Applied Probability

Year:

2011

Language:

english

File:

PDF, 218 KB

english, 2011

16

Stochastic Analysis with Applications to Mathematical Finance || An Introduction to White-Noise Theory and Malliavin Calculus for Fractional Brownian Motion

Francesca Biagini, Bernt Øksendal, Agnès Sulem and Naomi Wallner

Journal:

Proceedings Mathematical Physical & Engineering Sciences

Year:

2004

Language:

english

File:

PDF, 541 KB

english, 2004

17

Stochastic Control for Mean-Field Stochastic Partial Differential Equations with Jumps

Dumitrescu, Roxana, Øksendal, Bernt, Sulem, Agnès

Journal:

Journal of Optimization Theory and Applications

Year:

2018

Language:

english

File:

PDF, 494 KB

english, 2018

18

Dynamic Robust Duality in Utility Maximization

Øksendal, Bernt, Sulem, Agnès

Journal:

Applied Mathematics & Optimization

Year:

2017

Language:

english

File:

PDF, 635 KB

english, 2017

19

Singular Stochastic Control and Optimal Stopping with Partial Information of Itô--Lévy Processes

Øksendal, Bernt, Sulem, Agnès

Journal:

SIAM Journal on Control and Optimization

Year:

2012

Language:

english

File:

PDF, 309 KB

english, 2012

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