Finn forfatter "Ta, An Thi Kieu"
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Ta, An Thi Kieu (Research report / Forskningsrapport, 2005)In this paper a simple of combined singular stochastic control and optimal stopping in the jump-diffusion model is formulated and solved. We give sufficient conditions for the existence of an optimal strategy which has the ...
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Øksendal, Bernt; Proske, Frank; Ta, An Thi Kieu (Research report / Forskningsrapport, 2008)
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Ta, An Thi Kieu; Øksendal, Bernt (Research report / Forskningsrapport, 2010)
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Øksendal, Bernt; Ta, An Thi Kieu (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2012)In this paper, we initiate a study on optimal control problem for stochastic differential games under generalized expectation via backward stochastic differential equations and partial information. We first prove a sufficient ...
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Øksendal, Bernt; Ta, An Thi Kieu (Research report / Forskningsrapport, 2007)In this paper we first deal with the problem of optimal control for zero-sum stochastic differential games. We give a necessary and sufficient maximum principle for that problem with partial information. Then we use the ...
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Menoukeu Pamen, Olivier; Ta, An Thi Kieu (Research report / Forskningsrapport, 2011)We study the problem of recursive utility maximization in the presence of nonlinear constraint on the wealth for a model driven by L evy processes. We extend the notion of W-divergence to vector valued functions and then ...
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Proske, Frank; Rubtsov, Mark; Ta, An Thi Kieu (Research report / Forskningsrapport, 2010)In this paper we study the problem of risk indifference pricing of interest rate claims which are functionals of a bond yield surface under partial information. Our approach to solve this problem relies on a maximum principle ...
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Proske, Frank; Rubtsov, Mark; Ta, An Thi Kieu (Research report / Forskningsrapport, 2007)In this paper we aim at establishing a necessary and sufficient maximum principle for partial information control of general stochastic games, where the controlled process is given by a stochastic reaction-diffusion equation ...