| dc.date.accessioned | 2013-07-08T12:54:25Z | |
| dc.date.available | 2013-07-08T12:54:25Z | |
| dc.date.created | 2013-06-20T20:44:08Z | |
| dc.date.issued | 2013 | |
| dc.identifier.uri | http://hdl.handle.net/10852/36012 | |
| dc.description.abstract | We find a maximum principle for processes driven by martingale random fields. We do so by describing the adjoint processes with non-anticipating stochastic derivatives. In the case of the Levy processes this mimics maximum principles with Malliavin derivatives, but we replace Malliavin differentiability conditions with L2-conditions. As an application we use the maximum principle to solve a portfolio optimization problem for assets with credit risk modeled by doubly stochastic Poisson processes. | |
| dc.language | EN | |
| dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
| dc.relation.ispartof | Preprint series: Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | |
| dc.relation.uri | http://urn.nb.no/URN:NBN:no-8076 | |
| dc.rights | © The Author(s) (2013). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
| dc.title | MAXIMUM PRINCIPLES FOR MARTINGALE RANDOM FIELDS VIA NON-ANTICIPATING STOCHASTIC DERIVATIVES | |
| dc.type | Research report | |
| dc.rights.holder | Copyright 2013 The Author(s) | |
| dc.creator.author | Sjursen, Steffen A. Søreide | |
| cristin.unitcode | 185,15,0,0 | |
| cristin.unitname | Det matematisk-naturvitenskapelige fakultet | |
| cristin.ispublished | true | |
| cristin.fulltext | preprint | |
| dc.identifier.cristin | 1035696 | |
| dc.identifier.pagecount | 19 | |
| dc.identifier.urn | URN:NBN:no-38134 | |
| dc.type.document | Forskningsrapport | |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/36012/2/Preprint_UiO.pdf | |