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(Research report / Forskningsrapport, 2010)
(Research report / Forskningsrapport, 1997)
(Research report / Forskningsrapport, 1997)
(Research report / Forskningsrapport, 1998)
(Research report / Forskningsrapport, 1996)
(Research report / Forskningsrapport, 1992)
(Research report / Forskningsrapport, 1980)
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2014)
We study optimal stochastic control problems with jumps under model uncertainty. We rewrite such problems as stochastic differential games of forward–backward stochastic differential equations. We prove general stochastic ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2013)
We study stochastic differential games of jump diffusions driven by Brownian motions and compensated Poisson random measures, where one of the players can choose the stochastic control and the other player can decide when ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2014)
This paper is mainly a survey of recent research developments regarding methods for risk minimization in financial markets modeled by Itô-Lévy processes, but it also contains some new results on the underlying stochastic ...