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9 documents classés par : Date Titre Nom du premier auteur Type de documents Date de dépôt

Viability and martingale measures under partial information Claudio F., Oksendal B., Sulem A. N° RR-8243 (2013) [hal-00789517 - version 1]

Singular control of SPDEs and backward SPDEs with reflection Oksendal B., Sulem A., Zhang T. N° RR-7791 (2011) [hal-00639550 - version 1]

Forward-backward SDE games and stochastic control under model uncertainty Oksendal B., Sulem A. N° RR-7776 (2011) [inria-00635520 - version 1]

Singular stochastic control and optimal stopping with partial information of Itô--Lévy processes Oksendal B., Sulem A. N° RR-7708 (2011) [inria-00614279 - version 1]

Robust stochastic control and equivalent martingale measures Oksendal B., Sulem A. N° RR-7557 (2011) [inria-00573117 - version 1]

Portfolio optimization under model uncertainty and BSDE games Oksendal B., Sulem A. N° RR-7554 (2011) [inria-00570532 - version 1]

Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations Oksendal B., Sulem A., Zhang T. N° RR-7518 (2011) [inria-00560229 - version 1]

An anticipative stochastic calculus approach to pricing in markets driven by Lévy processes Oksendal B., Sulem A. N° RR-7127 (2009) [inria-00439350 - version 1]

Optimal Consumption and Portfolio in a Jump Diffusion Market with Proportional Transaction Costs Framstad N. C., Oksendal B., Sulem A. N° RR-3749 (1999) [inria-00072913 - version 1]