Bernt Øksendal

Professor Emeritus - Department of Mathematics

CV

List of Publications

 

Tags: Mathematics, Stochastic analysis and finance and insurance and risk, Centre of Mathematics for Applications - CMA, Global South

Publications

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  • Di Nunno, Giulia & Øksendal, Bernt (ed.) (2011). Advanced Mathematical Methods for Finance. Springer.  ISBN 978-3-642-18411-6.  536 s.
  • Di Nunno, Giulia & Øksendal, Bernt (ed.) (2011). Advanced Mathematical Methods for Finance. Springer.  ISBN 978-3-642-18411-6.  536 s.
  • Holden, Helge; Øksendal, Bernt; Ubøe, Jan & Zhang, Tusheng (2010). Stochastic Partial Differential Equations. A Modeling, White Noise Functional Approach. Springer Science+Business Media B.V..  ISBN 978-0-387-89487-4.  305 s.
  • Holden, Helge; Øksendal, Bernt; Ubøe, Jan & Zhang, Tusheng (2009). Stochastic Partial Differential Equations. Springer.  ISBN 978-0-387-89487-4.  305 s.
  • Di Nunno, Giulia; Øksendal, Bernt & Proske, Frank (2009). Malliavin Calculus for Lévy Processes with Applications to Finance. Springer.  ISBN 9783540785712.  418 s.
  • Di Nunno, Giulia; Øksendal, Bernt & Proske, Frank Norbert (2009). Malliavin Calculus for Lévy Processes and Applications to Finance. Springer.  ISBN 978-3-540-78571-2.  413 s.
  • Biagini, Francesca; Hu, Yaozhong; Øksendal, Bernt & Zhang, Tusheng (2008). Stochastic Calculus for Fractional Brownian Motion and Applications. Springer.  ISBN 978-1-85233-996-8.  329 s.
  • Biagini, Francesca; Hu, Yaozhong; Øksendal, Bernt & Zhang, Tusheng (2008). Stochastic Calculus for Fractional Brownian Motion and Applications. Springer.  ISBN 9781852339968.  332 s.

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  • Dahl, Kristina Rognlien & Øksendal, Bernt (2015). Singular recursive utility.
  • Øksendal, Bernt & Sulem, Agnès (2015). Applications of stochastic analysis, In Nicholas J. Higham (ed.),  The Princeton Companion to Applied Mathematics.  Princeton University Press.  ISBN 978-0-691-15039-0.  IV.14.  s 319 - 327
  • Dahl, Kristina Rognlien; Øksendal, Bernt; Røse, Elin Engen & Mohammed, Salah-Eldin (2014). Optimal control of systems with noisy memory and BSDEs with Malliavin derivatives.
  • Øksendal, Bernt; Sulem, Agnès & Zhang, Tusheng (2014). A comparison theorem for backward SPDEs with jumps.
  • Øksendal, Bernt; Sulem, Agnès & Zhang, Tusheng (2014). A comparison theorem for backward SPDEs with jumps.
  • Aase, Knut; Bjuland, Terje & Øksendal, Bernt (2011). Insider trading with partially informed traders .
  • Biagini, Francesca; Meyer-Brandis, Thilo; Hu, Yaozhong & Øksendal, Bernt (2011). Insider trading equilibrium in a market with memory. Full text in Research Archive
  • Øksendal, Bernt (2011). Mathematics and Finance: The Black-Scholes Option Pricing Formula and Beyond. Full text in Research Archive
  • Øksendal, Bernt; Sandal, Leif Kristoffer & Ubøe, Jan (2011). Stochastic Stackelberg equilibria with applications to time dependent newsvendor models .
  • Øksendal, Bernt & Sulem, Agnès (2011). Forward-backward SDE games and stochastic control under model uncertainty. Full text in Research Archive
  • Øksendal, Bernt & Sulem, Agnès (2011). Portfolio optimization under model uncertainty and BSDE games. Full text in Research Archive
  • Øksendal, Bernt; Sulem, Agnès & Zhang, Tusheng (2011). Optimal partial information control of SPDEs with delay and time-advanced backward SPDEs. Full text in Research Archive
  • Øksendal, Bernt; Sulem, Agnès & Zhang, Tusheng (2011). Singular control of SPDEs and backward SPDEs with reflection. Full text in Research Archive
  • Aase, Knut K.; Bjuland, Terje & Øksendal, Bernt (2010). An anticipative linear filtering equation .
  • Aase, Knut K.; Bjuland, Terje & Øksendal, Bernt (2010). Strategic Insider Trading Equilibrium: A Filter Theory Approach .
  • Aase, Knut; Bjuland, Terje & Øksendal, Bernt (2010). An anticipative linear filtering equation. Full text in Research Archive
  • Aase, Knut; Bjuland, Terje & Øksendal, Bernt (2010). Strategic Insider Trading Equilibrium: A Filter Theory Approach. Full text in Research Archive
  • Ta, An Thi Kieu & Øksendal, Bernt (2010). A Maximum Principle for Stochastic Differential Games with g–expectations and partial information. Full text in Research Archive
  • Øksendal, Bernt & Sulem, Agnès (2010). Robust stochastic control and equivalent martingale measures. Full text in Research Archive
  • Øksendal, Bernt & Sulem, Agnès (2010). Singular stochastic control and optimal stopping with partial information of Itô-Lévy processes. Full text in Research Archive
  • Øksendal, Bernt; Sulem, Agnès & Zhang, Tusheng (2010). Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations. Full text in Research Archive
  • Øksendal, Bernt (2009). Optimal control of PDEs and forward-backward SDEs, with applications to risk minimization.
  • Øksendal, Bernt (2009). The Black-Scholes option pricing formula and beyond. Matilde, Dansk Matematisk Forening.  37, s 9- 14
  • An, TTK; Øksendal, Bernt & Proske, Frank (2008). A maximum principle approach to risk indifference pricing with partial information .

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Published Nov. 30, 2010 11:20 PM - Last modified Aug. 3, 2017 9:58 AM