Bernt Øksendal

• Agram, Nacira & Øksendal, Bernt (2014). Infinite horizon optimal control of forward-backward stochastic differential equations with delay. Journal of Computational and Applied Mathematics.  ISSN 0377-0427.  259, s 336- 349 . doi: 10.1016/j.cam.2013.04.048
• Corcuera, Jose Manuel; Di Nunno, Giulia; Farkas, Gergely & Øksendal, Bernt (2014). A continuous auction model with insiders and random time of information release. Prepint Series - Pure Mathematics.  ISSN 0806-2439.  (3)
• Fontana, Claudio; Øksendal, Bernt & Sulem, Agnes Biacobroda (2014). Market Viability and Martingale Measures under Partial Information. Methodology and Computing in Applied Probability.  ISSN 1387-5841.
• Øksendal, Bernt; Sandal, Leif Kristoffer & Ubøe, Jan (2014). Stackelberg equilibria in a continuous-time vertical contracting model with uncertain demand and delayed information. Journal of Applied Probability.  ISSN 0021-9002.  51A, s 213- 226 . doi: 10.1239/jap/1417528477
• Øksendal, Bernt & Sulem, Agnès (2014). Forward-Backward Stochastic Differential Games and Stochastic Control under Model Uncertainty. Journal of Optimization Theory and Applications.  ISSN 0022-3239.  161(1), s 22- 55 . doi: 10.1007/s10957-012-0166-7
• Øksendal, Bernt & Sulem, Agnes Biacobroda (2014). Risk minimization in financial markets modeled by Itô-Lévy processes. Afrika Matematika.  ISSN 1012-9405. . doi: 10.1007/s13370-014-0248-9
• Øksendal, Bernt & Sulem, Agnes Biacobroda (2014). Stochastic control of Itô-Lévy processes with applications to finance . Communications on Stochastic Analysis.  ISSN 0973-9599.  8(1), s 1- 15
• Øksendal, Bernt; Sulem, Agnès & Zhang, Tusheng (2014). Singular control and optimal stopping of SPDEs, and backward SPDEs with reflection. Mathematics of Operations Research.  ISSN 0364-765X.  39(2), s 464- 486 . doi: 10.1287/moor.2013.0602
• Agram, Nacira; Haadem, Sven; Øksendal, Bernt & Proske, Frank Norbert (2013). A maximum principle for infinite horizon delay equatations. SIAM Journal on Mathematical Analysis.  ISSN 0036-1410.  45(4), s 2499- 2522 . doi: 10.1137/120882809
• Agram, Nacira; Haadem, Sven; Øksendal, Bernt & Proske, Frank Norbert (2013). A maximum principle for infinite horizon delay equations. SIAM Journal on Mathematical Analysis.  ISSN 0036-1410.  45, s 2499- 2522 . doi: 10.1137/120882809
• Agram, Nacira & Øksendal, Bernt (2013). Infinite horizon optimal control of forward-backward stochastic differential equations with delay. Prepint Series - Pure Mathematics.  ISSN 0806-2439.
• Baghery, Fouzia; Haadem, Sven; Øksendal, Bernt & Turpin, Isabella (2013). Optimal stopping and stochastic control differential games for jump diffusions. Stochastics: An International Journal of Probability and Stochastic Processes.  ISSN 1744-2508.  85(1), s 85- 97 . doi: 10.1080/17442508.2011.652116
• Haadem, Sven; Øksendal, Bernt & Proske, Frank Norbert (2013). Maximum principles for jump diffusion processes with infinite horizon. Automatica.  ISSN 0005-1098.  49(7), s 2267- 2275 . doi: 10.1016/j.automatica.2013.04.011
• Øksendal, Bernt; Sandal, Leif Kristoffer & Ubøe, Jan (2013). Stochastic Stackelberg equilibria with applications to time-dependent newsvendor models. Journal of Economic Dynamics and Control.  ISSN 0165-1889.  37(7), s 1284- 1299 . doi: 10.1016/j.jedc.2013.02.010
• Øksendal, Bernt & Sulem, Agnès (2013). A stochastic control approach to robust duality in utility maximization. Prepint Series - Pure Mathematics.  ISSN 0806-2439.
• Øksendal, Bernt; Sulem, Agnès & Zhang, Tusheng (2013). A stochastic HJB equation for optimal control of forward-backward SDEs. Prepint Series - Pure Mathematics.  ISSN 0806-2439.
• Aase, Knut; Bjuland, Terje & Øksendal, Bernt (2012). Partially informed noise traders. Mathematics and Financial Economics.  ISSN 1862-9679.  6(2), s 93- 104 . doi: 10.1007/s11579-012-0075-4
• Aase, Knut; Bjuland, Terje & Øksendal, Bernt (2012). Strategic insider trading equilibrium: A filter theory approach. Afrika Matematika.  ISSN 1012-9405.  23, s 145- 162 . doi: 10.1007/s13370-011-0026-x
• Agram, Nacira; Haadem, Sven; Øksendal, Bernt & Proske, Frank Norbert (2012). A MAXIMUM PRINCIPLE FOR INFINITE HORIZON DELAY EQUATIONS. Prepint Series - Pure Mathematics.  ISSN 0806-2439.  4
• Haadem, Sven; Øksendal, Bernt & Proske, Frank Norbert (2012). Maximum principles for jump diffusion processes with infinite horizon. Prepint Series - Pure Mathematics.  ISSN 0806-2439.  April(3)
• Meyer-Brandis, Thilo; Hu, Yaozhong; Øksendal, Bernt & Biagini, Francesca (2012). Insider trading equilibrium in a market with memory. Mathematics and Financial Economics.  ISSN 1862-9679.  6, s 229- 247
• Meyer-Brandis, Thilo; Øksendal, Bernt & Zhou, Xunyu (2012). A mean-field stochastic maximum principle via Malliavin calculus. Stochastics: An International Journal of Probability and Stochastic Processes.  ISSN 1744-2508.  84(5-6), s 643- 666 . doi: 10.1080/17442508.2011.651619
• Øksendal, Bernt & Sulem, Agnes (2012). Singular stochastic control and optimal stopping with partial information of itô-lévy processes. SIAM Journal of Control and Optimization.  ISSN 0363-0129.  50(4), s 2254- 2287 . doi: 10.1137/100793931
• Øksendal, Bernt; Sulem, Agnès & Zhang, Tusheng (2012). Optimal partial information control of SPDEs with delay and time-advanced backward SPDEs, In Tusheng Zhang & Xunyu Zhou (ed.),  Stochastic Analysis and Applications to Finance.  World Scientific.  ISBN 978-981-4383-57-8.  Artikkel.
• Øksendal, Bernt & Ta, An Thi Kieu (2012). A maximum principle for stochastic differential games with g-expectations and partial information. Stochastics: An International Journal of Probability and Stochastic Processes.  ISSN 1744-2508.  84(2-3), s 137- 155 . doi: 10.1080/17442508.2010.532875
• Øksendal, Bernt & Zhang, Tusheng (2012). Backward stochastic differential equations with respect to general filtrations and applications to insider finance. Communications on Stochastic Analysis.  ISSN 0973-9599.  6(4), s 703- 722
• Aase, Knut Kristian; Bjuland, Terje & Øksendal, Bernt (2011). An anticipative linear filtering equation. Systems & control letters (Print).  ISSN 0167-6911.  60(7), s 468- 471 . doi: 10.1016/j.sysconle.2011.04.001
• Aase, Knut Kristian; Bjuland, Terje & Øksendal, Bernt (2011). Insider trading with partially informed traders. Prepint Series - Pure Mathematics.  ISSN 0806-2439.  (16)
• Baghery, Fouzia; Haadem, Sven; Turpin, Isabella & Øksendal, Bernt (2011). Optimal stopping and stochastic control differential games for jump diffusions. Stochastics: An International Journal of Probability and Stochastic Processes.  ISSN 1744-2508. . doi: 10.1080/17442508.2011.652116
• Di Nunno, Giulia; Pamen, Olivier Menoukeu; Øksendal, Bernt & Proske, Frank Norbert (2011). A general maximum principle for anticipative stochastic control and applications to insider trading, In Giulia Di Nunno & Bernt Øksendal (ed.),  Advanced Mathematical Methods for Finance.  Springer.  ISBN 978-3-642-18411-6.  Chapter.  s 181 - 221
• Di Nunno, Giulia; Øksendal, Bernt; Menoukeu Pamen, Olivier & Proske, Frank Norbert (2011). Uniqueness of Decompositions of Skorohod-Semimartingales. Infinite Dimensional Analysis Quantum Probability and Related Topics.  ISSN 0219-0257.  14(1), s 15- 24 . doi: 10.1142/S0219025711004274
• Federico, Salvatore & Øksendal, Bernt (2011). Optimal stopping of stochastic differential equations with delay driven by Lévy noise. Potential Analysis.  ISSN 0926-2601.  34(2), s 181- 198 . doi: 10.1007/s11118-010-9187-8
• Øksendal, Bernt; Aase, Knut & Bjuland, Terje (2011). Strategic insider trading equilibrium: A filter theory approach. Afrika Matematika.  ISSN 1012-9405. . doi: 10.1007/s13370-011-0026-x
• Øksendal, Bernt; Sandal, Leif Kristoffer & Ubøe, Jan (2011). Stochastic Stackelberg equilibria with applications to time dependent newsvendor models. Prepint Series - Pure Mathematics.  ISSN 0806-2439.
• Øksendal, Bernt & Sulem, Agnès (2011). Portfolio optimization under model uncertainty and BSDE games. Quantitative finance (Print).  ISSN 1469-7688.  11(11), s 1665- 1674 . doi: 10.1080/14697688.2011.615219
• Øksendal, Bernt & Sulem, Agnès (2011). Robust stochastic control and equivalent martingale measures, In Arturo Kohatsu-Higa; Nicolas Privault & Shuenn-Jyi Sheu (ed.),  Stochastic Analysis with Financial Applications Hong Kong 2009.  Springer.  ISBN 978-3-0348-0096-9.  part 1 - Bidrag til Vol.65 i serien "Progress in Probability".  s 179 - 189
• Øksendal, Bernt; Sulem, Agnes & Zhang, Tusheng (2011). OPTIMAL CONTROL OF STOCHASTIC DELAY EQUATIONS AND TIME-ADVANCED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS. Advances in Applied Probability.  ISSN 0001-8678.  43(2), s 572- 596
• Øksendal, Bernt; Sulem, Agnès & Zhang, Tusheng (2011). Optimal partial information control of SPDEs with delay and time-advanced backward SPDEs. Prepint Series - Pure Mathematics.  ISSN 0806-2439.
• Øksendal, Bernt; Sulem, Agnès & Zhang, Tusheng (2011). Singular control of SPDEs and backward SPDEs with reflection. Prepint Series - Pure Mathematics.  ISSN 0806-2439.
• Corcuera, José Manuel; Di Nunno, Giulia; Farkas, Gergely & Øksendal, Bernt (2010). Kyle-Back's model with Lévy noise. Prepint Series - Pure Mathematics.  ISSN 0806-2439.  26
• Øksendal, Bernt & Sulem, Agnès (2010). An anticipative stochastic calculus approach to pricing in markets driven by Lévy processes. Communications on Stochastic Analysis.  ISSN 0973-9599.  4(2), s 179- 199
• Øksendal, Bernt & Sulem, Agnès (2010). Singular stochastic control and optimal stopping with partial information of Itô-Lévy processes. Prepint Series - Pure Mathematics.  ISSN 0806-2439.  (9)
• Øksendal, Bernt & Zhang, Tusheng (2010). Optimal control with partial information for stochastic Volterra equations. International Journal of Stochastic Analysis.  ISSN 2090-3332.  2010 . doi: 10.1155/2010/329185
• Di Nunno, Giulia & Øksendal, Bernt (2009). Optimal portfolio, partial information and Malliavin calculus. Stochastics: An International Journal of Probability and Stochastic Processes.  ISSN 1744-2508.  81(3-4), s 303- 322 . doi: 10.1080/17442500902917979
• Di Nunno, Giulia; Øksendal, Bernt; Pamen, Olivier Menoukeu & Proske, Frank Norbert (2009). A general maximum principle for anticipative stochastic control and applications to insider trading. Prepint Series - Pure Mathematics.  ISSN 0806-2439.  (21)
• Di Nunno, Giulia; Øksendal, Bernt; Pamen, Olivier Menoukeu & Proske, Frank Norbert (2009). Uniqueness of Decompositions of Skorohod-Semimartingales. Prepint Series - Pure Mathematics.  ISSN 0806-2439.  (10)
• Di Nunno, Giulia; Øksendal, Bernt; Pamen, Olivier Menoukeu & Proske, Frank Norbert (2009). Uniqueness of Decompositions of Skorohod-Semimartingales. Prepint Series - Pure Mathematics.  ISSN 0806-2439.  (10)
• Øksendal, Bernt & Sulem, Agnès (2009). MAXIMUM PRINCIPLES FOR OPTIMAL CONTROL OF FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH JUMPS. SIAM Journal of Control and Optimization.  ISSN 0363-0129.  48(5), s 2945- 2976
• Øksendal, Bernt & Sulem, Agnès (2009). Maximum principles for optimal control of forward-backward stochastic differential equations with jumps. SIAM Journal of Control and Optimization.  ISSN 0363-0129.  48(5), s 2945- 2976 . doi: 10.1137/080739781
• Øksendal, Bernt & Sulem, Agnès (2009). RISK INDIFFERENCE PRICING IN JUMP DIFFUSION MARKETS. Mathematical Finance.  ISSN 0960-1627.  19(4), s 619- 637
• Ta, An Thi Kieu & Øksendal, Bernt (2008). Maximum Principle for Stochastic Differential Games with Partial Information. Journal of Optimization Theory and Applications.  ISSN 0022-3239.  139(3), s 463- 483 . doi: 10.1007/s10957-008-9398-y
• An, TTK; Øksendal, Bernt & Proske, Frank (2008). A Maximum Principle Approach to Risk Indifference Pricing with Partial Information . Journal of Applied Mathematics and Stochastic Analysis.  ISSN 1048-9533.  2008(3), s 1- 15
• Biagini, F & Øksendal, Bernt (2008). Forward integrals and an Ito formula for fractional Brownian motion. Infinite Dimensional Analysis Quantum Probability and Related Topics.  ISSN 0219-0257.  11, s 157- 177
• Biagini, Francesca & Øksendal, Bernt (2008). Forward integrals and an Ito formula for fractional Brownian motion. Infinite Dimensional Analysis Quantum Probability and Related Topics.  ISSN 0219-0257.  11(2), s 157- 177
• Di Nunno, Giulia; Kohatsu-Higa, Arturo; Meyer-Brandis, Thilo; Øksendal, Bernt; Proske, Frank Norbert & Sulem, Agnès (2008). Anticipative stochastic control for Lévy processes with application to insider trading, In Alain Bensoussan; Zhang Qiang & Philippe G Ciarlet (ed.),  MATHEMATICAL MODELLING AND NUMERICAL METHODS IN FINANCE.  Elsevier.  ISBN 978-0-444-51879-8.  15.
• Di Nunno, Giulia; Kohatsu-Higa, Arturo; Meyer-Brandis, Thilo; Øksendal, Bernt; Proske, Frank & Sulem, Agnès (2008). Anticipative stochastic control for Lévy processes with application to insider trading, In  Handbook of numerical analysis 15: Mathematical Modelling and Numerical Methods in Finance.  Elsevier.
• Hu, Yaozhong & Øksendal, Bernt (2008). Optimal stopping with advanced information flow: Selected examples. Banach Center Publications.  ISSN 0137-6934.  83, s 107- 116
• Hu, Yaozhong & Øksendal, Bernt (2008). Optimal stopping with advanced information flow: Selected examples. Banach Center Publications.  ISSN 0137-6934.  83, s 107- 116
• Hu, Yaozhong & Øksendal, Bernt (2008). Partial information linear quadratic control for jump diffusions. SIAM Journal of Control and Optimization.  ISSN 0363-0129.  47, s 1744- 1761 . doi: 10.1137/060667566
• Mataramvura, Sure & Øksendal, Bernt (2008). Risk minimizing portfolios and HJBI equations for stochastic differential games. Stochastics and Stochastics Reports.  ISSN 1045-1129.  80, s 317- 337 . doi: 10.1080/17442500701655408
• Mataramvura, Sure & Øksendal, Bernt (2008). Risk minimizing portfolios and HJBI equations for stochastic differential games. Stochastics and Stochastics Reports.  ISSN 1045-1129.  80(4), s 317- 337
• Øksendal, Bernt (2008). Stochastic partial differential equations driven by multiparameter white noise of Lévy processes. Quarterly of Applied Mathematics.  ISSN 0033-569X.  66, s 521- 537
• Øksendal, Bernt (2008). Stochastic partial differential equations driven by multi-parameter white noise of Lévy processes. Quarterly of Applied Mathematics.  ISSN 0033-569X.  66(3), s 521- 537
• Øksendal, Bernt & An, TTK (2008). Maximum Principle for Stochastic Differential Games with Partial Information. Journal of Optimization Theory and Applications.  ISSN 0022-3239.  139(3), s 463- 483
• Øksendal, Bernt & Hu, Yaozhong (2008). Partial information linear quadratic control for jump diffusions. SIAM Journal of Control and Optimization.  ISSN 0363-0129.  47(4), s 1744- 1761
• Øksendal, Bernt; Proske, Frank Norbert & Ta, An Thi Kieu (2008). A Maximum Principle Approach to Risk Indifference Pricing with Partial Information. Journal of Applied Mathematics and Stochastic Analysis.  ISSN 1048-9533.  2008(3) . doi: 10.1155/2008/821243
• Øksendal, Bernt & Sulem, A (2008). Optimal stochastic impulse control with delayed reaction. Applied mathematics and optimization.  ISSN 0095-4616.  58, s 243- 255 . doi: 10.1007/s00245-007-9034-5
• Øksendal, Bernt & Sulem, Agnès (2008). A game theoretic approach to martingale measures in incomplete markets. Surveys of Applied and Industrial Mathematics.  ISSN 0869-8325.  15, s 18- 24

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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.

Se alle arbeider i Cristin

• 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.
• Øksendal, Bernt (2011). Mathematics and Finance: The Black-Scholes Option Pricing Formula and Beyond.
• 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.
• Øksendal, Bernt & Sulem, Agnès (2011). Portfolio optimization under model uncertainty and BSDE games.
• Øksendal, Bernt; Sulem, Agnès & Zhang, Tusheng (2011). Optimal partial information control of SPDEs with delay and time-advanced backward SPDEs.
• Øksendal, Bernt; Sulem, Agnès & Zhang, Tusheng (2011). Singular control of SPDEs and backward SPDEs with reflection.
• 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.
• Aase, Knut; Bjuland, Terje & Øksendal, Bernt (2010). Strategic Insider Trading Equilibrium: A Filter Theory Approach.
• Ta, An Thi Kieu & Øksendal, Bernt (2010). A Maximum Principle for Stochastic Differential Games with g–expectations and partial information.
• Øksendal, Bernt & Sulem, Agnès (2010). Robust stochastic control and equivalent martingale measures.
• Øksendal, Bernt & Sulem, Agnès (2010). Singular stochastic control and optimal stopping with partial information of Itô-Lévy processes.
• Øksendal, Bernt; Sulem, Agnès & Zhang, Tusheng (2010). Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations.
• 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 .
• Di Nunno, Giulia & Øksendal, Bernt (2008). Optimal portoflio, partial information and Malliavin calculus.
• Di Nunno, Giulia & Øksendal, Bernt (2008). Optimal portoflio, partial information and Malliavin calculus.
• Meyer-Brandis, Thilo; Øksendal, Bernt & Zhou, Xunyu (2008). A stochastic maximum principle via Malliavin calculus .
• Okur, Yeliz Yolcu; Øksendal, Bernt & An, TTK (2008). A Malliavin calculus approach to general stochastic differential games with partial information .
• Øksendal, Bernt & Sulem, Agnès (2008). A game theoretic approach to martingale measures in incomplete markets. Surveys of Applied and Industrial Mathematics.  ISSN 0869-8325.  15, s 18- 24

Se alle arbeider i Cristin