Browsing SAM - Handelshøyskolen by Subject "VDP::Matematikk og Naturvitenskap: 400::Matematikk: 410"

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    • Bounded variation control of Itô diffusions with exogenously restricted intervention times 

      Lempa, Jukka (Advances in Applied Probability;46(1), Journal article; Peer reviewed, 2014)
      In this paper, bounded variation control of one-dimensional diffusion processes is considered. We assume that the agent is allowed to control the diffusion only at the jump times of an observable, independent Poisson ...

    • Optimal portfolios in commodity futures markets 

      Benth, Fred Espen; Lempa, Jukka (Finance and Stochastics;18(2), Journal article; Peer reviewed, 2014)
      We develop a general approach to portfolio optimization in futures markets. Following the Heath–Jarrow–Morton (HJM) approach, we model the entire futures price curve at once as a solution of a stochastic partial differential ...