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Øksendal, Bernt Karsten

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Author ID: oksendal.bernt-karsten Recent zbMATH articles by "Øksendal, Bernt Karsten"
Published as: Øksendal, Bernt; Øksendal, B.; Øksendal, Bernt K.; Øksendal, Bernt Karsten; øksendal, Bernt; Oksendal, B.
Homepage: http://www.mn.uio.no/math/english/people/aca/oksendal/
External Links: MGP · Wikidata · Google Scholar · Math-Net.Ru · dblp · GND · IdRef
Documents Indexed: 210 Publications since 1971, including 14 Books
10 Contributions as Editor · 2 Further Contributions
Reviewing Activity: 55 Reviews
Biographic References: 2 Publications
Co-Authors: 73 Co-Authors with 175 Joint Publications
1,164 Co-Co-Authors
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Serials

13 Stochastics
10 Universitext
9 Stochastic Analysis and Applications
9 Infinite Dimensional Analysis, Quantum Probability and Related Topics
6 Applied Mathematics and Optimization
5 Journal of Functional Analysis
5 Journal of Optimization Theory and Applications
5 Normat
5 SIAM Journal on Control and Optimization
5 Potential Analysis
4 Pacific Journal of Mathematics
4 Stochastic Processes and their Applications
3 Mathematica Scandinavica
3 Communications in Partial Differential Equations
3 Stochastics and Stochastics Reports
3 Mathematical Finance
3 Progress in Probability
3 Mathematics and Financial Economics
3 Afrika Matematika
2 Annales de l’Institut Fourier
2 Inventiones Mathematicae
2 Journal of Applied Probability
2 Journal of Mathematical Economics
2 Proceedings of the American Mathematical Society
2 Proceedings of the Edinburgh Mathematical Society. Series II
2 Systems & Control Letters
2 SIAM Journal on Mathematical Analysis
2 Finance and Stochastics
2 Quantitative Finance
2 Stochastics and Dynamics
2 Communications on Stochastic Analysis
2 Communications in Mathematics and Statistics
2 Probability and its Applications
1 Advances in Applied Probability
1 Journal of Mathematical Analysis and Applications
1 Mathematical Biosciences
1 Nonlinearity
1 Russian Mathematical Surveys
1 Zeitschrift für Angewandte Mathematik und Mechanik (ZAMM)
1 Arkiv för Matematik
1 Theory of Probability and its Applications
1 Acta Mathematica
1 American Journal of Mathematics
1 Automatica
1 Journal of Computational and Applied Mathematics
1 Journal of the London Mathematical Society. Second Series
1 Mathematische Annalen
1 Mathematics of Operations Research
1 Osaka Journal of Mathematics
1 Quarterly of Applied Mathematics
1 Transactions of the American Mathematical Society
1 Complex Variables. Theory and Application
1 Acta Applicandae Mathematicae
1 Probability Theory and Related Fields
1 Journal of Economic Dynamics & Control
1 Journal of Theoretical Probability
1 Journal of Applied Mathematics and Stochastic Analysis
1 European Journal of Applied Mathematics
1 The Annals of Applied Probability
1 Proceedings of the Royal Society of Edinburgh. Section A. Mathematics
1 SIAM Review
1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
1 Methods and Applications of Analysis
1 Obozrenie Prikladnoĭ i Promyshlennoĭ Matematiki
1 Bernoulli
1 Proceedings of the Royal Society of London. Series A. Mathematical, Physical and Engineering Sciences
1 International Journal of Theoretical and Applied Finance
1 Methodology and Computing in Applied Probability
1 Acta Mathematica Scientia. Series B. (English Edition)
1 Bericht. Universität Jyväskylä. Mathematisches Institut
1 Lecture Notes in Mathematics
1 Abel Symposia
1 International Journal of Stochastic Analysis
1 Mathematical Control and Related Fields
1 Probability, Uncertainty and Quantitative Risk

Publications by Year

Citations contained in zbMATH Open

173 Publications have been cited 3,991 times in 2,925 Documents Cited by Year
Stochastic differential equations. An introduction with applications. 6th ed. Zbl 1025.60026
Øksendal, Bernt
564
2003
Stochastic differential equations. An introduction with applications. 5th ed. Zbl 0897.60056
Øksendal, Bernt
198
1998
Applied stochastic control of jump diffusions. 2nd ed. Zbl 1116.93004
Øksendal, Bernt; Sulem, Agnès
197
2007
Applied stochastic control of jump diffusions. Zbl 1074.93009
Øksendal, Bernt; Sulem, Agnès
191
2005
Stochastic calculus for fractional Brownian motion and applications. Zbl 1157.60002
Biagini, Francesca; Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng
177
2008
Fractional white noise calculus and applications to finance. Zbl 1045.60072
Hu, Yaozhong; Øksendal, Bernt
153
2003
Stochastic partial differential equations. A modeling, white noise functional approach. Zbl 0860.60045
Holden, Helge; Øksendal, Bernt; Ubøe, Jan; Zhang, Tusheng
121
1996
Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance. Zbl 1140.93496
Framstad, N. C.; Øksendal, B.; Sulem, A.
76
2005
Stochastic differential equations. An introduction with applications. 4th ed. Zbl 0841.60037
Øksendal, Bernt
74
1995
Optimal harvesting from a population in a stochastic crowded environment. Zbl 0885.60052
Lungu, E. M.; Øksendal, B.
66
1997
Some solvable stochastic control problems with delay. Zbl 0999.93072
Elsanosi, Ismail; Øksendal, Bernt; Sulem, Agnès
60
2000
Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations. Zbl 1217.93183
Øksendal, Bernt; Sulem, Agnès; Zhang, Tusheng
58
2011
Optimal consumption and portfolio with both fixed and proportional transaction costs. Zbl 1102.91054
Øksendal, Bernt; Sulem, Agnès
57
2002
Stochastic partial differential equations. A modeling, white noise functional approach. 2nd ed. Zbl 1198.60005
Holden, Helge; Øksendal, Bernt; Ubøe, Jan; Zhang, Tusheng
57
2010
A mean-field stochastic maximum principle via Malliavin calculus. Zbl 1252.49039
Meyer-Brandis, Thilo; Øksendal, Bernt; Zhou, Xun Yu
56
2012
White noise analysis for Lévy processes. Zbl 1078.60054
Di Nunno, Giulia; Øksendal, Bernt; Proske, Frank
54
2004
Risk minimizing portfolios and HJBI equations for stochastic differential games. Zbl 1145.93054
Mataramvura, Sure; Øksendal, Bernt
53
2008
White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance. Zbl 0963.60065
Aase, Knut; Øksendal, Bernt; Privault, Nicolas; Ubøe, Jan
52
2000
Optimal switching in an economic activity under uncertainty. Zbl 0801.60036
Brekke, Kjell Arne; Øksendal, Bernt
52
1994
Maximum principles for optimal control of forward-backward stochastic differential equations with jumps. Zbl 1207.93115
Øksendal, Bernt; Sulem, Agnès
51
2010
An introduction to white-noise theory and Malliavin calculus for fractional Brownian motion. Zbl 1043.60044
Biagini, Francesca; Øksendal, Bernt; Sulem, Agnés; Wallner, Naomi
48
2004
Stochastic differential equations. An introduction with applications. Zbl 0567.60055
Øksendal, Bernt
45
1985
Malliavin calculus and anticipative Itô formulae for Lévy processes. Zbl 1080.60068
Di Nunno, Giulia; Meyer-Brandis, Thilo; Øksendal, Bernt; Proske, Frank
44
2005
Stochastic differential equations. An introduction with applications. 3rd ed. Zbl 0747.60052
Øksendal, Bernt
40
1992
Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs. Zbl 1013.91055
Framstad, Nils Chr.; Øksendal, Bernt; Sulem, Agnès
40
2001
A general stochastic calculus approach to insider trading. Zbl 1093.60044
Biagini, Francesca; Øksendal, Bernt
39
2005
Optimal stochastic intervention control with application to the exchange rate. Zbl 0943.91038
Mundaca, Gabriela; Øksendal, Bernt
38
1998
Forward-backward stochastic differential games and stochastic control under model uncertainty. Zbl 1290.49076
Øksendal, Bernt; Sulem, Agnès
36
2014
A maximum principle for stochastic control with partial information. Zbl 1140.93046
Baghery, Fouzia; Øksendal, Bernt
36
2007
A maximum principle for optimal control of stochastic systems with delay, with applications to finance. Zbl 1054.93531
Øksendal, Bernt; Sulem, Agnès
36
2001
Optimal control of stochastic partial differential equations. Zbl 1156.93406
Øksendal, Bernt
35
2005
A maximum principle for infinite horizon delay equations. Zbl 1273.93175
Agram, N.; Haadem, S.; Øksendal, B.; Proske, F.
31
2013
A stochastic maximum principle for processes driven by fractional Brownian motion. Zbl 1064.93048
Biagini, Francesca; Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnès
29
2002
Malliavin calculus and optimal control of stochastic Volterra equations. Zbl 1335.60121
Agram, Nacira; Øksendal, Bernt
28
2015
The Burgers equation with a noisy force and the stochastic heat equation. Zbl 0804.35158
Holden, Helge; Lindstrøm, Tom; Øksendal, Bernt; Ubøe, J.; Zhang, T.-S.
27
1994
Explicit representation of the minimal variance portfolio in markets driven by Lévy processes. Zbl 1173.91377
Benth, Fred Espen; Di Nunno, Giulia; Løkka, Arne; Øksendal, Bernt; Proske, Frank
27
2003
Infinite horizon optimal control of forward-backward stochastic differential equations with delay. Zbl 1320.60121
Agram, Nacira; Øksendal, Bernt
26
2014
Optimal portfolio for an insider in a market driven by Lévy processes. Zbl 1136.91426
Di Nunno, Giulia; Meyer-Brandis, Thilo; Øksendal, Bernt; Proske, Frank
25
2006
Optimal time to invest when the price processes are geometric Brownian motions. Zbl 0904.60030
Hu, Yaozhong; Øksendal, Bernt
24
1998
Partial information linear quadratic control for jump diffusions. Zbl 1165.93037
Hu, Yaozhong; Øksendal, Bernt
23
2008
Book review of: L. Gawarecki and V. Mandrekar, Stochastic differential equations in infinite dimensions with applications to stochastic partial differential equations. Zbl 1334.00056
Øksendal, Bernt
22
2013
Stochastic Stackelberg equilibria with applications to time-dependent newsvendor models. Zbl 1402.90010
Øksendal, Bernt; Sandal, Leif; Ubøe, Jan
20
2013
Stochastic control problems where small intervention costs have big effects. Zbl 0938.93063
Øksendal, B.
20
1999
Maximum principle for stochastic differential games with partial information. Zbl 1159.91321
An, T. T. K.; Øksendal, B.
19
2009
Portfolio optimization under model uncertainty and BSDE games. Zbl 1277.91159
Øksendal, Bernt; Sulem, Agnès
19
2011
Optimal harvesting from interacting populations in a stochastic environment. Zbl 1010.93107
Lungu, Edward; Øksendal, Bernt
19
2001
Optimal consumption and portfolio in a Black–Scholes market driven by fractional Brownian motion. Zbl 1180.91266
Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnés
18
2003
White noise of Poisson random measures. Zbl 1060.60069
Øksendal, Bernt; Proske, Frank
18
2004
Multiparameter fractional Brownian motion and quasi-linear stochastic partial differential equations. Zbl 0986.60056
Øksendal, Bernt; Zhang, Tusheng
18
2001
Risk minimization in financial markets modeled by Itô-Lévy processes. Zbl 1334.60122
Øksendal, Bernt; Sulem, Agnès
17
2015
Optimal stochastic impulse control with delayed reaction. Zbl 1161.93029
Øksendal, Bernt; Sulem, Agnès
17
2008
The Itô-Ventzell formula and forward stochastic differential equations driven by Poisson random measures. Zbl 1118.60052
Øksendal, Bernt; Zhang, Tusheng
17
2007
The high contact principle as a sufficiency condition for optimal stopping. Zbl 0783.90019
Brekke, Kjell Arne; Øksendal, Bernt
16
1991
Chaos expansion of local time of fractional Brownian motions. Zbl 1011.60016
Hu, Yaozhong; Øksendal, Bernt
16
2002
Stochastic partial differential equations driven by Lévy space-time white noise. Zbl 1053.60069
Løkka, Arne; Øksendal, Bernt; Proske, Frank
16
2004
Optimal control of systems with noisy memory and BSDEs with Malliavin derivatives. Zbl 1339.93121
Dahl, K.; Mohammed, S.-E. A.; Øksendal, B.; Røse, E. E.
16
2016
Applied stochastic control of jump diffusions. 3rd expanded and updated edition. Zbl 1422.93001
Øksendal, Bernt; Sulem, Agnès
15
2019
Using the Donsker delta function to compute hedging strategies. Zbl 0993.91022
Aase, Knut; Øksendal, Bernt; Obøe, Jan
15
2001
Singular stochastic control and optimal stopping with partial information of Itô-Lévy processes. Zbl 1259.93135
Øksendal, Bernt; Sulem, Agnès
15
2012
General fractional multiparameter white noise theory and stochastic partial differential equations. Zbl 1067.35161
Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng
15
2004
Risk indifference pricing in jump diffusion markets. Zbl 1187.91105
Øksendal, Bernt; Sulem, Agnès
15
2009
Viscosity solutions of optimal stopping problems. Zbl 0913.60037
Øksendal, Bernt; Reikvam, Kristin
14
1998
Optimal stopping with delayed information. Zbl 1089.60027
Øksendal, Bernt
14
2005
Singular control and optimal stopping of SPDEs, and backward SPDEs with reflection. Zbl 1306.93078
Øksendal, Bernt; Sulem, Agnès; Zhang, Tusheng
13
2014
Asymptotic properties of the solutions to stochastic KPP equations. Zbl 0978.60070
Øksendal, B.; Våge, G.; Zhao, H. Z.
13
2000
Two properties of stochastic KPP equations: Ergodicity and pathwise property. Zbl 0993.60064
Øksendal, B.; Våge, G.; Zhao, H. Z.
13
2001
Linear Volterra backward stochastic integral equations. Zbl 1405.60074
Hu, Yaozhong; Øksendal, Bernt
12
2019
Brownian motion and sets of harmonic measure zero. Zbl 0493.31001
Øksendal, Bernt
12
1981
Minimal variance hedging for insider trading. Zbl 1134.91397
Biagini, Francesca; Øksendal, Bernt
12
2006
Backward stochastic partial differential equations with jumps and application to optimal control of random jump fields. Zbl 1090.60057
Øksendal, Bernt; Proske, Frank; Zhang, Tusheng
12
2005
Null sets for measures orthogonal to R(X). Zbl 0255.46042
Øksendal, Bernt K.
12
1972
Wick multiplication and Ito-Skorohod stochastic differential equations. Zbl 0760.60057
Lindstrøm, Tom; Øksendal, Bernt; Ubøe, Jan
11
1992
Maximum principles for jump diffusion processes with infinite horizon. Zbl 1364.93861
Haadem, Sven; Øksendal, Bernt; Proske, Frank
11
2013
Stochastic differential equations. An introduction with applications. 2nd ed. Zbl 0694.60046
Øksendal, Bernt
10
1989
Stochastic partial differential equations driven by multiparameter fractional white noise. Zbl 0982.60054
Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng
10
2000
Combined stochastic control and optimal stopping, and application to numerical approximation of combined stochastic and impulse control. Zbl 1014.91042
Chancelier, J.-Ph.; Øksendal, B.; Sulem, A.
10
2002
Weighted local time for fractional Brownian motion and applications to finance. Zbl 1067.60028
Hu, Yaozhong; Øksendal, Bernt; Salopek, Donna Mary
10
2005
Strategic insider trading equilibrium: a filter theory approach. Zbl 1267.91058
Aase, Knut K.; Bjuland, Terje; Øksendal, Bernt
10
2012
A Donsker delta functional approach to optimal insider control and applications to finance. Zbl 1341.49029
Draouil, Olfa; Øksendal, Bernt
9
2015
Exit times for elliptic diffusions and BMO. Zbl 0625.60088
Bañuelos, R.; Øksendal, Bernt
9
1987
Analytic capacity and differentiability properties of finely harmonic functions. Zbl 0527.31001
Davie, Alexander M.; Øksendal, Bernt
9
1982
Stochastic harmonic morphisms: Functions mapping the paths of one diffusion into the paths of another. Zbl 0498.60083
Csink, L.; Øksendal, Bernt
9
1983
Optimal stopping of stochastic differential equations with delay driven by Lévy noise. Zbl 1216.60036
Federico, Salvatore; Øksendal, Bernt Karsten
9
2011
Optimal portfolio, partial information and Malliavin calculus. Zbl 1176.93081
Di Nunno, Giulia; Øksendal, Bernt
9
2009
The Donsker delta function of a Lévy process with application to chaos expansion of local time. Zbl 1053.60047
Mataramvura, Sure; Øksendal, Bernt; Proske, Frank
9
2004
The pressure equation for fluid flow in a stochastic medium. Zbl 0834.60068
Holden, H.; Lindstrøm, T.; Øksendal, B.; Ubøe, J.; Zhang, T.-S.
8
1995
Wick approximation of quasilinear stochastic differential equations. Zbl 0845.60058
Hu, Yaozhong; Øksendal, Bernt
8
1996
Stochastic control of memory mean-field processes. Zbl 1411.60081
Agram, Nacira; Øksendal, Bernt
8
2019
Stochastic differential equations involving positive noise. Zbl 0783.60055
Lindstrøm, Tom; Øksendal, Bernt; Ubøe, Jan
7
1991
Stochastic boundary value problems: A white noise functional approach. Zbl 0792.60055
Holden, Helge; Lindstrøm, Tom; Øksendal, Bernt; Ubøe, Jan; Zhang, Tu-Sheng
7
1993
A universal optimal consumption rate for an insider. Zbl 1136.91456
Øksendal, Bernt
7
2006
Projection estimates for harmonic measure. Zbl 0537.31002
Øksendal, Bernt
7
1983
Advanced mathematical methods for finance. Zbl 1211.91008
7
2011
Optimal control with partial information for stochastic Volterra equations. Zbl 1214.49033
Øksendal, Bernt; Zhang, Tusheng
7
2010
Stochastic partial differential equations driven by multi-parameter white noise of Lévy processes. Zbl 1153.60037
Øksendal, Bernt
7
2008
Optimal control of forward-backward stochastic Volterra equations. Zbl 1400.45001
Agram, Nacira; Øksendal, Bernt; Yakhlef, Samia
6
2018
Optimal multi-dimensional stochastic harvesting with density-dependent prices. Zbl 1386.60196
Alvarez, Luis H. R.; Lungu, Edward; Øksendal, Bernt
6
2016
When is a stochastic integral a time change of a diffusion? Zbl 0698.60046
Øksendal, Bernt
6
1990
The Wick product. Zbl 0820.60048
Gjessing, H.; Holden, Helge; Lindstrøm, Tom; Øksendal, Bernt; Ubøe, J.; Zhang, T.-S.
6
1993
A general maximum principle for anticipative stochastic control and applications to insider trading. Zbl 1233.91338
Di Nunno, Giulia; Menoukeu Pamen, Olivier; Øksendal, Bernt; Proske, Frank
6
2011
Singular control of SPDEs with space-mean dynamics. Zbl 1459.60135
Agram, Nacira; Hilbert, Astrid; Øksendal, Bernt
2
2020
Applied stochastic control of jump diffusions. 3rd expanded and updated edition. Zbl 1422.93001
Øksendal, Bernt; Sulem, Agnès
15
2019
Linear Volterra backward stochastic integral equations. Zbl 1405.60074
Hu, Yaozhong; Øksendal, Bernt
12
2019
Stochastic control of memory mean-field processes. Zbl 1411.60081
Agram, Nacira; Øksendal, Bernt
8
2019
Singular control optimal stopping of memory mean-field processes. Zbl 1418.60052
Agram, Nacira; Bachouch, Achref; Øksendal, Bernt; Proske, Frank
3
2019
Model uncertainty stochastic mean-field control. Zbl 1432.93377
Agram, Nacira; Øksendal, Bernt
3
2019
Correction to: “Stochastic control of memory mean-field processes”. Zbl 1466.60108
Agram, Nacira; Øksendal, Bernt
3
2019
A white noise approach to optimal insider control of systems with delay. Zbl 1411.91496
Draouil, Olfa; Øksendal, Bernt
1
2019
New approach to optimal control of stochastic Volterra integral equations. Zbl 07554643
Agram, Nacira; Øksendal, Bernt; Yakhlef, Samia
1
2019
Optimal control of forward-backward stochastic Volterra equations. Zbl 1400.45001
Agram, Nacira; Øksendal, Bernt; Yakhlef, Samia
6
2018
A Hida-Malliavin white noise calculus approach to optimal control. Zbl 1400.60077
Agram, Nacira; Øksendal, Bernt
2
2018
Optimal control with delayed information flow of systems driven by \(G\)-Brownian motion. Zbl 1444.60044
Biagini, Francesca; Meyer-Brandis, Thilo; Øksendal, Bernt; Paczka, Krzysztof
2
2018
Stochastic control for mean-field stochastic partial differential equations with jumps. Zbl 1391.60156
Dumitrescu, Roxana; Øksendal, Bernt; Sulem, Agnès
1
2018
Singular recursive utility. Zbl 1394.60060
Dahl, K. R.; Øksendal, B.
5
2017
Singular mean-field control games. Zbl 1376.91029
Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnès
5
2017
Dynamic robust duality in utility maximization. Zbl 1361.60047
Øksendal, Bernt; Sulem, Agnès
4
2017
Optimal control of systems with noisy memory and BSDEs with Malliavin derivatives. Zbl 1339.93121
Dahl, K.; Mohammed, S.-E. A.; Øksendal, B.; Røse, E. E.
16
2016
Optimal multi-dimensional stochastic harvesting with density-dependent prices. Zbl 1386.60196
Alvarez, Luis H. R.; Lungu, Edward; Øksendal, Bernt
6
2016
Optimal insider control and semimartingale decompositions under enlargement of filtration. Zbl 1350.60065
Draouil, Olfa; Øksendal, Bernt
6
2016
Optimal control of predictive mean-field equations and applications to finance. Zbl 1341.49032
Øksendal, Bernt; Sulem, Agnès
5
2016
Stochastic differential games with inside information. Zbl 1349.91031
Draouil, Olfa; Øksendal, Bernt
4
2016
A stochastic HJB equation for optimal control of forward-backward SDEs. Zbl 1354.60061
Øksendal, Bernt; Sulem, Agnès; Zhang, Tusheng
3
2016
Malliavin calculus and optimal control of stochastic Volterra equations. Zbl 1335.60121
Agram, Nacira; Øksendal, Bernt
28
2015
Risk minimization in financial markets modeled by Itô-Lévy processes. Zbl 1334.60122
Øksendal, Bernt; Sulem, Agnès
17
2015
A Donsker delta functional approach to optimal insider control and applications to finance. Zbl 1341.49029
Draouil, Olfa; Øksendal, Bernt
9
2015
Market viability and martingale measures under partial information. Zbl 1338.60121
Fontana, Claudio; Øksendal, Bernt; Sulem, Agnès
2
2015
Forward-backward stochastic differential games and stochastic control under model uncertainty. Zbl 1290.49076
Øksendal, Bernt; Sulem, Agnès
36
2014
Infinite horizon optimal control of forward-backward stochastic differential equations with delay. Zbl 1320.60121
Agram, Nacira; Øksendal, Bernt
26
2014
Singular control and optimal stopping of SPDEs, and backward SPDEs with reflection. Zbl 1306.93078
Øksendal, Bernt; Sulem, Agnès; Zhang, Tusheng
13
2014
Stackelberg equilibria in a continuous-time vertical contracting model with uncertain demand and delayed information. Zbl 1337.60156
Øksendal, Bernt; Sandal, Leif; Ubøe, Jan
5
2014
A maximum principle for infinite horizon delay equations. Zbl 1273.93175
Agram, N.; Haadem, S.; Øksendal, B.; Proske, F.
31
2013
Book review of: L. Gawarecki and V. Mandrekar, Stochastic differential equations in infinite dimensions with applications to stochastic partial differential equations. Zbl 1334.00056
Øksendal, Bernt
22
2013
Stochastic Stackelberg equilibria with applications to time-dependent newsvendor models. Zbl 1402.90010
Øksendal, Bernt; Sandal, Leif; Ubøe, Jan
20
2013
Maximum principles for jump diffusion processes with infinite horizon. Zbl 1364.93861
Haadem, Sven; Øksendal, Bernt; Proske, Frank
11
2013
A Malliavin calculus approach to general stochastic differential games with partial information. Zbl 1270.91013
Kieu, An Ta Thi; Øksendal, Bernt; Okur, Yeliz Yolcu
3
2013
Optimal stopping and stochastic control differential games for jump diffusions. Zbl 1286.93200
Baghery, Fouzia; Haadem, Sven; Øksendal, Bernt; Turpin, Isabelle
2
2013
A mean-field stochastic maximum principle via Malliavin calculus. Zbl 1252.49039
Meyer-Brandis, Thilo; Øksendal, Bernt; Zhou, Xun Yu
56
2012
Singular stochastic control and optimal stopping with partial information of Itô-Lévy processes. Zbl 1259.93135
Øksendal, Bernt; Sulem, Agnès
15
2012
Strategic insider trading equilibrium: a filter theory approach. Zbl 1267.91058
Aase, Knut K.; Bjuland, Terje; Øksendal, Bernt
10
2012
A maximum principle for stochastic differential games with \(g\)-expectations and partial information. Zbl 1251.93137
An, Ta Thi Kieu; Øksendal, Bernt
6
2012
Insider trading equilibrium in a market with memory. Zbl 1262.91156
Biagini, Francesca; Hu, Yaozhong; Meyer-Brandis, Thilo; Øksendal, Bernt
6
2012
Backward stochastic differential equations with respect to general filtrations and applications to insider finance. Zbl 1331.91209
Øksendal, Bernt; Zhang, Tusheng
4
2012
Partially informed noise traders. Zbl 1264.91063
Aase, Knut K.; Bjuland, Terje; Øksendal, Bernt
3
2012
Optimal partial information control of SPDEs with delay and time-advanced backward SPDEs. Zbl 1283.93316
Øksendal, Bernt; Sulem, Agnès; Zhang, Tusheng
3
2012
Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations. Zbl 1217.93183
Øksendal, Bernt; Sulem, Agnès; Zhang, Tusheng
58
2011
Portfolio optimization under model uncertainty and BSDE games. Zbl 1277.91159
Øksendal, Bernt; Sulem, Agnès
19
2011
Optimal stopping of stochastic differential equations with delay driven by Lévy noise. Zbl 1216.60036
Federico, Salvatore; Øksendal, Bernt Karsten
9
2011
Advanced mathematical methods for finance. Zbl 1211.91008
7
2011
A general maximum principle for anticipative stochastic control and applications to insider trading. Zbl 1233.91338
Di Nunno, Giulia; Menoukeu Pamen, Olivier; Øksendal, Bernt; Proske, Frank
6
2011
An anticipative linear filtering equation. Zbl 1222.93220
Aase, Knut K.; Bjuland, Terje; Øksendal, Bernt
2
2011
Robust stochastic control and equivalent martingale measures. Zbl 1248.93174
Øksendal, Bernt; Sulem, Agnès
2
2011
Stochastic partial differential equations. A modeling, white noise functional approach. 2nd ed. Zbl 1198.60005
Holden, Helge; Øksendal, Bernt; Ubøe, Jan; Zhang, Tusheng
57
2010
Maximum principles for optimal control of forward-backward stochastic differential equations with jumps. Zbl 1207.93115
Øksendal, Bernt; Sulem, Agnès
51
2010
Optimal control with partial information for stochastic Volterra equations. Zbl 1214.49033
Øksendal, Bernt; Zhang, Tusheng
7
2010
Maximum principle for stochastic differential games with partial information. Zbl 1159.91321
An, T. T. K.; Øksendal, B.
19
2009
Risk indifference pricing in jump diffusion markets. Zbl 1187.91105
Øksendal, Bernt; Sulem, Agnès
15
2009
Optimal portfolio, partial information and Malliavin calculus. Zbl 1176.93081
Di Nunno, Giulia; Øksendal, Bernt
9
2009
Anticipative stochastic control for Lévy processes with application to insider trading. Zbl 1180.91142
Sulem, Agnès; Kohatsu-Higa, Arturo; Øksendal, Bernt; Proske, Frank; Di Nunno, Giulia
2
2009
Stochastic calculus for fractional Brownian motion and applications. Zbl 1157.60002
Biagini, Francesca; Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng
177
2008
Risk minimizing portfolios and HJBI equations for stochastic differential games. Zbl 1145.93054
Mataramvura, Sure; Øksendal, Bernt
53
2008
Partial information linear quadratic control for jump diffusions. Zbl 1165.93037
Hu, Yaozhong; Øksendal, Bernt
23
2008
Optimal stochastic impulse control with delayed reaction. Zbl 1161.93029
Øksendal, Bernt; Sulem, Agnès
17
2008
Stochastic partial differential equations driven by multi-parameter white noise of Lévy processes. Zbl 1153.60037
Øksendal, Bernt
7
2008
A game theoretic approach to martingale measures in incomplete markets. Zbl 1199.91029
Oksendal, B.; Sulem, A.
6
2008
The Donsker delta function, a representation formula for functionals of a Lévy process and application to hedging in incomplete markets. Zbl 1208.60070
Di Nunno, Giulia; Øksendal, Bernt
3
2008
Forward integrals and an Itô formula for fractional Brownian motion. Zbl 1149.60035
Biagini, Francesca; Øksendal, Bernt
1
2008
Optimal stopping with advanced information flow: selected examples. Zbl 1151.93033
Hu, Yaozhong; Øksendal, Bernt
1
2008
Applied stochastic control of jump diffusions. 2nd ed. Zbl 1116.93004
Øksendal, Bernt; Sulem, Agnès
197
2007
A maximum principle for stochastic control with partial information. Zbl 1140.93046
Baghery, Fouzia; Øksendal, Bernt
36
2007
The Itô-Ventzell formula and forward stochastic differential equations driven by Poisson random measures. Zbl 1118.60052
Øksendal, Bernt; Zhang, Tusheng
17
2007
Optimal smooth portfolio selection for an insider. Zbl 1136.60047
Hu, Yaozhong; Øksendal, Bernt
5
2007
Fractional Brownian motion in finance. Zbl 1185.91194
Øksendal, B.
5
2007
A representation theorem and a sensitivity result for functionals of jump diffusions. Zbl 1130.60083
Di Nunno, Giulia; Øksendal, Bernt
3
2007
Optimal portfolio for an insider in a market driven by Lévy processes. Zbl 1136.91426
Di Nunno, Giulia; Meyer-Brandis, Thilo; Øksendal, Bernt; Proske, Frank
25
2006
Minimal variance hedging for insider trading. Zbl 1134.91397
Biagini, Francesca; Øksendal, Bernt
12
2006
A universal optimal consumption rate for an insider. Zbl 1136.91456
Øksendal, Bernt
7
2006
The Cauchy problem for the wave equation with Lévy noise initial data. Zbl 1100.60035
Øksendal, Bernt; Proske, Frank; Signahl, Mikael
3
2006
Applied stochastic control of jump diffusions. Zbl 1074.93009
Øksendal, Bernt; Sulem, Agnès
191
2005
Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance. Zbl 1140.93496
Framstad, N. C.; Øksendal, B.; Sulem, A.
76
2005
Malliavin calculus and anticipative Itô formulae for Lévy processes. Zbl 1080.60068
Di Nunno, Giulia; Meyer-Brandis, Thilo; Øksendal, Bernt; Proske, Frank
44
2005
A general stochastic calculus approach to insider trading. Zbl 1093.60044
Biagini, Francesca; Øksendal, Bernt
39
2005
Optimal control of stochastic partial differential equations. Zbl 1156.93406
Øksendal, Bernt
35
2005
Optimal stopping with delayed information. Zbl 1089.60027
Øksendal, Bernt
14
2005
Backward stochastic partial differential equations with jumps and application to optimal control of random jump fields. Zbl 1090.60057
Øksendal, Bernt; Proske, Frank; Zhang, Tusheng
12
2005
Weighted local time for fractional Brownian motion and applications to finance. Zbl 1067.60028
Hu, Yaozhong; Øksendal, Bernt; Salopek, Donna Mary
10
2005
White noise analysis for Lévy processes. Zbl 1078.60054
Di Nunno, Giulia; Øksendal, Bernt; Proske, Frank
54
2004
An introduction to white-noise theory and Malliavin calculus for fractional Brownian motion. Zbl 1043.60044
Biagini, Francesca; Øksendal, Bernt; Sulem, Agnés; Wallner, Naomi
48
2004
White noise of Poisson random measures. Zbl 1060.60069
Øksendal, Bernt; Proske, Frank
18
2004
Stochastic partial differential equations driven by Lévy space-time white noise. Zbl 1053.60069
Løkka, Arne; Øksendal, Bernt; Proske, Frank
16
2004
General fractional multiparameter white noise theory and stochastic partial differential equations. Zbl 1067.35161
Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng
15
2004
The Donsker delta function of a Lévy process with application to chaos expansion of local time. Zbl 1053.60047
Mataramvura, Sure; Øksendal, Bernt; Proske, Frank
9
2004
Stochastic differential equations. An introduction with applications. 6th ed. Zbl 1025.60026
Øksendal, Bernt
564
2003
Fractional white noise calculus and applications to finance. Zbl 1045.60072
Hu, Yaozhong; Øksendal, Bernt
153
2003
Explicit representation of the minimal variance portfolio in markets driven by Lévy processes. Zbl 1173.91377
Benth, Fred Espen; Di Nunno, Giulia; Løkka, Arne; Øksendal, Bernt; Proske, Frank
27
2003
Optimal consumption and portfolio in a Black–Scholes market driven by fractional Brownian motion. Zbl 1180.91266
Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnés
18
2003
Partial observation control in an anticipating environment. Zbl 1055.93075
Øksendal, B.; Sulem, A.
6
2003
Minimal variance hedging for fractional Brownian motion. Zbl 1056.60033
Biagini, Francesca; Øksendal, Bernt
3
2003
Optimal consumption and portfolio with both fixed and proportional transaction costs. Zbl 1102.91054
Øksendal, Bernt; Sulem, Agnès
57
2002
A stochastic maximum principle for processes driven by fractional Brownian motion. Zbl 1064.93048
Biagini, Francesca; Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnès
29
2002
Chaos expansion of local time of fractional Brownian motions. Zbl 1011.60016
Hu, Yaozhong; Øksendal, Bernt
16
2002
...and 73 more Documents
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Cited by 3,726 Authors

89 Øksendal, Bernt Karsten
27 Siu, Tak Kuen
26 Wu, Zhen
24 Yan, Litan
22 Hu, Yaozhong
20 Agram, Nacira
20 Shi, Jingtao
19 Proske, Frank Norbert
18 Alvarez, Luis H. R.
17 Jumarie, Guy M.
17 Lanconelli, Alberto
17 Sulem, Agnès
16 Di Nunno, Giulia
16 Yoshioka, Hidekazu
15 Alpay, Daniel Aron
15 Nualart, David
15 Shen, Yang
15 Wang, Guangchen
15 Zhang, Tusheng S.
14 Kim, Jeong-Hoon
13 Li, Xun
13 Meng, Qingxin
13 Xiong, Jie
12 Duan, Jinqiao
12 Gapeev, Pavel V.
12 Malinowski, Marek T.
12 Menoukeu Pamen, Olivier
12 Xie, Yingchao
11 Elliott, Robert James
11 Ubøe, Jan
10 Bayraktar, Erhan
10 Makasu, Cloud
10 Meyer-Brandis, Thilo
10 Peng, Xingchun
10 Tudor, Ciprian A.
10 Young, Virginia R.
10 Zeng, Caibin
9 Bender, Christian
9 Christensen, Soren
9 Cortés López, Juan Carlos
9 Jørgensen, Palle E. T.
9 Liu, Meng
9 Wu, Jianglun
9 Yaegashi, Yuta
9 Yannacopoulos, Athanasios N.
9 Yin, George Gang
9 Yong, Jiongmin
8 Biagini, Francesca
8 Djehiche, Boualem
8 Ferrari, Giorgio
8 Forsyth, Peter A.
8 Hafayed, Mokhtar
8 Huang, Jianhui
8 Ji, Un Cig
8 Khodabin, Morteza
8 Liang, Zongxia
8 Mao, Xuerong
8 Mezerdi, Brahim
8 Pham, Huyên
8 Shen, Guangjun
8 Shi, Yufeng
8 Sun, Zhongyang
8 Viens, Frederi G.
8 Wang, Yan
8 Yang, Hailiang
8 Yu, Zhiyong
8 Zhang, Qing
7 Abbas, Syed
7 Al-Hussein, Abdulrahman
7 Bensoussan, Alain
7 Benth, Fred Espen
7 Egami, Masahiko
7 Hening, Alexandru
7 Jin, Zhuo
7 Kachanovsky, Nikolai A.
7 Levajković, Tijana
7 Liu, Zaiming
7 Privault, Nicolas
7 Roberts, Gareth O.
7 Rozovskii, Boris L.
7 Särkkä, Simo
7 Seleši, Dora
7 Shevchenko, Georgiy M.
7 Tindel, Samy
7 Xiao, Hua
7 Xiao, Yimin
7 Yang, Qigui
7 Zeng, Yan
7 Zervos, Mihail
6 Bai, Chuanzhi
6 Barndorff-Nielsen, Ole Eiler
6 Carmona, René A.
6 Chala, Adel
6 Chen, Bin
6 Chen, Fenge
6 Delong, Łukasz
6 Di Persio, Luca
6 Djaidja, Sabir
6 Draouil, Olfa
6 Federico, Salvatore
...and 3,626 more Authors
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Cited in 461 Serials

91 Stochastic Processes and their Applications
78 Stochastic Analysis and Applications
74 Stochastics
60 Applied Mathematics and Optimization
59 Insurance Mathematics & Economics
56 Journal of Computational and Applied Mathematics
50 Journal of Mathematical Analysis and Applications
48 Automatica
45 Advances in Difference Equations
43 Journal of Economic Dynamics & Control
39 SIAM Journal on Control and Optimization
38 Mathematical Problems in Engineering
37 European Journal of Operational Research
36 Journal of Optimization Theory and Applications
35 Stochastics and Dynamics
34 Applied Mathematics and Computation
33 Statistics & Probability Letters
33 International Journal of Theoretical and Applied Finance
32 Journal of Statistical Physics
32 Infinite Dimensional Analysis, Quantum Probability and Related Topics
31 Quantitative Finance
30 International Journal of Control
30 Chaos, Solitons and Fractals
29 Systems & Control Letters
28 The Annals of Applied Probability
27 Mathematical Methods of Operations Research
26 Journal of Computational Physics
26 Physica A
25 Journal of Functional Analysis
25 Journal of Systems Science and Complexity
25 Mathematics and Financial Economics
24 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
24 Abstract and Applied Analysis
23 Mathematical Control and Related Fields
22 Advances in Applied Probability
22 Journal of Theoretical Probability
21 Journal of Applied Probability
21 Discrete and Continuous Dynamical Systems. Series B
19 Computers & Mathematics with Applications
19 The Annals of Probability
19 Journal of Differential Equations
18 Potential Analysis
18 Bernoulli
18 Mathematical Finance
17 Transactions of the American Mathematical Society
16 Journal of Nonlinear Science
16 Methodology and Computing in Applied Probability
15 Proceedings of the American Mathematical Society
15 Applied Mathematical Finance
15 Afrika Matematika
14 Journal of Mathematical Physics
14 Mediterranean Journal of Mathematics
14 SIAM Journal on Financial Mathematics
13 Journal of the Franklin Institute
13 Communications in Statistics. Theory and Methods
13 Nonlinear Dynamics
13 Discrete Dynamics in Nature and Society
13 Communications in Nonlinear Science and Numerical Simulation
12 Computer Methods in Applied Mechanics and Engineering
12 Journal of Mathematical Biology
12 Mathematics of Operations Research
12 Journal of Scientific Computing
12 Scandinavian Actuarial Journal
12 Statistics and Computing
12 Annals of Finance
11 Probability Theory and Related Fields
11 Annals of Operations Research
11 Random Operators and Stochastic Equations
11 Journal of Industrial and Management Optimization
11 Science China. Mathematics
10 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
10 Acta Mathematicae Applicatae Sinica. English Series
10 Finance and Stochastics
10 International Journal of Stochastic Analysis
9 Journal of Mathematical Economics
9 Mathematics and Computers in Simulation
9 Acta Applicandae Mathematicae
9 Applied Mathematics Letters
9 Chaos
9 The ANZIAM Journal
9 Frontiers of Mathematics in China
8 Communications in Mathematical Physics
8 Quarterly of Applied Mathematics
8 International Journal of Robust and Nonlinear Control
8 European Journal of Control
8 Advances in Mathematical Physics
8 Stochastic and Partial Differential Equations. Analysis and Computations
7 Mathematical Biosciences
7 BIT
7 Mathematical and Computer Modelling
7 Journal of Applied Mathematics and Stochastic Analysis
7 Numerical Algorithms
7 Communications in Partial Differential Equations
7 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
7 Acta Mathematica Scientia. Series B. (English Edition)
7 Comptes Rendus. Mathématique. Académie des Sciences, Paris
7 Journal of Applied Mathematics and Computing
7 Proceedings of the Steklov Institute of Mathematics
6 Bulletin of Mathematical Biology
6 Integral Equations and Operator Theory
...and 361 more Serials
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Cited in 53 Fields

1,903 Probability theory and stochastic processes (60-XX)
964 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
859 Systems theory; control (93-XX)
448 Calculus of variations and optimal control; optimization (49-XX)
374 Partial differential equations (35-XX)
322 Numerical analysis (65-XX)
228 Ordinary differential equations (34-XX)
208 Statistics (62-XX)
146 Biology and other natural sciences (92-XX)
131 Operations research, mathematical programming (90-XX)
86 Dynamical systems and ergodic theory (37-XX)
86 Statistical mechanics, structure of matter (82-XX)
83 Operator theory (47-XX)
65 Functional analysis (46-XX)
65 Fluid mechanics (76-XX)
55 Integral equations (45-XX)
43 Real functions (26-XX)
37 Functions of a complex variable (30-XX)
32 Computer science (68-XX)
32 Quantum theory (81-XX)
29 Potential theory (31-XX)
21 Mechanics of particles and systems (70-XX)
19 Harmonic analysis on Euclidean spaces (42-XX)
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17 Information and communication theory, circuits (94-XX)
15 Measure and integration (28-XX)
13 Mechanics of deformable solids (74-XX)
12 Several complex variables and analytic spaces (32-XX)
11 Difference and functional equations (39-XX)
9 Approximations and expansions (41-XX)
8 Linear and multilinear algebra; matrix theory (15-XX)
8 Geophysics (86-XX)
7 Combinatorics (05-XX)
6 Special functions (33-XX)
5 Mathematical logic and foundations (03-XX)
5 Integral transforms, operational calculus (44-XX)
5 Differential geometry (53-XX)
5 Classical thermodynamics, heat transfer (80-XX)
4 Topological groups, Lie groups (22-XX)
4 Abstract harmonic analysis (43-XX)
4 Optics, electromagnetic theory (78-XX)
3 General and overarching topics; collections (00-XX)
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3 Mathematics education (97-XX)
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1 Category theory; homological algebra (18-XX)
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1 Astronomy and astrophysics (85-XX)

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