## Øksendal, Bernt Karsten

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 Author ID: oksendal.bernt-karsten Published as: Øksendal, Bernt; Øksendal, B.; Øksendal, Bernt K.; Øksendal, Bernt Karsten; øksendal, Bernt; Oksendal, B. more...less 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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### Co-Authors

 46 single-authored 36 Sulem, Agnès 30 Zhang, Tusheng S. 20 Hu, Yaozhong 20 Ubøe, Jan 17 Proske, Frank Norbert 16 Agram, Nacira 16 Lindstrøm, Tom L. 13 Di Nunno, Giulia 13 Holden, Helge 9 Biagini, Francesca 7 Draouil, Olfa 6 Aase, Knut Kristian 5 Davie, Alexander M. 5 Meyer-Brandis, Thilo 4 Brekke, Kjell Arne 4 Csink, Laszlo 4 Haadem, Sven 4 Ustunel, Ali Suleyman 3 An, Ta Thi Kieu 3 Benth, Fred Espen 3 Bjuland, Terje 3 Lungu, Edward M. 3 Våge, Gjermund 3 Yakhlef, Samia 2 Aslaksen, Inlie 2 Baghery, Fouzia 2 Bañuelos, Rodrigo 2 2 Dahl, K. R. 2 Decreusefond, Laurent 2 Framstad, Nils Chr. 2 Gjerde, Jon 2 Kobila, T. Ø. 2 Løkka, Arne 2 Mataramvura, Sure 2 Menoukeu Pamen, Olivier 2 Ouerdiane, Habib 2 Sandal, Leif Kristoffer 1 Alvarez, Luis H. R. 1 Bachouch, Achref 1 Bekken, Otto B. 1 Briem, Eggert 1 Chancelier, Jean-Philippe 1 Dumitrescu, Roxana 1 Elsanosi, Ismail 1 Federico, Salvatore 1 Fitzsimmons, Patrick J. 1 Fontana, Claudio 1 Gjessing, Håkon K. 1 Grue, John 1 Hilbert, Astrid 1 Kieu, An Ta Thi 1 Kohatsu-Higa, Arturo 1 Korezlioglu, Hayri 1 Labed, Saloua 1 Lefèvre, David 1 Lund, Diderik 1 Martio, Olli 1 Mohammed, Salah-Eldin A. 1 Mundaca, Gabriela 1 Obøe, Jan 1 Yolcu Okur, Yeliz 1 Paczka, Krzysztof 1 Privault, Nicolas 1 Reikvam, Kristin 1 Røse, Elin Engen 1 Salopek, Donna Mary 1 Siegmund-Schultze, Reinhard 1 Signahl, Mikael 1 Soner, Halil Mete 1 Stray, Arne 1 Stroock, Daniel W. 1 Sydsaeter, Knut 1 Touzi, Nizar 1 Turpin, Isabelle 1 Wallner, Naomi
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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
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### Fields

 176 Probability theory and stochastic processes (60-XX) 85 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 81 Systems theory; control (93-XX) 40 Calculus of variations and optimal control; optimization (49-XX) 21 Partial differential equations (35-XX) 16 Functions of a complex variable (30-XX) 14 Functional analysis (46-XX) 12 General and overarching topics; collections (00-XX) 12 Potential theory (31-XX) 7 Several complex variables and analytic spaces (32-XX) 6 Measure and integration (28-XX) 6 Ordinary differential equations (34-XX) 4 Operator theory (47-XX) 4 Fluid mechanics (76-XX) 4 Operations research, mathematical programming (90-XX) 3 History and biography (01-XX) 3 Integral equations (45-XX) 3 Statistics (62-XX) 3 Biology and other natural sciences (92-XX) 2 Numerical analysis (65-XX) 2 Quantum theory (81-XX) 1 Field theory and polynomials (12-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Global analysis, analysis on manifolds (58-XX) 1 Information and communication theory, circuits (94-XX)

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

### 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) 18 Global analysis, analysis on manifolds (58-XX) 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) 3 History and biography (01-XX) 3 Number theory (11-XX) 3 Relativity and gravitational theory (83-XX) 3 Mathematics education (97-XX) 2 Sequences, series, summability (40-XX) 1 Algebraic geometry (14-XX) 1 Associative rings and algebras (16-XX) 1 Category theory; homological algebra (18-XX) 1 Convex and discrete geometry (52-XX) 1 Manifolds and cell complexes (57-XX) 1 Astronomy and astrophysics (85-XX)

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