Edit Profile (opens in new tab) Øksendal, Bernt Karsten Compute Distance To: Compute 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 all top 5 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 all top 5 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 all top 5 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) Publications by Year all cited Publications top 5 cited Publications 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 1025.60026Øksendal, Bernt 564 2003 Stochastic differential equations. An introduction with applications. 5th ed. Zbl 0897.60056Øksendal, Bernt 198 1998 Applied stochastic control of jump diffusions. 2nd ed. Zbl 1116.93004Øksendal, Bernt; Sulem, Agnès 197 2007 Applied stochastic control of jump diffusions. Zbl 1074.93009Øksendal, Bernt; Sulem, Agnès 191 2005 Stochastic calculus for fractional Brownian motion and applications. Zbl 1157.60002Biagini, Francesca; Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng 177 2008 Fractional white noise calculus and applications to finance. Zbl 1045.60072Hu, Yaozhong; Øksendal, Bernt 153 2003 Stochastic partial differential equations. A modeling, white noise functional approach. Zbl 0860.60045Holden, 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 1140.93496Framstad, N. C.; Øksendal, B.; Sulem, A. 76 2005 Stochastic differential equations. An introduction with applications. 4th ed. Zbl 0841.60037Øksendal, Bernt 74 1995 Optimal harvesting from a population in a stochastic crowded environment. Zbl 0885.60052Lungu, E. M.; Øksendal, B. 66 1997 Some solvable stochastic control problems with delay. Zbl 0999.93072Elsanosi, Ismail; Øksendal, Bernt; Sulem, Agnès 60 2000 Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations. Zbl 1217.93183Øksendal, Bernt; Sulem, Agnès; Zhang, Tusheng 58 2011 Optimal consumption and portfolio with both fixed and proportional transaction costs. Zbl 1102.91054Øksendal, Bernt; Sulem, Agnès 57 2002 Stochastic partial differential equations. A modeling, white noise functional approach. 2nd ed. Zbl 1198.60005Holden, Helge; Øksendal, Bernt; Ubøe, Jan; Zhang, Tusheng 57 2010 A mean-field stochastic maximum principle via Malliavin calculus. Zbl 1252.49039Meyer-Brandis, Thilo; Øksendal, Bernt; Zhou, Xun Yu 56 2012 White noise analysis for Lévy processes. Zbl 1078.60054Di Nunno, Giulia; Øksendal, Bernt; Proske, Frank 54 2004 Risk minimizing portfolios and HJBI equations for stochastic differential games. Zbl 1145.93054Mataramvura, Sure; Øksendal, Bernt 53 2008 White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance. Zbl 0963.60065Aase, Knut; Øksendal, Bernt; Privault, Nicolas; Ubøe, Jan 52 2000 Optimal switching in an economic activity under uncertainty. Zbl 0801.60036Brekke, Kjell Arne; Øksendal, Bernt 52 1994 Maximum principles for optimal control of forward-backward stochastic differential equations with jumps. Zbl 1207.93115Øksendal, Bernt; Sulem, Agnès 51 2010 An introduction to white-noise theory and Malliavin calculus for fractional Brownian motion. Zbl 1043.60044Biagini, Francesca; Øksendal, Bernt; Sulem, Agnés; Wallner, Naomi 48 2004 Stochastic differential equations. An introduction with applications. Zbl 0567.60055Øksendal, Bernt 45 1985 Malliavin calculus and anticipative Itô formulae for Lévy processes. Zbl 1080.60068Di Nunno, Giulia; Meyer-Brandis, Thilo; Øksendal, Bernt; Proske, Frank 44 2005 Stochastic differential equations. An introduction with applications. 3rd ed. Zbl 0747.60052Øksendal, Bernt 40 1992 Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs. Zbl 1013.91055Framstad, Nils Chr.; Øksendal, Bernt; Sulem, Agnès 40 2001 A general stochastic calculus approach to insider trading. Zbl 1093.60044Biagini, Francesca; Øksendal, Bernt 39 2005 Optimal stochastic intervention control with application to the exchange rate. Zbl 0943.91038Mundaca, Gabriela; Øksendal, Bernt 38 1998 Forward-backward stochastic differential games and stochastic control under model uncertainty. Zbl 1290.49076Øksendal, Bernt; Sulem, Agnès 36 2014 A maximum principle for stochastic control with partial information. Zbl 1140.93046Baghery, Fouzia; Øksendal, Bernt 36 2007 A maximum principle for optimal control of stochastic systems with delay, with applications to finance. Zbl 1054.93531Øksendal, Bernt; Sulem, Agnès 36 2001 Optimal control of stochastic partial differential equations. Zbl 1156.93406Øksendal, Bernt 35 2005 A maximum principle for infinite horizon delay equations. Zbl 1273.93175Agram, N.; Haadem, S.; Øksendal, B.; Proske, F. 31 2013 A stochastic maximum principle for processes driven by fractional Brownian motion. Zbl 1064.93048Biagini, Francesca; Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnès 29 2002 Malliavin calculus and optimal control of stochastic Volterra equations. Zbl 1335.60121Agram, Nacira; Øksendal, Bernt 28 2015 The Burgers equation with a noisy force and the stochastic heat equation. Zbl 0804.35158Holden, 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 1173.91377Benth, 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 1320.60121Agram, Nacira; Øksendal, Bernt 26 2014 Optimal portfolio for an insider in a market driven by Lévy processes. Zbl 1136.91426Di Nunno, Giulia; Meyer-Brandis, Thilo; Øksendal, Bernt; Proske, Frank 25 2006 Optimal time to invest when the price processes are geometric Brownian motions. Zbl 0904.60030Hu, Yaozhong; Øksendal, Bernt 24 1998 Partial information linear quadratic control for jump diffusions. Zbl 1165.93037Hu, 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 1334.00056Øksendal, Bernt 22 2013 Stochastic Stackelberg equilibria with applications to time-dependent newsvendor models. Zbl 1402.90010Øksendal, Bernt; Sandal, Leif; Ubøe, Jan 20 2013 Stochastic control problems where small intervention costs have big effects. Zbl 0938.93063Øksendal, B. 20 1999 Maximum principle for stochastic differential games with partial information. Zbl 1159.91321An, T. T. K.; Øksendal, B. 19 2009 Portfolio optimization under model uncertainty and BSDE games. Zbl 1277.91159Øksendal, Bernt; Sulem, Agnès 19 2011 Optimal harvesting from interacting populations in a stochastic environment. Zbl 1010.93107Lungu, Edward; Øksendal, Bernt 19 2001 Optimal consumption and portfolio in a Black–Scholes market driven by fractional Brownian motion. Zbl 1180.91266Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnés 18 2003 White noise of Poisson random measures. Zbl 1060.60069Øksendal, Bernt; Proske, Frank 18 2004 Multiparameter fractional Brownian motion and quasi-linear stochastic partial differential equations. Zbl 0986.60056Øksendal, Bernt; Zhang, Tusheng 18 2001 Risk minimization in financial markets modeled by Itô-Lévy processes. Zbl 1334.60122Øksendal, Bernt; Sulem, Agnès 17 2015 Optimal stochastic impulse control with delayed reaction. Zbl 1161.93029Øksendal, Bernt; Sulem, Agnès 17 2008 The Itô-Ventzell formula and forward stochastic differential equations driven by Poisson random measures. Zbl 1118.60052Øksendal, Bernt; Zhang, Tusheng 17 2007 The high contact principle as a sufficiency condition for optimal stopping. Zbl 0783.90019Brekke, Kjell Arne; Øksendal, Bernt 16 1991 Chaos expansion of local time of fractional Brownian motions. Zbl 1011.60016Hu, Yaozhong; Øksendal, Bernt 16 2002 Stochastic partial differential equations driven by Lévy space-time white noise. Zbl 1053.60069Løkka, Arne; Øksendal, Bernt; Proske, Frank 16 2004 Optimal control of systems with noisy memory and BSDEs with Malliavin derivatives. Zbl 1339.93121Dahl, K.; Mohammed, S.-E. A.; Øksendal, B.; Røse, E. E. 16 2016 Applied stochastic control of jump diffusions. 3rd expanded and updated edition. Zbl 1422.93001Øksendal, Bernt; Sulem, Agnès 15 2019 Using the Donsker delta function to compute hedging strategies. Zbl 0993.91022Aase, Knut; Øksendal, Bernt; Obøe, Jan 15 2001 Singular stochastic control and optimal stopping with partial information of Itô-Lévy processes. Zbl 1259.93135Øksendal, Bernt; Sulem, Agnès 15 2012 General fractional multiparameter white noise theory and stochastic partial differential equations. Zbl 1067.35161Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng 15 2004 Risk indifference pricing in jump diffusion markets. Zbl 1187.91105Øksendal, Bernt; Sulem, Agnès 15 2009 Viscosity solutions of optimal stopping problems. Zbl 0913.60037Øksendal, Bernt; Reikvam, Kristin 14 1998 Optimal stopping with delayed information. Zbl 1089.60027Øksendal, Bernt 14 2005 Singular control and optimal stopping of SPDEs, and backward SPDEs with reflection. Zbl 1306.93078Øksendal, Bernt; Sulem, Agnès; Zhang, Tusheng 13 2014 Asymptotic properties of the solutions to stochastic KPP equations. Zbl 0978.60070Øksendal, B.; Våge, G.; Zhao, H. Z. 13 2000 Two properties of stochastic KPP equations: Ergodicity and pathwise property. Zbl 0993.60064Øksendal, B.; Våge, G.; Zhao, H. Z. 13 2001 Linear Volterra backward stochastic integral equations. Zbl 1405.60074Hu, Yaozhong; Øksendal, Bernt 12 2019 Brownian motion and sets of harmonic measure zero. Zbl 0493.31001Øksendal, Bernt 12 1981 Minimal variance hedging for insider trading. Zbl 1134.91397Biagini, Francesca; Øksendal, Bernt 12 2006 Backward stochastic partial differential equations with jumps and application to optimal control of random jump fields. Zbl 1090.60057Øksendal, Bernt; Proske, Frank; Zhang, Tusheng 12 2005 Null sets for measures orthogonal to R(X). Zbl 0255.46042Øksendal, Bernt K. 12 1972 Wick multiplication and Ito-Skorohod stochastic differential equations. Zbl 0760.60057Lindstrøm, Tom; Øksendal, Bernt; Ubøe, Jan 11 1992 Maximum principles for jump diffusion processes with infinite horizon. Zbl 1364.93861Haadem, Sven; Øksendal, Bernt; Proske, Frank 11 2013 Stochastic differential equations. An introduction with applications. 2nd ed. Zbl 0694.60046Øksendal, Bernt 10 1989 Stochastic partial differential equations driven by multiparameter fractional white noise. Zbl 0982.60054Hu, 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 1014.91042Chancelier, J.-Ph.; Øksendal, B.; Sulem, A. 10 2002 Weighted local time for fractional Brownian motion and applications to finance. Zbl 1067.60028Hu, Yaozhong; Øksendal, Bernt; Salopek, Donna Mary 10 2005 Strategic insider trading equilibrium: a filter theory approach. Zbl 1267.91058Aase, Knut K.; Bjuland, Terje; Øksendal, Bernt 10 2012 A Donsker delta functional approach to optimal insider control and applications to finance. Zbl 1341.49029Draouil, Olfa; Øksendal, Bernt 9 2015 Exit times for elliptic diffusions and BMO. Zbl 0625.60088Bañuelos, R.; Øksendal, Bernt 9 1987 Analytic capacity and differentiability properties of finely harmonic functions. Zbl 0527.31001Davie, Alexander M.; Øksendal, Bernt 9 1982 Stochastic harmonic morphisms: Functions mapping the paths of one diffusion into the paths of another. Zbl 0498.60083Csink, L.; Øksendal, Bernt 9 1983 Optimal stopping of stochastic differential equations with delay driven by Lévy noise. Zbl 1216.60036Federico, Salvatore; Øksendal, Bernt Karsten 9 2011 Optimal portfolio, partial information and Malliavin calculus. Zbl 1176.93081Di Nunno, Giulia; Øksendal, Bernt 9 2009 The Donsker delta function of a Lévy process with application to chaos expansion of local time. Zbl 1053.60047Mataramvura, Sure; Øksendal, Bernt; Proske, Frank 9 2004 The pressure equation for fluid flow in a stochastic medium. Zbl 0834.60068Holden, H.; Lindstrøm, T.; Øksendal, B.; Ubøe, J.; Zhang, T.-S. 8 1995 Wick approximation of quasilinear stochastic differential equations. Zbl 0845.60058Hu, Yaozhong; Øksendal, Bernt 8 1996 Stochastic control of memory mean-field processes. Zbl 1411.60081Agram, Nacira; Øksendal, Bernt 8 2019 Stochastic differential equations involving positive noise. Zbl 0783.60055Lindstrøm, Tom; Øksendal, Bernt; Ubøe, Jan 7 1991 Stochastic boundary value problems: A white noise functional approach. Zbl 0792.60055Holden, Helge; Lindstrøm, Tom; Øksendal, Bernt; Ubøe, Jan; Zhang, Tu-Sheng 7 1993 A universal optimal consumption rate for an insider. Zbl 1136.91456Øksendal, Bernt 7 2006 Projection estimates for harmonic measure. Zbl 0537.31002Øksendal, Bernt 7 1983 Advanced mathematical methods for finance. Zbl 1211.91008 7 2011 Optimal control with partial information for stochastic Volterra equations. Zbl 1214.49033Øksendal, Bernt; Zhang, Tusheng 7 2010 Stochastic partial differential equations driven by multi-parameter white noise of Lévy processes. Zbl 1153.60037Øksendal, Bernt 7 2008 Optimal control of forward-backward stochastic Volterra equations. Zbl 1400.45001Agram, Nacira; Øksendal, Bernt; Yakhlef, Samia 6 2018 Optimal multi-dimensional stochastic harvesting with density-dependent prices. Zbl 1386.60196Alvarez, Luis H. R.; Lungu, Edward; Øksendal, Bernt 6 2016 When is a stochastic integral a time change of a diffusion? Zbl 0698.60046Øksendal, Bernt 6 1990 The Wick product. Zbl 0820.60048Gjessing, 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 1233.91338Di Nunno, Giulia; Menoukeu Pamen, Olivier; Øksendal, Bernt; Proske, Frank 6 2011 Singular control of SPDEs with space-mean dynamics. Zbl 1459.60135Agram, Nacira; Hilbert, Astrid; Øksendal, Bernt 2 2020 Applied stochastic control of jump diffusions. 3rd expanded and updated edition. Zbl 1422.93001Øksendal, Bernt; Sulem, Agnès 15 2019 Linear Volterra backward stochastic integral equations. Zbl 1405.60074Hu, Yaozhong; Øksendal, Bernt 12 2019 Stochastic control of memory mean-field processes. Zbl 1411.60081Agram, Nacira; Øksendal, Bernt 8 2019 Singular control optimal stopping of memory mean-field processes. Zbl 1418.60052Agram, Nacira; Bachouch, Achref; Øksendal, Bernt; Proske, Frank 3 2019 Model uncertainty stochastic mean-field control. Zbl 1432.93377Agram, Nacira; Øksendal, Bernt 3 2019 Correction to: “Stochastic control of memory mean-field processes”. Zbl 1466.60108Agram, Nacira; Øksendal, Bernt 3 2019 A white noise approach to optimal insider control of systems with delay. Zbl 1411.91496Draouil, Olfa; Øksendal, Bernt 1 2019 New approach to optimal control of stochastic Volterra integral equations. Zbl 07554643Agram, Nacira; Øksendal, Bernt; Yakhlef, Samia 1 2019 Optimal control of forward-backward stochastic Volterra equations. Zbl 1400.45001Agram, Nacira; Øksendal, Bernt; Yakhlef, Samia 6 2018 A Hida-Malliavin white noise calculus approach to optimal control. Zbl 1400.60077Agram, Nacira; Øksendal, Bernt 2 2018 Optimal control with delayed information flow of systems driven by \(G\)-Brownian motion. Zbl 1444.60044Biagini, Francesca; Meyer-Brandis, Thilo; Øksendal, Bernt; Paczka, Krzysztof 2 2018 Stochastic control for mean-field stochastic partial differential equations with jumps. Zbl 1391.60156Dumitrescu, Roxana; Øksendal, Bernt; Sulem, Agnès 1 2018 Singular recursive utility. Zbl 1394.60060Dahl, K. R.; Øksendal, B. 5 2017 Singular mean-field control games. Zbl 1376.91029Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnès 5 2017 Dynamic robust duality in utility maximization. Zbl 1361.60047Øksendal, Bernt; Sulem, Agnès 4 2017 Optimal control of systems with noisy memory and BSDEs with Malliavin derivatives. Zbl 1339.93121Dahl, K.; Mohammed, S.-E. A.; Øksendal, B.; Røse, E. E. 16 2016 Optimal multi-dimensional stochastic harvesting with density-dependent prices. Zbl 1386.60196Alvarez, Luis H. R.; Lungu, Edward; Øksendal, Bernt 6 2016 Optimal insider control and semimartingale decompositions under enlargement of filtration. Zbl 1350.60065Draouil, Olfa; Øksendal, Bernt 6 2016 Optimal control of predictive mean-field equations and applications to finance. Zbl 1341.49032Øksendal, Bernt; Sulem, Agnès 5 2016 Stochastic differential games with inside information. Zbl 1349.91031Draouil, Olfa; Øksendal, Bernt 4 2016 A stochastic HJB equation for optimal control of forward-backward SDEs. Zbl 1354.60061Øksendal, Bernt; Sulem, Agnès; Zhang, Tusheng 3 2016 Malliavin calculus and optimal control of stochastic Volterra equations. Zbl 1335.60121Agram, Nacira; Øksendal, Bernt 28 2015 Risk minimization in financial markets modeled by Itô-Lévy processes. Zbl 1334.60122Øksendal, Bernt; Sulem, Agnès 17 2015 A Donsker delta functional approach to optimal insider control and applications to finance. Zbl 1341.49029Draouil, Olfa; Øksendal, Bernt 9 2015 Market viability and martingale measures under partial information. Zbl 1338.60121Fontana, Claudio; Øksendal, Bernt; Sulem, Agnès 2 2015 Forward-backward stochastic differential games and stochastic control under model uncertainty. Zbl 1290.49076Øksendal, Bernt; Sulem, Agnès 36 2014 Infinite horizon optimal control of forward-backward stochastic differential equations with delay. Zbl 1320.60121Agram, Nacira; Øksendal, Bernt 26 2014 Singular control and optimal stopping of SPDEs, and backward SPDEs with reflection. Zbl 1306.93078Øksendal, Bernt; Sulem, Agnès; Zhang, Tusheng 13 2014 Stackelberg equilibria in a continuous-time vertical contracting model with uncertain demand and delayed information. Zbl 1337.60156Øksendal, Bernt; Sandal, Leif; Ubøe, Jan 5 2014 A maximum principle for infinite horizon delay equations. Zbl 1273.93175Agram, 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 1334.00056Øksendal, Bernt 22 2013 Stochastic Stackelberg equilibria with applications to time-dependent newsvendor models. Zbl 1402.90010Øksendal, Bernt; Sandal, Leif; Ubøe, Jan 20 2013 Maximum principles for jump diffusion processes with infinite horizon. Zbl 1364.93861Haadem, Sven; Øksendal, Bernt; Proske, Frank 11 2013 A Malliavin calculus approach to general stochastic differential games with partial information. Zbl 1270.91013Kieu, An Ta Thi; Øksendal, Bernt; Okur, Yeliz Yolcu 3 2013 Optimal stopping and stochastic control differential games for jump diffusions. Zbl 1286.93200Baghery, Fouzia; Haadem, Sven; Øksendal, Bernt; Turpin, Isabelle 2 2013 A mean-field stochastic maximum principle via Malliavin calculus. Zbl 1252.49039Meyer-Brandis, Thilo; Øksendal, Bernt; Zhou, Xun Yu 56 2012 Singular stochastic control and optimal stopping with partial information of Itô-Lévy processes. Zbl 1259.93135Øksendal, Bernt; Sulem, Agnès 15 2012 Strategic insider trading equilibrium: a filter theory approach. Zbl 1267.91058Aase, Knut K.; Bjuland, Terje; Øksendal, Bernt 10 2012 A maximum principle for stochastic differential games with \(g\)-expectations and partial information. Zbl 1251.93137An, Ta Thi Kieu; Øksendal, Bernt 6 2012 Insider trading equilibrium in a market with memory. Zbl 1262.91156Biagini, 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 1331.91209Øksendal, Bernt; Zhang, Tusheng 4 2012 Partially informed noise traders. Zbl 1264.91063Aase, Knut K.; Bjuland, Terje; Øksendal, Bernt 3 2012 Optimal partial information control of SPDEs with delay and time-advanced backward SPDEs. Zbl 1283.93316Øksendal, Bernt; Sulem, Agnès; Zhang, Tusheng 3 2012 Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations. Zbl 1217.93183Øksendal, Bernt; Sulem, Agnès; Zhang, Tusheng 58 2011 Portfolio optimization under model uncertainty and BSDE games. Zbl 1277.91159Øksendal, Bernt; Sulem, Agnès 19 2011 Optimal stopping of stochastic differential equations with delay driven by Lévy noise. Zbl 1216.60036Federico, 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 1233.91338Di Nunno, Giulia; Menoukeu Pamen, Olivier; Øksendal, Bernt; Proske, Frank 6 2011 An anticipative linear filtering equation. Zbl 1222.93220Aase, Knut K.; Bjuland, Terje; Øksendal, Bernt 2 2011 Robust stochastic control and equivalent martingale measures. Zbl 1248.93174Øksendal, Bernt; Sulem, Agnès 2 2011 Stochastic partial differential equations. A modeling, white noise functional approach. 2nd ed. Zbl 1198.60005Holden, Helge; Øksendal, Bernt; Ubøe, Jan; Zhang, Tusheng 57 2010 Maximum principles for optimal control of forward-backward stochastic differential equations with jumps. Zbl 1207.93115Øksendal, Bernt; Sulem, Agnès 51 2010 Optimal control with partial information for stochastic Volterra equations. Zbl 1214.49033Øksendal, Bernt; Zhang, Tusheng 7 2010 Maximum principle for stochastic differential games with partial information. Zbl 1159.91321An, T. T. K.; Øksendal, B. 19 2009 Risk indifference pricing in jump diffusion markets. Zbl 1187.91105Øksendal, Bernt; Sulem, Agnès 15 2009 Optimal portfolio, partial information and Malliavin calculus. Zbl 1176.93081Di Nunno, Giulia; Øksendal, Bernt 9 2009 Anticipative stochastic control for Lévy processes with application to insider trading. Zbl 1180.91142Sulem, Agnès; Kohatsu-Higa, Arturo; Øksendal, Bernt; Proske, Frank; Di Nunno, Giulia 2 2009 Stochastic calculus for fractional Brownian motion and applications. Zbl 1157.60002Biagini, Francesca; Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng 177 2008 Risk minimizing portfolios and HJBI equations for stochastic differential games. Zbl 1145.93054Mataramvura, Sure; Øksendal, Bernt 53 2008 Partial information linear quadratic control for jump diffusions. Zbl 1165.93037Hu, Yaozhong; Øksendal, Bernt 23 2008 Optimal stochastic impulse control with delayed reaction. Zbl 1161.93029Øksendal, Bernt; Sulem, Agnès 17 2008 Stochastic partial differential equations driven by multi-parameter white noise of Lévy processes. Zbl 1153.60037Øksendal, Bernt 7 2008 A game theoretic approach to martingale measures in incomplete markets. Zbl 1199.91029Oksendal, 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 1208.60070Di Nunno, Giulia; Øksendal, Bernt 3 2008 Forward integrals and an Itô formula for fractional Brownian motion. Zbl 1149.60035Biagini, Francesca; Øksendal, Bernt 1 2008 Optimal stopping with advanced information flow: selected examples. Zbl 1151.93033Hu, Yaozhong; Øksendal, Bernt 1 2008 Applied stochastic control of jump diffusions. 2nd ed. Zbl 1116.93004Øksendal, Bernt; Sulem, Agnès 197 2007 A maximum principle for stochastic control with partial information. Zbl 1140.93046Baghery, Fouzia; Øksendal, Bernt 36 2007 The Itô-Ventzell formula and forward stochastic differential equations driven by Poisson random measures. Zbl 1118.60052Øksendal, Bernt; Zhang, Tusheng 17 2007 Optimal smooth portfolio selection for an insider. Zbl 1136.60047Hu, Yaozhong; Øksendal, Bernt 5 2007 Fractional Brownian motion in finance. Zbl 1185.91194Øksendal, B. 5 2007 A representation theorem and a sensitivity result for functionals of jump diffusions. Zbl 1130.60083Di Nunno, Giulia; Øksendal, Bernt 3 2007 Optimal portfolio for an insider in a market driven by Lévy processes. Zbl 1136.91426Di Nunno, Giulia; Meyer-Brandis, Thilo; Øksendal, Bernt; Proske, Frank 25 2006 Minimal variance hedging for insider trading. Zbl 1134.91397Biagini, Francesca; Øksendal, Bernt 12 2006 A universal optimal consumption rate for an insider. Zbl 1136.91456Øksendal, Bernt 7 2006 The Cauchy problem for the wave equation with Lévy noise initial data. Zbl 1100.60035Øksendal, Bernt; Proske, Frank; Signahl, Mikael 3 2006 Applied stochastic control of jump diffusions. Zbl 1074.93009Øksendal, Bernt; Sulem, Agnès 191 2005 Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance. Zbl 1140.93496Framstad, N. C.; Øksendal, B.; Sulem, A. 76 2005 Malliavin calculus and anticipative Itô formulae for Lévy processes. Zbl 1080.60068Di Nunno, Giulia; Meyer-Brandis, Thilo; Øksendal, Bernt; Proske, Frank 44 2005 A general stochastic calculus approach to insider trading. Zbl 1093.60044Biagini, Francesca; Øksendal, Bernt 39 2005 Optimal control of stochastic partial differential equations. Zbl 1156.93406Øksendal, Bernt 35 2005 Optimal stopping with delayed information. Zbl 1089.60027Øksendal, Bernt 14 2005 Backward stochastic partial differential equations with jumps and application to optimal control of random jump fields. Zbl 1090.60057Øksendal, Bernt; Proske, Frank; Zhang, Tusheng 12 2005 Weighted local time for fractional Brownian motion and applications to finance. Zbl 1067.60028Hu, Yaozhong; Øksendal, Bernt; Salopek, Donna Mary 10 2005 White noise analysis for Lévy processes. Zbl 1078.60054Di Nunno, Giulia; Øksendal, Bernt; Proske, Frank 54 2004 An introduction to white-noise theory and Malliavin calculus for fractional Brownian motion. Zbl 1043.60044Biagini, Francesca; Øksendal, Bernt; Sulem, Agnés; Wallner, Naomi 48 2004 White noise of Poisson random measures. Zbl 1060.60069Øksendal, Bernt; Proske, Frank 18 2004 Stochastic partial differential equations driven by Lévy space-time white noise. Zbl 1053.60069Løkka, Arne; Øksendal, Bernt; Proske, Frank 16 2004 General fractional multiparameter white noise theory and stochastic partial differential equations. Zbl 1067.35161Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng 15 2004 The Donsker delta function of a Lévy process with application to chaos expansion of local time. Zbl 1053.60047Mataramvura, Sure; Øksendal, Bernt; Proske, Frank 9 2004 Stochastic differential equations. An introduction with applications. 6th ed. Zbl 1025.60026Øksendal, Bernt 564 2003 Fractional white noise calculus and applications to finance. Zbl 1045.60072Hu, Yaozhong; Øksendal, Bernt 153 2003 Explicit representation of the minimal variance portfolio in markets driven by Lévy processes. Zbl 1173.91377Benth, 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 1180.91266Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnés 18 2003 Partial observation control in an anticipating environment. Zbl 1055.93075Øksendal, B.; Sulem, A. 6 2003 Minimal variance hedging for fractional Brownian motion. Zbl 1056.60033Biagini, Francesca; Øksendal, Bernt 3 2003 Optimal consumption and portfolio with both fixed and proportional transaction costs. Zbl 1102.91054Øksendal, Bernt; Sulem, Agnès 57 2002 A stochastic maximum principle for processes driven by fractional Brownian motion. Zbl 1064.93048Biagini, Francesca; Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnès 29 2002 Chaos expansion of local time of fractional Brownian motions. Zbl 1011.60016Hu, Yaozhong; Øksendal, Bernt 16 2002 ...and 73 more Documents all cited Publications top 5 cited Publications 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 all top 5 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 all top 5 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) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. 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