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Øksendal, Bernt Karsten

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
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Co-Authors

47 single-authored
37 Sulem, Agnès
30 Zhang, Tusheng S.
25 Agram, Nacira
21 Hu, Yaozhong
20 Proske, Frank Norbert
20 Ubøe, Jan
16 Lindstrøm, Tom L.
15 Di Nunno, Giulia
13 Holden, Helge
9 Biagini, Francesca
8 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 Hachemi, Rahma Yasmina Moulay
3 Lungu, Edward M.
3 Våge, Gjermund
3 Yakhlef, Samia
2 Aslaksen, Inlie
2 Bachouch, Achref
2 Baghery, Fouzia
2 Bañuelos, Rodrigo
2 Bjerkholt, Olav
2 Dahl, K. R.
2 Decreusefond, Laurent
2 Framstad, Nils Chr.
2 Gjerde, Jon
2 Hilbert, Astrid
2 Kobila, T. Ø.
2 Løkka, Arne
2 Mataramvura, Sure
2 Menoukeu Pamen, Olivier
2 Ouerdiane, Habib
2 Røse, Elin Engen
2 Sandal, Leif Kristoffer
2 Tymoshenko, Olena A.
1 Alvarez, Luis H. R.
1 Bekken, Otto B.
1 Briem, Eggert
1 Chancelier, Jean-Philippe
1 Corcuera, José Manuel
1 Đorđević, Jasmina
1 Dumitrescu, Roxana
1 Elsanosi, Ismail
1 Farkas, Gergely
1 Federico, Salvatore
1 Fitzsimmons, Patrick J.
1 Fontana, Claudio
1 Gjessing, Håkon K.
1 Grue, John
1 Kieu, An Ta Thi
1 Kohatsu-Higa, Arturo
1 Korezlioglu, Hayri
1 Labed, Saloua
1 Lefèvre, David
1 Lund, Diderik
1 Makhlouf, K.
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 Pucci, Giulia
1 Reikvam, Kristin
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 Szabó, Peter
1 Touzi, Nizar
1 Turpin, Isabelle
1 Wallner, Naomi
1 Zhou, Xunyu
all top 5

Serials

13 Stochastics
11 Universitext
9 Stochastic Analysis and Applications
9 Infinite Dimensional Analysis, Quantum Probability and Related Topics
6 Applied Mathematics and Optimization
6 Journal of Optimization Theory and Applications
6 SIAM Journal on Control and Optimization
5 Journal of Functional Analysis
5 Normat
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 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
1 Fractional Calculus & Applied Analysis
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 Stochastics Monographs
1 Temahefte Matematikk
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

185 Publications have been cited 6,073 times in 4,589 Documents Cited by Year
Stochastic differential equations. An introduction with applications. 6th ed. Zbl 1025.60026
Øksendal, Bernt
2003
Stochastic calculus for fractional Brownian motion and applications. Zbl 1157.60002
Biagini, Francesca; Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng
424
2008
Stochastic differential equations. An introduction with applications. 5th ed. Zbl 0897.60056
Øksendal, Bernt
389
1998
Applied stochastic control of jump diffusions. Zbl 1074.93009
Øksendal, Bernt; Sulem, Agnès
264
2005
Applied stochastic control of jump diffusions. 2nd ed. Zbl 1116.93004
Øksendal, Bernt; Sulem, Agnès
258
2007
Stochastic partial differential equations. A modeling, white noise functional approach. Zbl 0860.60045
Holden, Helge; Øksendal, Bernt; Ubøe, Jan; Zhang, Tusheng
205
1996
Fractional white noise calculus and applications to finance. Zbl 1045.60072
Hu, Yaozhong; Øksendal, Bernt
188
2003
Stochastic differential equations. An introduction with applications. 4th ed. Zbl 0841.60037
Øksendal, Bernt
158
1995
Stochastic partial differential equations. A modeling, white noise functional approach. 2nd ed. Zbl 1198.60005
Holden, Helge; Øksendal, Bernt; Ubøe, Jan; Zhang, Tusheng
104
2010
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.
96
2005
Stochastic differential equations. An introduction with applications. Zbl 0567.60055
Øksendal, Bernt
96
1985
Stochastic differential equations. An introduction with applications. 3rd ed. Zbl 0747.60052
Øksendal, Bernt
85
1992
Optimal harvesting from a population in a stochastic crowded environment. Zbl 0885.60052
Lungu, E. M.; Øksendal, B.
73
1997
Some solvable stochastic control problems with delay. Zbl 0999.93072
Elsanosi, Ismail; Øksendal, Bernt; Sulem, Agnès
73
2000
A mean-field stochastic maximum principle via Malliavin calculus. Zbl 1252.49039
Meyer-Brandis, Thilo; Øksendal, Bernt; Zhou, Xun Yu
73
2012
Risk minimizing portfolios and HJBI equations for stochastic differential games. Zbl 1145.93054
Mataramvura, Sure; Øksendal, Bernt
69
2008
Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations. Zbl 1217.93183
Øksendal, Bernt; Sulem, Agnès; Zhang, Tusheng
67
2011
White noise analysis for Lévy processes. Zbl 1078.60054
Di Nunno, Giulia; Øksendal, Bernt; Proske, Frank
64
2004
Optimal consumption and portfolio with both fixed and proportional transaction costs. Zbl 1102.91054
Øksendal, Bernt; Sulem, Agnès
63
2002
Malliavin calculus and anticipative Itô formulae for Lévy processes. Zbl 1080.60068
Di Nunno, Giulia; Meyer-Brandis, Thilo; Øksendal, Bernt; Proske, Frank
62
2005
Maximum principles for optimal control of forward-backward stochastic differential equations with jumps. Zbl 1207.93115
Øksendal, Bernt; Sulem, Agnès
59
2010
Optimal switching in an economic activity under uncertainty. Zbl 0801.60036
Brekke, Kjell Arne; Øksendal, Bernt
55
1994
An introduction to white-noise theory and Malliavin calculus for fractional Brownian motion. Zbl 1043.60044
Biagini, Francesca; Øksendal, Bernt; Sulem, Agnés; Wallner, Naomi
55
2004
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
55
2000
A maximum principle for optimal control of stochastic systems with delay, with applications to finance. Zbl 1054.93531
Øksendal, Bernt; Sulem, Agnès
54
2001
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
47
2013
Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs. Zbl 1013.91055
Framstad, Nils Chr.; Øksendal, Bernt; Sulem, Agnès
46
2001
Applied stochastic control of jump diffusions. 3rd expanded and updated edition. Zbl 1422.93001
Øksendal, Bernt; Sulem, Agnès
46
2019
Optimal control of stochastic partial differential equations. Zbl 1156.93406
Øksendal, Bernt
43
2005
Forward-backward stochastic differential games and stochastic control under model uncertainty. Zbl 1290.49076
Øksendal, Bernt; Sulem, Agnès
43
2014
A general stochastic calculus approach to insider trading. Zbl 1093.60044
Biagini, Francesca; Øksendal, Bernt
42
2005
Optimal stochastic intervention control with application to the exchange rate. Zbl 0943.91038
Mundaca, Gabriela; Øksendal, Bernt
41
1998
A maximum principle for stochastic control with partial information. Zbl 1140.93046
Baghery, Fouzia; Øksendal, Bernt
41
2007
A maximum principle for infinite horizon delay equations. Zbl 1273.93175
Agram, N.; Haadem, S.; Øksendal, B.; Proske, F.
40
2013
Malliavin calculus for Lévy processes with applications to finance. Zbl 1528.60001
Di Nunno, Giulia; Øksendal, Bernt; Proske, Frank
40
2009
Malliavin calculus and optimal control of stochastic Volterra equations. Zbl 1335.60121
Agram, Nacira; Øksendal, Bernt
38
2015
A stochastic maximum principle for processes driven by fractional Brownian motion. Zbl 1064.93048
Biagini, Francesca; Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnès
34
2002
Infinite horizon optimal control of forward-backward stochastic differential equations with delay. Zbl 1320.60121
Agram, Nacira; Øksendal, Bernt
32
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
30
2006
Stochastic Stackelberg equilibria with applications to time-dependent newsvendor models. Zbl 1402.90010
Øksendal, Bernt; Sandal, Leif; Ubøe, Jan
29
2013
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.
28
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
28
2003
Optimal time to invest when the price processes are geometric Brownian motions. Zbl 0904.60030
Hu, Yaozhong; Øksendal, Bernt
26
1998
Partial information linear quadratic control for jump diffusions. Zbl 1165.93037
Hu, Yaozhong; Øksendal, Bernt
25
2008
Risk minimization in financial markets modeled by Itô-Lévy processes. Zbl 1334.60122
Øksendal, Bernt; Sulem, Agnès
23
2015
Optimal stochastic impulse control with delayed reaction. Zbl 1161.93029
Øksendal, Bernt; Sulem, Agnès
23
2008
Stochastic control problems where small intervention costs have big effects. Zbl 0938.93063
Øksendal, B.
22
1999
Maximum principle for stochastic differential games with partial information. Zbl 1159.91321
An, T. T. K.; Øksendal, B.
22
2009
Optimal harvesting from interacting populations in a stochastic environment. Zbl 1010.93107
Lungu, Edward; Øksendal, Bernt
21
2001
Portfolio optimization under model uncertainty and BSDE games. Zbl 1277.91159
Øksendal, Bernt; Sulem, Agnès
21
2011
Chaos expansion of local time of fractional Brownian motions. Zbl 1011.60016
Hu, Yaozhong; Øksendal, Bernt
20
2002
Optimal consumption and portfolio in a Black–Scholes market driven by fractional Brownian motion. Zbl 1180.91266
Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnés
20
2003
Multiparameter fractional Brownian motion and quasi-linear stochastic partial differential equations. Zbl 0986.60056
Øksendal, Bernt; Zhang, Tusheng
20
2001
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.
20
2016
White noise of Poisson random measures. Zbl 1060.60069
Øksendal, Bernt; Proske, Frank
19
2004
The Itô-Ventzell formula and forward stochastic differential equations driven by Poisson random measures. Zbl 1118.60052
Øksendal, Bernt; Zhang, Tusheng
19
2007
Singular stochastic control and optimal stopping with partial information of Itô-Lévy processes. Zbl 1259.93135
Øksendal, Bernt; Sulem, Agnès
19
2012
The high contact principle as a sufficiency condition for optimal stopping. Zbl 0783.90019
Brekke, Kjell Arne; Øksendal, Bernt
18
1991
Viscosity solutions of optimal stopping problems. Zbl 0913.60037
Øksendal, Bernt; Reikvam, Kristin
17
1998
Stochastic partial differential equations driven by Lévy space-time white noise. Zbl 1053.60069
Løkka, Arne; Øksendal, Bernt; Proske, Frank
17
2004
Optimal stopping with delayed information. Zbl 1089.60027
Øksendal, Bernt
17
2005
Using the Donsker delta function to compute hedging strategies. Zbl 0993.91022
Aase, Knut; Øksendal, Bernt; Obøe, Jan
17
2001
Stochastic differential equations. An introduction with applications. 2nd ed. Zbl 0694.60046
Øksendal, Bernt
16
1989
General fractional multiparameter white noise theory and stochastic partial differential equations. Zbl 1067.35161
Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng
16
2004
Asymptotic properties of the solutions to stochastic KPP equations. Zbl 0978.60070
Øksendal, B.; Våge, G.; Zhao, H. Z.
16
2000
Two properties of stochastic KPP equations: Ergodicity and pathwise property. Zbl 0993.60064
Øksendal, B.; Våge, G.; Zhao, H. Z.
16
2001
Singular control and optimal stopping of SPDEs, and backward SPDEs with reflection. Zbl 1306.93078
Øksendal, Bernt; Sulem, Agnès; Zhang, Tusheng
16
2014
Linear Volterra backward stochastic integral equations. Zbl 1405.60074
Hu, Yaozhong; Øksendal, Bernt
16
2019
Risk indifference pricing in jump diffusion markets. Zbl 1187.91105
Øksendal, Bernt; Sulem, Agnès
15
2009
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
15
2005
Maximum principles for jump diffusion processes with infinite horizon. Zbl 1364.93861
Haadem, Sven; Øksendal, Bernt; Proske, Frank
14
2013
Wick approximation of quasilinear stochastic differential equations. Zbl 0845.60058
Hu, Yaozhong; Øksendal, Bernt
13
1996
The stochastic Volterra equation. Zbl 0783.60060
Øksendal, Bernt; Zhang, Tu-Sheng
13
1993
Brownian motion and sets of harmonic measure zero. Zbl 0493.31001
Øksendal, Bernt
13
1981
Minimal variance hedging for insider trading. Zbl 1134.91397
Biagini, Francesca; Øksendal, Bernt
13
2006
Wick multiplication and Ito-Skorohod stochastic differential equations. Zbl 0760.60057
Lindstrøm, Tom; Øksendal, Bernt; Ubøe, Jan
12
1992
Advanced mathematical methods for finance. Zbl 1211.91008
12
2011
Null sets for measures orthogonal to R(X). Zbl 0255.46042
Øksendal, Bernt K.
12
1972
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.
11
2002
Strategic insider trading equilibrium: a filter theory approach. Zbl 1267.91058
Aase, Knut K.; Bjuland, Terje; Øksendal, Bernt
11
2012
Weighted local time for fractional Brownian motion and applications to finance. Zbl 1067.60028
Hu, Yaozhong; Øksendal, Bernt; Salopek, Donna Mary
11
2005
Optimal portfolio, partial information and Malliavin calculus. Zbl 1176.93081
Di Nunno, Giulia; Øksendal, Bernt
11
2009
Stochastic partial differential equations driven by multiparameter fractional white noise. Zbl 0982.60054
Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng
11
2000
Stochastic control of memory mean-field processes. Zbl 1411.60081
Agram, Nacira; Øksendal, Bernt
11
2019
The pressure equation for fluid flow in a stochastic medium. Zbl 0834.60068
Holden, H.; Lindstrøm, T.; Øksendal, B.; Ubøe, J.; Zhang, T.-S.
10
1995
A Donsker delta functional approach to optimal insider control and applications to finance. Zbl 1341.49029
Draouil, Olfa; Øksendal, Bernt
10
2015
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
Insider trading equilibrium in a market with memory. Zbl 1262.91156
Biagini, Francesca; Hu, Yaozhong; Meyer-Brandis, Thilo; Øksendal, Bernt
9
2012
Singular mean-field control games. Zbl 1376.91029
Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnès
9
2017
Optimal stopping of stochastic differential equations with delay driven by Lévy noise. Zbl 1216.60036
Federico, Salvatore; Øksendal, Bernt Karsten
9
2011
Stochastic harmonic morphisms: Functions mapping the paths of one diffusion into the paths of another. Zbl 0498.60083
Csink, L.; Øksendal, Bernt
9
1983
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
When is a stochastic integral a time change of a diffusion? Zbl 0698.60046
Øksendal, Bernt
9
1990
New approach to optimal control of stochastic Volterra integral equations. Zbl 1498.93769
Agram, Nacira; Øksendal, Bernt; Yakhlef, Samia
9
2019
The Wick product. Zbl 0820.60048
Gjessing, H.; Holden, Helge; Lindstrøm, Tom; Øksendal, Bernt; Ubøe, J.; Zhang, T.-S.
8
1993
Fractional Brownian motion in finance. Zbl 1185.91194
Øksendal, B.
8
2007
Optimal control with partial information for stochastic Volterra equations. Zbl 1214.49033
Øksendal, Bernt; Zhang, Tusheng
8
2010
Optimal control of forward-backward stochastic Volterra equations. Zbl 1400.45001
Agram, Nacira; Øksendal, Bernt; Yakhlef, Samia
8
2018
A maximum principle for stochastic differential games with \(g\)-expectations and partial information. Zbl 1251.93137
An, Ta Thi Kieu; Øksendal, Bernt
8
2012
Stochastic Fokker-Planck equations for conditional McKean-Vlasov jump diffusions and applications to optimal control. Zbl 1517.60109
Agram, Nacira; Øksendal, Bernt
1
2023
Mean-field backward stochastic differential equations and applications. Zbl 1490.60138
Agram, Nacira; Hu, Yaozhong; Øksendal, Bernt
7
2022
A financial market with singular drift and no arbitrage. Zbl 1465.91104
Agram, Nacira; Øksendal, Bernt
2
2021
Singular control of SPDEs with space-mean dynamics. Zbl 1459.60135
Agram, Nacira; Hilbert, Astrid; Øksendal, Bernt
4
2020
Applied stochastic control of jump diffusions. 3rd expanded and updated edition. Zbl 1422.93001
Øksendal, Bernt; Sulem, Agnès
46
2019
Linear Volterra backward stochastic integral equations. Zbl 1405.60074
Hu, Yaozhong; Øksendal, Bernt
16
2019
Stochastic control of memory mean-field processes. Zbl 1411.60081
Agram, Nacira; Øksendal, Bernt
11
2019
New approach to optimal control of stochastic Volterra integral equations. Zbl 1498.93769
Agram, Nacira; Øksendal, Bernt; Yakhlef, Samia
9
2019
Model uncertainty stochastic mean-field control. Zbl 1432.93377
Agram, Nacira; Øksendal, Bernt
4
2019
Singular control optimal stopping of memory mean-field processes. Zbl 1418.60052
Agram, Nacira; Bachouch, Achref; Øksendal, Bernt; Proske, Frank
4
2019
Correction to: “Stochastic control of memory mean-field processes”. Zbl 1466.60108
Agram, Nacira; Øksendal, Bernt
3
2019
Mean-field stochastic control with elephant memory in finite and infinite time horizon. Zbl 1492.60146
Agram, Nacira; Øksendal, Bernt
1
2019
A white noise approach to optimal insider control of systems with delay. Zbl 1411.91496
Draouil, Olfa; Øksendal, Bernt
1
2019
Optimal control of forward-backward stochastic Volterra equations. Zbl 1400.45001
Agram, Nacira; Øksendal, Bernt; Yakhlef, Samia
8
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
7
2018
Stochastic control for mean-field stochastic partial differential equations with jumps. Zbl 1391.60156
Dumitrescu, Roxana; Øksendal, Bernt; Sulem, Agnès
5
2018
A Hida-Malliavin white noise calculus approach to optimal control. Zbl 1400.60077
Agram, Nacira; Øksendal, Bernt
4
2018
Singular mean-field control games. Zbl 1376.91029
Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnès
9
2017
Singular recursive utility. Zbl 1394.60060
Dahl, K. R.; Øksendal, B.
5
2017
Dynamic robust duality in utility maximization. Zbl 1361.60047
Øksendal, Bernt; Sulem, Agnès
4
2017
A white noise approach to insider trading. Zbl 07715131
Øksendal, Bernt; Røse, Elin Engen
3
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.
20
2016
Optimal insider control and semimartingale decompositions under enlargement of filtration. Zbl 1350.60065
Draouil, Olfa; Øksendal, Bernt
6
2016
Optimal multi-dimensional stochastic harvesting with density-dependent prices. Zbl 1386.60196
Alvarez, Luis H. R.; Lungu, Edward; 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
4
2016
Malliavin calculus and optimal control of stochastic Volterra equations. Zbl 1335.60121
Agram, Nacira; Øksendal, Bernt
38
2015
Risk minimization in financial markets modeled by Itô-Lévy processes. Zbl 1334.60122
Øksendal, Bernt; Sulem, Agnès
23
2015
A Donsker delta functional approach to optimal insider control and applications to finance. Zbl 1341.49029
Draouil, Olfa; Øksendal, Bernt
10
2015
Market viability and martingale measures under partial information. Zbl 1338.60121
Fontana, Claudio; Øksendal, Bernt; Sulem, Agnès
2
2015
Erratum to: “A Donsker delta functional approach to optimal insider control and applications to finance”. Zbl 1398.49020
Draouil, Olfa; Øksendal, Bernt
2
2015
Forward-backward stochastic differential games and stochastic control under model uncertainty. Zbl 1290.49076
Øksendal, Bernt; Sulem, Agnès
43
2014
Infinite horizon optimal control of forward-backward stochastic differential equations with delay. Zbl 1320.60121
Agram, Nacira; Øksendal, Bernt
32
2014
Singular control and optimal stopping of SPDEs, and backward SPDEs with reflection. Zbl 1306.93078
Øksendal, Bernt; Sulem, Agnès; Zhang, Tusheng
16
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
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
47
2013
A maximum principle for infinite horizon delay equations. Zbl 1273.93175
Agram, N.; Haadem, S.; Øksendal, B.; Proske, F.
40
2013
Stochastic Stackelberg equilibria with applications to time-dependent newsvendor models. Zbl 1402.90010
Øksendal, Bernt; Sandal, Leif; Ubøe, Jan
29
2013
Maximum principles for jump diffusion processes with infinite horizon. Zbl 1364.93861
Haadem, Sven; Øksendal, Bernt; Proske, Frank
14
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
3
2013
A mean-field stochastic maximum principle via Malliavin calculus. Zbl 1252.49039
Meyer-Brandis, Thilo; Øksendal, Bernt; Zhou, Xun Yu
73
2012
Singular stochastic control and optimal stopping with partial information of Itô-Lévy processes. Zbl 1259.93135
Øksendal, Bernt; Sulem, Agnès
19
2012
Strategic insider trading equilibrium: a filter theory approach. Zbl 1267.91058
Aase, Knut K.; Bjuland, Terje; Øksendal, Bernt
11
2012
Insider trading equilibrium in a market with memory. Zbl 1262.91156
Biagini, Francesca; Hu, Yaozhong; Meyer-Brandis, Thilo; Øksendal, Bernt
9
2012
A maximum principle for stochastic differential games with \(g\)-expectations and partial information. Zbl 1251.93137
An, Ta Thi Kieu; Øksendal, Bernt
8
2012
Backward stochastic differential equations with respect to general filtrations and applications to insider finance. Zbl 1331.91209
Øksendal, Bernt; Zhang, Tusheng
7
2012
Partially informed noise traders. Zbl 1264.91063
Aase, Knut K.; Bjuland, Terje; Øksendal, Bernt
5
2012
Optimal partial information control of SPDEs with delay and time-advanced backward SPDEs. Zbl 1283.93316
Øksendal, Bernt; Sulem, Agnès; Zhang, Tusheng
5
2012
Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations. Zbl 1217.93183
Øksendal, Bernt; Sulem, Agnès; Zhang, Tusheng
67
2011
Portfolio optimization under model uncertainty and BSDE games. Zbl 1277.91159
Øksendal, Bernt; Sulem, Agnès
21
2011
Advanced mathematical methods for finance. Zbl 1211.91008
12
2011
Optimal stopping of stochastic differential equations with delay driven by Lévy noise. Zbl 1216.60036
Federico, Salvatore; Øksendal, Bernt Karsten
9
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
Robust stochastic control and equivalent martingale measures. Zbl 1248.93174
Øksendal, Bernt; Sulem, Agnès
3
2011
An anticipative linear filtering equation. Zbl 1222.93220
Aase, Knut K.; Bjuland, Terje; Øksendal, Bernt
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
104
2010
Maximum principles for optimal control of forward-backward stochastic differential equations with jumps. Zbl 1207.93115
Øksendal, Bernt; Sulem, Agnès
59
2010
Optimal control with partial information for stochastic Volterra equations. Zbl 1214.49033
Øksendal, Bernt; Zhang, Tusheng
8
2010
Malliavin calculus for Lévy processes with applications to finance. Zbl 1528.60001
Di Nunno, Giulia; Øksendal, Bernt; Proske, Frank
40
2009
Maximum principle for stochastic differential games with partial information. Zbl 1159.91321
An, T. T. K.; Øksendal, B.
22
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
11
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
3
2009
Stochastic calculus for fractional Brownian motion and applications. Zbl 1157.60002
Biagini, Francesca; Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng
424
2008
Risk minimizing portfolios and HJBI equations for stochastic differential games. Zbl 1145.93054
Mataramvura, Sure; Øksendal, Bernt
69
2008
Partial information linear quadratic control for jump diffusions. Zbl 1165.93037
Hu, Yaozhong; Øksendal, Bernt
25
2008
Optimal stochastic impulse control with delayed reaction. Zbl 1161.93029
Øksendal, Bernt; Sulem, Agnès
23
2008
A game theoretic approach to martingale measures in incomplete markets. Zbl 1199.91029
Oksendal, B.; Sulem, A.
7
2008
Stochastic partial differential equations driven by multi-parameter white noise of Lévy processes. Zbl 1153.60037
Øksendal, Bernt
7
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
4
2008
Forward integrals and an Itô formula for fractional Brownian motion. Zbl 1149.60035
Biagini, Francesca; Øksendal, Bernt
2
2008
A maximum principle approach to risk indifference pricing with partial information. Zbl 1158.91350
An, Ta Thi Kieu; Øksendal, Bernt; Proske, Frank
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
258
2007
A maximum principle for stochastic control with partial information. Zbl 1140.93046
Baghery, Fouzia; Øksendal, Bernt
41
2007
The Itô-Ventzell formula and forward stochastic differential equations driven by Poisson random measures. Zbl 1118.60052
Øksendal, Bernt; Zhang, Tusheng
19
2007
Fractional Brownian motion in finance. Zbl 1185.91194
Øksendal, B.
8
2007
Optimal smooth portfolio selection for an insider. Zbl 1136.60047
Hu, Yaozhong; Øksendal, Bernt
5
2007
A representation theorem and a sensitivity result for functionals of jump diffusions. Zbl 1130.60083
Di Nunno, Giulia; Øksendal, Bernt
4
2007
Stochastic analysis and applications. The Abel symposium 2005. Proceedings of the second Abel symposium, Oslo, Norway, July 29 – August 4, 2005, held in honor of Kiyosi Itô. Zbl 1113.60006
2
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
30
2006
Minimal variance hedging for insider trading. Zbl 1134.91397
Biagini, Francesca; Øksendal, Bernt
13
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
264
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.
96
2005
Malliavin calculus and anticipative Itô formulae for Lévy processes. Zbl 1080.60068
Di Nunno, Giulia; Meyer-Brandis, Thilo; Øksendal, Bernt; Proske, Frank
62
2005
Optimal control of stochastic partial differential equations. Zbl 1156.93406
Øksendal, Bernt
43
2005
A general stochastic calculus approach to insider trading. Zbl 1093.60044
Biagini, Francesca; Øksendal, Bernt
42
2005
Optimal stopping with delayed information. Zbl 1089.60027
Øksendal, Bernt
17
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
15
2005
Weighted local time for fractional Brownian motion and applications to finance. Zbl 1067.60028
Hu, Yaozhong; Øksendal, Bernt; Salopek, Donna Mary
11
2005
White noise analysis for Lévy processes. Zbl 1078.60054
Di Nunno, Giulia; Øksendal, Bernt; Proske, Frank
64
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
55
2004
White noise of Poisson random measures. Zbl 1060.60069
Øksendal, Bernt; Proske, Frank
19
2004
Stochastic partial differential equations driven by Lévy space-time white noise. Zbl 1053.60069
Løkka, Arne; Øksendal, Bernt; Proske, Frank
17
2004
General fractional multiparameter white noise theory and stochastic partial differential equations. Zbl 1067.35161
Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng
16
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
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Cited by 5,733 Authors

97 Øksendal, Bernt Karsten
41 Yan, Litan
35 Wu, Zhen
34 Siu, Tak Kuen
31 Yoshioka, Hidekazu
28 Hu, Yaozhong
25 Kim, Jeong-Hoon
24 Alpay, Daniel Aron
23 Agram, Nacira
23 Shi, Jingtao
22 Proske, Frank Norbert
21 Duan, Jinqiao
20 Alvarez, Luis H. R.
19 Di Nunno, Giulia
19 Sulem, Agnès
18 Lanconelli, Alberto
18 Shen, Yang
18 Xiong, Jie
17 Jumarie, Guy M.
17 Nualart, David
17 Wang, Guangchen
17 Zhang, Weihai
16 Cortés López, Juan Carlos
16 Wu, Jianglun
16 Xu, Yong
16 Yoon, Ji-Hun
15 Li, Xun
15 Meng, Qingxin
15 Shen, Guangjun
15 Xie, Yingchao
15 Zhang, Tusheng S.
14 Gapeev, Pavel V.
14 Jørgensen, Palle E. T.
14 Malinowski, Marek T.
14 Menoukeu Pamen, Olivier
14 Yin, George Gang
14 Yoshioka, Yumi
14 Young, Virginia R.
13 Bayraktar, Erhan
13 Liu, Jicheng
13 Mishura, Yuliya Stepanivna
13 Zhang, Qing
12 Elliott, Robert James
12 Khodabin, Morteza
12 Makasu, Cloud
12 Mao, Xuerong
12 Pei, Bin
12 Seleši, Dora
12 Ubøe, Jan
12 Yaegashi, Yuta
12 Yong, Jiongmin
11 Drăgan, Vasile
11 El Fatini, Mohamed
11 Forsyth, Peter A.
11 Hafayed, Mokhtar
11 Liu, Meng
11 Meyer-Brandis, Thilo
11 Peng, Xingchun
11 Pham, Huyên
11 Saha Ray, Santanu
11 Tsujimura, Motoh
11 Xu, Jie
11 Yannacopoulos, Athanasios N.
11 Zeng, Caibin
11 Zhang, Huanshui
10 Bender, Christian
10 Benth, Fred Espen
10 Christensen, Soren
10 Djehiche, Boualem
10 Fan, Xiliang
10 Ferrari, Giorgio
10 Karniadakis, George Em
10 Levajković, Tijana
10 Mehrdoust, Farshid
10 Rozenberg, Valerii L’vovich
10 Tudor, Ciprian A.
10 Wang, Ke
10 Yang, Hailiang
10 Yu, Xianye
10 Yu, Zhiyong
10 Zhang, Xin
9 Huang, Nan-Jing
9 Ji, Un Cig
9 Kühn, Christian
9 Liang, Zongxia
9 Maleknejad, Khosrow
9 Pilipović, Stevan
9 Qiu, Jinniao
9 Roberts, Gareth O.
9 Rozovskii, Boris L.
9 Shi, Yufeng
9 Sun, Xichao
9 Tindel, Samy
9 Weber, Gerhard-Wilhelm
9 Yuan, Chenggui
9 Zeng, Yan
8 Abbas, Syed
8 Bensoussan, Alain
8 Biagini, Francesca
8 Braumann, Carlos A.
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Cited in 576 Serials

131 Stochastic Processes and their Applications
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90 Journal of Mathematical Analysis and Applications
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83 Insurance Mathematics & Economics
82 Journal of Computational and Applied Mathematics
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75 SIAM Journal on Control and Optimization
74 Automatica
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54 Advances in Difference Equations
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48 European Journal of Operational Research
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42 Communications in Nonlinear Science and Numerical Simulation
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39 Physica A
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35 Discrete and Continuous Dynamical Systems. Series B
34 Computers & Mathematics with Applications
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33 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
32 Mathematical Control and Related Fields
30 Journal of Functional Analysis
30 Optimal Control Applications & Methods
30 SIAM Journal on Financial Mathematics
29 Journal of the Franklin Institute
28 Abstract and Applied Analysis
28 Mathematical Methods of Operations Research
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14 Optimization
13 Applied Mathematical Modelling
13 European Journal of Control
13 Nonlinear Analysis. Hybrid Systems
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13 Statistics and Computing
12 Journal of Mathematical Economics
12 Acta Mathematicae Applicatae Sinica. English Series
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12 The ANZIAM Journal
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