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Anticipative stochastic control for Lévy processes with application to insider trading
Sulem, Agnès; Kohatsu-Higa, Arturo; Øksendal, Bernt K.; … - 2009
Persistent link: https://www.econbiz.de/10003827062
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Dynamic optimization for a mixed portfolio with transaction costs
Sulem, Agnès - In: Numerical methods in finance, (pp. 165-180). 2008
Persistent link: https://www.econbiz.de/10003723939
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A barrier version of the Russian option
Shepp, Larry A.; Širjaev, Alʹbert N.; Sulem, Agnès - In: Advances in finance and stochastics : essays in honour …, (pp. 271-284). 2002
Persistent link: https://www.econbiz.de/10001672243
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A general maximum principle for anticipative stochastic control and applications to insider trading
Di Nunno, Giulia; Pamen, Olivier Menoukeu; Øksendal, … - In: Advanced mathematical methods for finance, (pp. 181-221). 2011
Persistent link: https://www.econbiz.de/10008991293