Stochastics, Volume 89, Issue 1 (2017)

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Stochastics, Volume 89, Issue 1 (2017)

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Festschrift for Bernt Øksendal

Preface

Introduction
Preface
Fred Espen Benth, Giulia Di Nunno & Saul Jacka
Pages: 1-2
Published online: 18 Nov 2016
CitationforPreface | Full Text | PDF (102.1 KB)
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Memoir

A Mathematical Journey
Bernt Øksendal
Pages: 3-6
Published online: 18 Nov 2016
First Page PreviewforA Mathematical Journey | Full Text | References | PDF (352.6 KB)
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List of Publications

Books Received
List of Publications
Bernt Øksendal
Pages: 7-20
Published online: 18 Nov 2016
First Page PreviewforList of Publications | Full Text | PDF (721.4 KB)
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Original Articles

Article
Bounds for expected maxima of Gaussian processes and their discrete approximations
Konstantin Borovkov, Yuliya Mishura, Alexander Novikov & Mikhail Zhitlukhin
Pages: 21-37
Published online: 30 Dec 2015
AbstractforBounds for expected maxima of Gaussian processes and their discrete approximations | Full Text | References | PDF (1.3 MB)
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Article
Continuous-time (Ross-type) portfolio separation, (almost) without Itô calculus
Nils Chr. Framstad
Pages: 38-64
Published online: 09 Feb 2016
AbstractforContinuous-time (Ross-type) portfolio separation, (almost) without Itô calculus | Full Text | References | PDF (2 MB)
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Article
An asymptotic expansion for local-stochastic volatility with jump models
Kenichiro Shiraya & Akihiko Takahashi
Pages: 65-88
Published online: 01 Feb 2016
AbstractforAn asymptotic expansion for local-stochastic volatility with jump models | Full Text | References | PDF (1.8 MB)
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Article
Risk-sensitive investment in a finite-factor model
Grzegorz Andruszkiewicz, Mark H. A. Davis & Sébastien Lleo
Pages: 89-114
Published online: 12 Feb 2016
AbstractforRisk-sensitive investment in a finite-factor model | Full Text | References | PDF (1.9 MB)
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Article
The investment horizon problem: a possible resolution
Knut K. Aase
Pages: 115-141
Published online: 03 Feb 2016
AbstractforThe investment horizon problem: a possible resolution | Full Text | References | PDF (1.9 MB)
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Article
A Malliavin–Skorohod calculus in L0 and L1 for additive and Volterra-type processes
Giulia Di Nunno & Josep Vives
Pages: 142-170
Published online: 10 Feb 2016
AbstractforA Malliavin–Skorohod calculus in L0 and L1 for additive and Volterra-type processes | Full Text | References | PDF (2.1 MB)
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Article
Space-time fractional diffusions in Gaussian noisy environment
Le Chen, Guannan Hu, Yaozhong Hu & Jingyu Huang
Pages: 171-206
Published online: 18 Feb 2016
AbstractforSpace-time fractional diffusions in Gaussian noisy environment | Full Text | References | PDF (2.6 MB)
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Article
CoCos under short-term uncertainty
José Manuel Corcuera & Arturo Valdivia
Pages: 207-221
Published online: 08 Mar 2016
AbstractforCoCos under short-term uncertainty | Full Text | References | PDF (1.8 MB)
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Article
Copulas in Hilbert spaces
Erika Hausenblas & Markus Riedle
Pages: 222-239
Published online: 16 Mar 2016
AbstractforCopulas in Hilbert spaces | Full Text | References | PDF (1.3 MB)
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Article
A BSDE arising in an exponential utility maximization problem in a pure jump market model
Carla Mereu & Robert Stelzer
Pages: 240-258
Published online: 01 Apr 2016
AbstractforA BSDE arising in an exponential utility maximization problem in a pure jump market model | Full Text | References | PDF (1.4 MB)
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Article
Optimal stopping and a non-zero-sum Dynkin game in discrete time with risk measures induced by BSDEs
Miryana Grigorova & Marie-Claire Quenez
Pages: 259-279
Published online: 01 Apr 2016
AbstractforOptimal stopping and a non-zero-sum Dynkin game in discrete time with risk measures induced by BSDEs | Full Text | References | PDF (1.6 MB)
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Article
Partially observable stochastic optimal control problems for an energy storage
Anton A. Shardin & Ralf Wunderlich
Pages: 280-310
Published online: 05 Apr 2016
AbstractforPartially observable stochastic optimal control problems for an energy storage | Full Text | References | PDF (2.8 MB)
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Article
Representation and approximation of ambit fields in Hilbert space
Fred Espen Benth & Heidar Eyjolfsson
Pages: 311-347
Published online: 28 Apr 2016
AbstractforRepresentation and approximation of ambit fields in Hilbert space | Full Text | References | PDF (2.6 MB)
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Article
On the policy improvement algorithm in continuous time
Saul D. Jacka & Aleksandar Mijatović
Pages: 348-359
Published online: 23 May 2016
AbstractforOn the policy improvement algorithm in continuous time | Full Text | References | PDF (955.2 KB)
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Article
On critical cases in limit theory for stationary increments Lévy driven moving averages
Andreas Basse-O’Connor & Mark Podolskij
Pages: 360-383
Published online: 03 Jun 2016
AbstractforOn critical cases in limit theory for stationary increments Lévy driven moving averages | Full Text | References | PDF (1.8 MB)
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Article
A fractional Heston model with
Elisa Alòs & Yan Yang
Pages: 384-399
Published online: 07 Aug 2016
AbstractforA fractional Heston model with | Full Text | References | PDF (1.3 MB)
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Article
Mixed generalized Dynkin game and stochastic control in a Markovian framework
Roxana Dumitrescu, Marie-Claire Quenez & Agnès Sulem
Pages: 400-429
Published online: 20 Sep 2016
AbstractforMixed generalized Dynkin game and stochastic control in a Markovian framework | Full Text | References | PDF (2.2 MB)
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