February 2003
LIST OF PUBLICATIONS
Bernt Øksendal
Books (monographs, textbooks, proceedings) are written in boldface.
(141 pages). Cand. Real. thesis at the University of Oslo 1970.
differentials". Math.Scand. 29 (1971), 87-103.
Proc. Amer. Math. Soc. 29 (1971), 581-584.
(1971), 204.
Ph. D dissertation at the University of California, Los Angeles 1971.
94 (1972), 331-342.
7. (Joint work with A.M. Davie) "Peak interpolation sets for some algebras of analytic functions". Pacific Journal of Mathematics 41 (1972), 81-87.
of commuting non unitary contractions". J. London Math. Soc. 7 (1973),
709-718.
Kristiansand, Norway June 9-14, 1975. Edited by O.B. Bekken, A. Stray and B. Øksendal. Springer Lecture Notes in Mathematics Vol. 512 (1976)
(204 + VIII pages).
10. "Gleason parts separated by smooth curves". J. Functional Analysis 22
(1976), 283-294.
11. (Joint work with Knut Sydsæter) "Linear Algebra" (In Norwegian). Universitetsforlaget, Oslo. First edition 1977. Fourth edition 1996 (312 pages).
12. "The solution of a minimax problem connected to the irreducibility of polynomials". Math. Scand. 42 (1978), 169-179.
13. "A Wiener test for integrals of Brownian motion and the existence of smooth curves in nowhere dense sets". J.Functional Analysis 36 (1980), 72-87.
14. "Sets of harmonic measure zero". In D.Brannan and J.Clunie (editors): Aspects of Contemporary Complex Analysis". Academic Press 1980, pp. 469-473.
15. "Brownian motion and sets of harmonic measure zero". Pacific J. Math. 95 (1981), 179-192.
16. (Joint work with A.M. Davie) "Analytic capacity and differentiability properties of finely harmonic functions". Acta Mathematica 149 (1982), 127-152.
17. (Joint work with D.W. Stroock) "A characterization of harmonic measure and Markov processes whose hitting distributions are preserved by rotations, translations and dilatations". Ann. Institut Fourier 32 (1982), 221-232.
18. "Projection estimates for harmonic measure". Arkiv för Mathematik 21 (1983), 191-203.
19. (Joint work with L.Csink) "Stochastic harmonic morphisms: Functions mapping the paths of one diffusion into the paths of another". Ann. Institut Fourier 33 (1983), 219-240.
20. "A stochastic proof of an extension of a theorem of Rado". Proc. Edinburgh Math. Soc. 26 (1983), 333- 336.
21, "Finely harmonic morphisms, Brownian path preserving functions and conformal martingales". Inventiones Math. 75 (1984), 179-187.
22. "Stochastic Differential Equations. An Introduction with Applications". Springer-Verlag. First edition 1985. Fifth edition, second printing 2000 (326 pages). A Chinese edition was published in 1998. A Japanese translation was published in 1999.
23. "Finely harmonic functions with finite Dirichlet integral with respect to the Green measure". Trans. Amer. Math. Soc. 287 (1985), 687-700.
24. "Stochastic processes, infinitesimal generators and function theory". In S.C.Power (editor): "Operators and function Theory". D. Reidel Publ. Co. 1985, pp. 139-162.
25. "Stochastic methods in function theory". In J. Stefánsson (editor): "Proc. of the 19th Nordic Congress of Mathematicians". Iceland Mathematical Society 1985, pp.255-270.
26. "Stochastic differential equations: What, why and how?" (In Norwegian). NORMAT (Nordic Mathematical Journal) 34 (1986), 137-145.
27. "Some applications of stochastic potential theory". In O.Martio (editor): Proceedings of the Summer School in Potential Theory in Jyväskylä 1986. University of Jyväskylä Lecture Notes 1987, pp. 95-143.
28. (Joint work with R. Banuelos) "Exit times of elliptic diffusions and BMO". Proc. Edinburgh Math. Soc. 30 (1987), 273-287.
29. "Removable singularities for Hp and for analytic functions with bounded Dirichlet intergral". Math. Scand. 60 (1987), 253-272.
30. (Joint work with R. Banuelos) "A stochastic approach to quasi-everywhere boundary convergence of harmonic functions". J. Functional Analysis 72 (1987), 13-27.
31. "Dirichlet forms, quasiregular functions and Brownian motion".
Inventiones Math. 91 (1988), 273-297.
32. "Using random motion to study quasiregular functions".
In R. Durrett and M. Pinsky (editors): "Geometry of Random Motion". Contemporary Mathematics, Amer. Math. Soc. 73 (1988), pp. 223-235.
33. (Joint work with K. Aase) "Admissible investment strategies in continuous trading". Stochastic Processes and their Applications 30 (1988), 291-301.
34. "A stochastic Fatou theorem for quasiregular functions".
Pacific J. Math. 136 (1989), 311-327.
35. "Harmonic measure and fractals" (In Norwegian).
NORMAT (Nordic Mathematical Journal) 37 (1989), 73-83.
36. (Joint work with L. Csink and P. Fitzsimmons) "A stochastic characterization of harmonic morphisms". Math. Ann. 287 (1990), 1-18.
37. "A fine topology criterion for vanishing mean oscillation".
Complex Variables 14 (1990), 153-160.
38. "When is a stochastic integral a time change of a diffusion?"
J. Theoretical Probability 3 (1990), 207-226.
39. "Weighted Sobolev inequalities and harmonic measure associated with quasiregular functions". Communications PDE 15 (1990), 1447-1459.
40. "The high contact principle in optimal stopping and stochastic waves".
In E. Cinlar et al (editors): "Seminar on Stochastic Processes 1989". Birkhäuser 1990, pp. 177-192.
41. "A stochastic approach to moving boundary problems".
In M. Pinsky (editor): "Diffusion Processes and Related Problems in Analysis", Birkhäuser 1990, pp.201-218.
42. (Joint work with I. Aslaksen, O. Bjerkholt, K. A. Brekke and T. Lindstrøm) "The choice between hydro and thermal power generation under uncertainty".
In O. Bjerkholt, Ø. Olsen and J. Vislie (editors):"Recent Modelling Approaches in Applied Energy Economics", Chapman and Hall 1990, pp.187-205.
43. "Stochastic Models and Option Values". Proceedings from a conference held in Loen, Norway, August 28-30, 1989. Edited by D. Lund and B. Øksendal. Elsevier/North-Holland 1991.
44. (Joint work with I. Aslaksen, O. Bjerkholt, K. A. Brekke and T. Lindstrøm) "Partial investment under uncertainty". In D. Lund & B. Øksendal (editors): "Stochastic Models and Option Values". Elsevier/North-Holland 1991, pp.167-186.
45. (Joint work with K. A. Brekke) "The high contact principle as a sufficiency condition for optimal stopping". In D. Lund and B. Øksendal (editors): "Stochastic Models and Option Values". Elsevier/North-Holland 1991, pp.187-208.
46. "Stochastic control theory - a brief summary". In D. Lund and B. Øksendal (editors): "Stochastic Models and Option Values". Elsevier/North-Holland 1991, pp.19-29.
47. "Numbers and number systems" (In Norwegian).
This is a booklet which gives an introduction to the history and theory of the number concept. It is intended for high school students.
Gyldendal/Norwegian Mathematical Society 1991.
48. (Joint work with T. Lindstrøm and J.Ubøe) "Stochastic differential equations involving positive noise". In M. T. Barlow and N. H. Bingham (editors): "Stochastic Analysis". Cambridge Univ. Press 1991,pp.261-303.
49. (Joint work with T. Lindstrøm and J. Ubøe) "Stochastic modelling of fluid flow in porous media". In S. Chen and J. Yong (editors): Control Theory, Stochastic Analysis and Applications. World Scientific 1991, pp.156 -172.
50. (Joint work with I. Aslaksen, O. Bjerkholt, K. A. Brekke and T. Lindstrøm) "Equilibrium in real options" (13 pages). Preprint University of Oslo 1991.
51. (Joint work with T. Lindstrøm and J.Ubøe) "Wick multiplication and Itô-Skorohod stochastic differenital equations". In S. Albeverio et al (editors): "Ideas and Methods in Mathematical Analysis, Stochastics and Applications". Cambridge Univ. Press 1992, pp.183-206.
52. (Joint work with H. Holden, T. Lindstrøm and J.Ubøe)
"Discrete Wick calculus and stochastic functional equations".
Potential Analysis 1 (1992), 291-306.
53. (Joint work with I. Aslaksen, O. Bjerkholt, K. A. Brekke and T. Lindstrøm) "An application of reflected diffusions to the problem of choosing between hydro and thermal power generation". Stochastic Processes and Their Applications 44 (1993), 117-139.
54. "When is the best time to sell and buy stocks? On the theory of optimal stopping" (In Norwegian) NORMAT 41 (1993), 91-102.
55. (Joint work with H. Holden, T. Lindstrøm, J. Ubøe and T. Zhang) "Stochastic boundary value problems. A white noise functional approach". Probability Theory and Related Fields 95 (1993), 391-419.
56. (Joint work with T. Zhang) "The stochastic Volterra equation".
In D. Nualart & M. Sanz Sole (editors): Barcelona Seminar on Stochastic Analysis. Birkhäuser 1993, pp.168-202.
57. (Joint work with H. Gjessing, H. Holden, T. Lindstrøm, J. Ubøe and T. Zhang) "The Wick product". In H.Niemi et al (editors): "Frontiers in Pure and Applied Probability, Vol.I". TVP Science Publishers, Moscow 1993, pp.29-67.
58. (Joint work with I. Aslaksen, O. Bjerkholt, K. A. Brekke and T. Lindstrøm) "A class of solvable stochastic investment problems involving singular controls". Stochastics 43 (1993), 29-63.
59. "Stochastic Analysis and Related Topics, Volume 4".
Proceedings from the 4th Oslo-Silivri Workshop on Stochastic Analysis, held in Oslo, July 1992. Edited by T. Lindstrøm, B. Øksendal and A. S. Ustunel. Published by Gordon and Breach 1993.
60. (Joint work with H. Holden, T. Lindstrøm and J. Ubøe)
"Discrete Wick products". In T. Lindstrøm, B. Øksendal and A. S. Ustunel (editors): "Stochastic Analysis and Related Topics (4)", Gordon and Breach 1993, pp.123-148.
61. (Joint work with H. Holden, T. Lindstrøm, J. Ubøe and T. Zhang)
"A comparison experiment for Wick multiplication and ordinary multiplication". In T. Lindstrøm, B. Øksendal and A. S. Ustunel (editors): "Stochastic Analysis and Related Topics (4)", Gordon and Breach 1993, pp.149-160.
62. (Joint work with K. A. Brekke) "Optimal switching in an economic activity under uncertainty". SIAM Journal of Control and Optimization 32 (1994), 1021-1036.
63. "Stochastic partial differential equations: A mathematical connection between macrocosmos and microcosmos".
In M. Gyllenberg & L. E. Persson (editors): "Analysis, Algebra, and Computers in Mathematical Research", Proceedings of the 21st Nordic Congress of Mathematicians, Luleå 1992. Marcel Dekker 1994, pp.365-385.
64. (Joint work with H. Holden,T. Lindstrøm, J. Ubøe and T. Zhang)
"The Burgers equation with a noisy force and the stochastic heat equation". Comm. PDE 19 (1994), 119-141.
65. "Dynamic programming" (In Norwegian) In Truls Sevje (editor):
"The living mathematics". A collection of survey articles (in Norwegian) for high school students. Undervisningsforlaget 1994, pp.86-96.
66. "Some mathematical models for population growth in a stochastic environment" In R. K. Colegrave et al (editors): Proceedings of the 9th SAMSA Symposium "Mathematics and the Environment". Published by the University of Botswana, Dec.1994, pp. 40 - 54.
67. "Stochastic partial differential equations and applications to hydrodynamics" In A. I. Cardoso, M. de Faria, J. Potthoff, R. Sénéor and L. Streit (editors): "Stochastic Analysis and Applications in Physics", NATO ASI Series, Vol.449. Kluwer 1994, pp.283-305.
68. (Joint work with Y. Hu, T. Lindstrøm, J. Ubøe and T. Zhang):
"Inverse powers of white noise". In M. G. Cranston and M. Pinsky (editors): "Stochastic Analysis". Summer Research Institute on Stochastic Analysis, Cornell University 1993. American Mathematical Society 1995, pp.439-456.
69. (Joint work with T. Lindstrøm, J. Ubøe and T. Zhang):
"Stability properties of stochastic partial differential equations".
Stochastic Analysis and Applications 13(1995),177-204.
70. (Joint work with J. Gjerde, H. Holden, J. Ubøe and T. Zhang):
"An equation modelling transport of a substance in a stochastic medium".
In E. Bolthausen, M. Dozzi and F. Russo (editors): "Seminar on Stochastic Analysis, Random Fields and Applications". Progress in Probability, Vol.36, Birkhäuser 1995, pp.123-134.
71. (Joint work with H. Holden, T. Lindstrøm, J. Ubøe and T. Zhang):
"The stochastic Wick-type Burgers equation" In A. Etheridge (editor): "Stochastic Partial Differential Equations", Cambridge Univ. Press 1995, pp.141-161.
72. (Joint work with H. Holden, T. Lindstrøm, J.Ubøe and T. Zhang):
"The pressure equation for fluid flow in a stochastic medium".
Potential Analysis 4 (1995), 655-674.
73. (Joint work with I. Aslaksen, O. Bjerkholt, K. A. Brekke and T. Lindstrøm): "Solvable stochastic investment problems". In A. N. Shiryaev, A. V. Melnikov, H. Niemi and E. Valkeila (editors): Frontiers in Pure and Applied Probability, Vol. II. TVP Science Publishers, Moscow 1996, pp.113-120.
74. "Stochastic Analysis and Related Topics, Volume 5".
Proceedings from the 5th Oslo-Silivri Workshop on Stochastic Analysis, held in Silivri, Turkey, July 1994. Edited by H. Körezlioglu, B. Øksendal and A. S. Üstünel. Published by Birkhäuser 1996.
75. (Joint work with Y. Hu):
"Wick approximation of quasilinear stochastic differential equations". In H. Körezlioglu, B. Øksendal and A. S. Üstünel (editors): "Stochastic Analysis and Related Topics(5)". Birkhäuser 1996, pp. 203-231.
76. (Joint work with F. E. Benth, J. Ubøe and T. Zhang):
"Wick products of complex valued random variables"
In H. Körezlioglu, B. Øksendal and A. S. Üstünel (editors): "Stochastic Analysis and Related Topics (5)".Birkhäuser 1996, pp. 135-155.
77. (Joint work with O. Martio):
"Fluid flow in a medium distorted by a quasiconformal map can produce fractal boundaries". European Journal of Applied Mathematics 7 (1996),1-10.
78. (Joint work with P. Szabo):
"The stochastic maximum principle - a brief survey and an application". In H.-J. Engelbert, H. Föllmer and J. Zabczyk (editors): Stochastic Processes and Related Topics. Gordon and Breach 1996, pp.91-101.
79. (Joint work with T. Zhang):
"The general linear stochastic Volterra equation with anticipating coefficients". In I. M. Davis, A. Truman and K. D. Elworthy (editors): Stochastic Analysis and Applications. World Scientific 1996, pp.343-366.
80. (Joint work with H. Holden, J. Ubøe and T. Zhang):
"Stochastic Partial Differential Equations"(230 pages).
Book published by Birkhäuser, 1996.
81. "An Introduction to Malliavin Calculus with Applications to Economics"(82 pages). Lecture Notes from a course given 1996 at the Norwegian School of Economics and Business Administration (NHH), NHH Preprint Series, September 1996.
82. (Joint work with E. Lungu):
"Optimal harvesting from a population in a stochastic,crowded environment". Math. Biosciences 145 (1997), 47-75.
83. (Joint work with J. Grue):
"A stochastic oscillator with time-dependent damping". Stochastic Processes and their Applications 68 (1997),113-131.
84. "Stochastic Analysis and Related Topics, Volume 6".
Proceedings from the 6th Oslo-Silivri Workshop on Stochastic Analysis, held in Geilo,Norway July 1996. Edited by J. Gjerde, L. Decreusefond, B. Øksendal and A. S. Üstünel. Birkhäuser 1998.
85. (Joint work with K. A. Brekke):
"A verification theorem for combined stochastic control and impulse control".
In J. Gjerde, L. Decreusefond, B. Øksendal and A. S. Üstünel (editors): "Stochastic Analysis and Related Topics, Volume 6". Birkhäuser 1998, pp.211-220.
86. (Joint work with Y. Hu):
"Optimal time to invest when the price processes are geometric Brownian motions".
Finance and Stochastics 2 (1998), 295-310.
87. (Joint work with K. Reikvam):
"Viscosity solutions of optimal stopping problems". Stochastics and Stochastics Reports 62 (1998), 285-301.
88. (Joint work with G. Mundaca):
"Optimal stochastic intervention control with application to the exchange rate".
Journal of Mathematical Economics 29 (1998), 225-243.
89. "A short introduction to mathematical finance".
In E. M. Lungu (editor): Proceedings of the First Symposium on Mathematical Finance in Gaborone, Botswana 1997. Published by the University of Botswana 1998, pp.6 - 35.
90. (Joint work with K. Reikvam):
"Stochastic differential games with controls - discussion of a specific example".
In E. M. Lungu (editor): Proceedings of the First Symposium on Mathematical Finance in Gaborone, Botswana 1997. University of Botswana 1998, pp.74 - 82.
91. (Joint work with N. C. Framstad and A. Sulem):
"Optimal consumption and portfolio in a jump diffusion market".
In A. Shiryaev et al (editors): Workshop on Mathematical Finance, INRIA, Paris 1998, pp. 9-20.
92. (Joint work with H. Holden):
"A white noise approach to stochastic differential equations driven by Wiener and Poisson noises". In M. Grosser, G. Hörmann, M. Kunzinger and M. Oberguggenberger (editors): "Nonlinear Theory of Generalized Functions". Chapman & Hall/CRC 1999, pp. 293-313.
93. "Stochastic control problems where small intervention costs have big effects". Journal of Applied Mathematics & Optimization 40 (1999), 355-375.
94. (Joint work with G. Våge):
"A moving boundary problem in a stochastic medium". Infinite Dimensional Analysis, Quantum Probability and Related Topics 2 (1999), 179-202.
95. "The Black & Scholes formula: A triumph for mathematical modeling in finance" (In Norwegian). NORMAT 47 (1999), 97-109.
96. (Joint work with H.Holden):
"A white noise approach to stochastic Neumann boundary value problems". Acta Appl. Math. 63 (2000), 141-150.
97. (Joint work with Y. Hu):
"Fractional white noise calculus and applications to finance" (34 pages). Preprint, University of Oslo 10/1999. To appear in Infinite Dim. Analysis and Quantum Probab.
98. (Joint work with Y. Hu and A. Sulem):
"Optimal portfolio in a fractional Black & Scholes market". In S.Albeverio et al (editors): Mathematical Physics and Stochastic Analysis. Essays in Honour of Ludwig Streit. World Scientific 2000, pp. 267-279.
99. (Joint work with Y. Hu and T. Zhang):
"Stochastic partial differential equations driven by multiparameter fractional white noise". In F.Gesztesy et al (editors): Stochastic Processes, Physics and Geometry: New Interplays II: A Volume in Honor of Sergio Albeverio. American Mathematical Society 2000, pp. 327-337.
100. (Joint work with K. Aase, N. Privault and J. Ubøe):
"White noise generalizations of the Clark-Haussmann-Ocone theorem, with application to mathematical finance". Finance and Stochastics 4 (2000), 465-496.
101. (Joint work with I. Elsanosi and A. Sulem):
"Some solvable stochastic control problems with delay".
Stochastics and Stochastics Reports 71 (2000), 69-89.
102. (Joint work with G. Våge and H. Zhao):
"Asymptotic properties of the solutions to stochastic KPP equations".
Proc. Royal Soc. Edinburgh, 130A (2000), 1363-1381.
103. (Joint work with Y. Hu and A. Sulem):
"Optimal consumption and portfolio in a Black-Scholes market driven by fractional Brownian motion" (23 pages). Preprint, University of Oslo 23/2000. To appear in Infinite Dim. Analysis and Quantum Probab.
104. (Joint work with E. Lungu):
"Optimal harvesting from interacting populations in a stochastic environment". BERNOULLI 7 (2001), 527-539.
105. (Joint work with T. Zhang):
"Multiparameter fractional Brownian motion and quasi-linear stochastic partial differential equations. Stochastics and Stochastics Reports 71 (2001), 141-163.
106. (Joint work with K. Aase and J. Ubøe):
"Using the Donsker delta function to compute hedging strategies". Potential Analysis 14 (2001), 351-374.
107. (Joint work with A. Sulem):
"A maximum principle for optimal control of stochastic systems with delay, with applications to finance". In J. L. Menaldi et al (editors): "Optimal Control and Partial Differential Equations". IOS Press 2001, pp. 64-79.
108. (Joint work with N. C. Framstad and A. Sulem):
"Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs". Journal of Mathematical Economics 35 (2001), 233 - 257.
109. (Joint work with G. Våge and H. Zhao):
"Two properties of stochastic KPP equations: Ergodicity and pathwise property". Nonlinearity 14 (2001), 639 - 662.
110. (Joint work with D. Lefèvre and A. Sulem):
"An introduction to optimal consumption with partial observation".
In M. Kohlmann and S. Tang (editors): Mathematical Finance. Birkhäuser 2001, pp. 239-249.
111. "Stochastic Analysis and Related Topics, Volume 7".
Proceedings from the 7th Silivri Workshop on Stochastic Analysis, held in Kusadasi, Turkey July 1998. Edited by L. Decreusefond, B. Øksendal and A. S. Üstünel. Birkhäuser 2001.
112. (Joint work with L. Alvarez and E. M. Lungu):
"Optimal multidimensional stochastic harvesting with density-dependent prices". (15 pages). Preprint, University of Oslo 3/2001.
113. (Joint work with Y.Hu and D.M. Salopek):
"Weighted local time for fractional Brownian motion and applications to finance"(15 pages). Preprint, University of Oslo 13/2001.
114. (Joint work with N. C. Framstad and A. Sulem):
"A sufficient stochastic maximum principle for optimal control of jump diffusions and applications to finance" (17 pages). Preprint, University of Oslo 22/2001.
115. "Optimal control of stochastic partial differential equations and application to partial observation control"
(18 pages). Preprint, University of Oslo 17/2001.
116. (Joint work with T. Zhang):
"On backward stochastic differential equations"
(12 pages). Preprint, University of Oslo 18/2001.
117. (Joint work with Y. Hu and T. Zhang):
"Stochastic fractional potential theory". In J.Heinonen et al (editors): Papers on Analysis: A Volume Dedicated to Olli Martio on the Occasion of his 60th Birthday. Department of Mathematics and Statistics, University of Jyväskylä, Report 83, 2001, pp. 169 - 180.
118. (Joint work with A. Sulem):
"Optimal consumption and portfolio with fixed and proportional transaction costs". SIAM J. Control & Optimization 40 (2002), 1765 - 1790.
119. (Joint work with J. Ubøe and T. Zhang):
"Non-robustness of some impulse control problems with respect to intervention costs". Stochastic Analysis and Applications 20 (2002), 999 - 1026.
120. (Joint work with J. -P. Chancelier and A. Sulem):
"Combined stochastic control and optimal stopping, and application to numerical approximation of combined stochastic and impulse control".
Proc. Steklov Institute of Mathematics 237 (2002), 140 - 163.
121. (Joint work with F. Biagini, Y.Hu and A. Sulem):
"A stochastic maximum principle for processes driven by fractional Brownian motion" Stochastic Processes and their Applications 100 (2002), 233 - 253.
122. (Joint work with Y. Hu):
"Chaos expansion of local time of fractional Brownian motions"
Stochastic Analysis & Applications 20 (2002), 815 - 837.
123. (Joint work with F. Biagini):
"Minimal variance hedging with fractional Brownian motion" (17 pages)
Preprint, University of Oslo 1/2002.
124. (Joint work with Y. Hu and T. Zhang):
"General fractional multiparameter white noise theory and stochastic partial differential equations" (20 pages). Preprint, University of Oslo 2/2002.
125. "Applied Stochastic Calculus with Jump Diffusions" (112 pages)
Lecture Notes from the Norwegian School of Economics and Business Administration (NHH), Bergen, Norway. September 2002.
126. (Joint work with G. Di Nunno and F. Proske):
"White noise analysis for Lévy processes" (34 pages).
Preprint, University of Oslo 7/2002.
127. (Joint work with Frank Proske):
"White noise of Poisson random measures" (27 pages)
Preprint, University of Oslo 12/2002.
128. (Joint work with F. Biagini):
"A general stochastic calculus approach to insider trading" (18 pages).
Preprint, University of Oslo 17/2002.
129. (Joint work with F. Biagini, A. Sulem and N. Wallner):
"An introduction to white noise and Malliavin calculus for fractional Brownian motion"
(35 pages). Preprint, University of Oslo 2/2003. To appear in Proc. Royal Soc. London.
130. (Joint work with F.E. Benth, G. Di Nunno, A. Løkka and F. Proske):
"Explicit representation of the minimal variance portfolio in markets driven by Lévy processes". Mathematical Finance 13 (2003), 55 - 72
131. (Joint work with G. Di Nunno and F. Proske):
"Malliavin calculus for Lévy processes". Manuscript February 2003.
132. (Joint work with S. Mataramvura and F. Proske):
"The Donsker delta function of a Lévy process with application to chaos expansion of local time". Manuscript February 2003.
IN PREPARATION
:133. (Joint work with Y. Hu):
"Optimal smooth portfolio selection of an insider".
Preliminary manuscript (19 pages) February 2003.
134. (Joint work with A. Sulem):
"Applied Stochastic Control of Jump Diffusions". Book project. Preliminary version (202 pages) January 2003.
135. (Joint work with F. Biagini and A. Sulem):
"Minimal variance hedging of an insider"
136. (Joint work with N. Rudi and A. Sulem)
"Pricing in a supplier-customer relationship: A stochastic differential game model".
137. (Joint work with A. Sulem) "Stochastic control with partial observation in incomplete markets".
138. (Joint work with Y. Hu and A. Sulem) "Optimal streams of dividends in a market driven by fractional Brownian motion".