Sven Haadem

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LetX(t) = X(t, ω) ∈ [0,∞)×Ω be a stochastic process on a filtered probability space (Ω,F , (Ft)t≥0,P) representing the wealth of an investment at time t. The owner of the investment wants to find the optimal time for selling the investment. If we interpret “optimal” in the sense of “risk minimal”, then the problem is to find a stopping time τ = τ(ω) which(More)
where X(t) is a controlled jump diffusion and u(t) is the control process. We allow for the case where the controller only has access to partial-information. Thus, we have a infinite horizon problem with partial information. Infinitehorizon optimal control problems arise in many fields of economics, in particular in models of economic growth. Note that(More)
1 Laboratory of Applied Mathematics, University Med Khider, Po.Box 145, Biskra (07000) Algeria. agramnacira@yahoo.fr 2 Center of Mathematics for Applications (CMA), University of Oslo, Box 1053 Blindern, N-0316 Oslo, Norway. sven.haadem@cma.uio.no 3 Center of Mathematics for Applications (CMA), University of Oslo, Box 1053 Blindern, N-0316 Oslo, Norway.(More)
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