Viscosity solutions of optimal stopping problems

von Øksendal, Bernt
Veröffentlicht 1997

Stochastic differential games with controls : discussion of a specific example

von Øksendal, Bernt
Veröffentlicht 1998

Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution

von Benth, Fred Espen
Veröffentlicht in Finance and stochastics (2001)

Merton's portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein-Uhlenbeck type

von Benth, Fred Espen
Veröffentlicht in Mathematical finance (2003)

A semilinear Black and Scholes partial differential equation for valuing American options

von Benth, Fred Espen
Veröffentlicht in Finance and stochastics (2003)

A note on portfolio management under non-Gaussian logreturns

von Benth, Fred Espen
Veröffentlicht in International journal of theoretical and applied finance (2001)

Optimal portfolio selection with consumtion and nonlinear integro-differential equations with gradient constraint : a viscosity solution approach

von Benth, Fred Espen
Veröffentlicht in Finance and stochastics (2001)