Publikasjoner fra CRIStin
http://hdl.handle.net/11250/191055
Fri, 24 Nov 2017 16:53:00 GMT2017-11-24T16:53:00ZOptimal multi-dimensional stochastic harvesting with density-dependent prices
http://hdl.handle.net/11250/2466585
Optimal multi-dimensional stochastic harvesting with density-dependent prices
Alvarez, Luis H.; Lungu, Edward; Øksendal, Bernt
We prove a verification theorem for a class of singular control problems which model
optimal harvesting with density-dependent prices or optimal dividend policy with capitaldependent
utilities. The result is applied to solve explicitly some examples of such optimal
harvesting/optimal dividend problems.
In particular, we show that if the unit price decreases with population density, then the
optimal harvesting policy may not exist in the ordinary sense, but can be expressed as a
”chattering policy”, i.e. the limit as ∆x and ∆t go to 0 of taking out a sequence of small
quantities of size ∆x within small time periods of size ∆t.
Fri, 01 Jan 2016 00:00:00 GMThttp://hdl.handle.net/11250/24665852016-01-01T00:00:00ZZonal attachment of fish stocks and management cooperation
http://hdl.handle.net/11250/2466508
Zonal attachment of fish stocks and management cooperation
Hannesson, Røgnvaldur
This paper studies the incentive-compatibility of distributing fish quotas on the basis of zonal attachment of stocks. Two countries sharing two fish stocks are studied, with the zonal attachment of both stocks varying randomly. The base case is one of symmetric stocks, where one country is the dominant player for one stock. While each country has weak or no incentive to cooperative on the stock in which it holds only a minor share, both countries would have incentives to cooperate on both stocks if they are jointly managed. If one country is the major player with respect to both stocks, the minor player has weak or no incentive to cooperate. The incentive to cooperate is not any stronger if the variations in the zonal attachment of the two stocks are negatively correlated.
Tue, 01 Jan 2013 00:00:00 GMThttp://hdl.handle.net/11250/24665082013-01-01T00:00:00ZA flying start? Maternity leave benefits and long-run outcomes of children
http://hdl.handle.net/11250/2466388
A flying start? Maternity leave benefits and long-run outcomes of children
Carneiro, Pedro; Løken, Katrine Vellesen; Salvanes, Kjell Gunnar
We study a change in maternity leave entitlements in Norway. Mothers giving birth before July 1, 1977, were eligible for 12 weeks of unpaid leave, while those giving birth after that date were entitled to 4 months of paid leave and 12 months of unpaid leave. The increased time spent with the child led to a 2 percentage point decline in high school dropout rates and a 5 percent increase in wages at age 30. These effects were larger for the children of mothers who, in the absence of the reform, would have taken very low levels of unpaid leave.
Thu, 01 Jan 2015 00:00:00 GMThttp://hdl.handle.net/11250/24663882015-01-01T00:00:00ZSemantic and Pragmatic Value of Norwegian Greetings the Last Hundred Years
http://hdl.handle.net/11250/2466364
Semantic and Pragmatic Value of Norwegian Greetings the Last Hundred Years
Rygg, Kristin
this article addresses changes in norwegian greeting rituals during the last
century seen from two viewpoints: First, an article in Maal og Minne
(lundeby 1995) against the answers to a questionnaire on greetings and
address forms conducted by Norwegian Ethnological Research (NEG) in 2008.
Secondly, the claims from the neg corpus are tested against a modern text
corpus with a wider age distribution. using linguistic theories from
semantics and pragmatics, the study finds that, with some exceptions, greetings
with a semantic content related to religious belief, situation, task and
time are replaced by greetings that are similar to primary interjections in that
they no longer carry descriptive meaning. Because of that, they function as
short, quick and context-free greetings to anyone, even to strangers, which
makes it questionable to what degree they increase relational intimacy as
claimed by lundeby. the new greetings are described as empty, superficial
and informal by the neg-informants; the reasons for this, however, are
thought to be their lack of the information, formality and tradition that the
older greetings possess.
Sun, 01 Jan 2017 00:00:00 GMThttp://hdl.handle.net/11250/24663642017-01-01T00:00:00ZOptimal control of systems with noisy memory and BSDEs with Malliavin derivatives
http://hdl.handle.net/11250/2466169
Optimal control of systems with noisy memory and BSDEs with Malliavin derivatives
Øksendal, Bernt; Mohammed, Salah-Eldin; Røse, Elin Engen; Dahl, Kristina Rognlien
In this article we consider a stochastic optimal control problem where
the dynamics of the state process, X(t), is a controlled stochastic differential
equation with jumps, delay and noisy memory. The term noisy
memory is, to the best of our knowledge, new. By this we mean that the
dynamics of X(t) depend on R t
t−δ X(s)dB(s) (where B(t) is a Brownian
motion). Hence, the dependence is noisy because of the Brownian motion,
and it involves memory due to the influence from the previous values of
the state process.
We derive necessary and sufficient maximum principles for this stochastic
control problem in two different ways, resulting in two sets of maximum
principles. The first set of maximum principles is derived using Malliavin
calculus techniques, while the second set comes from reduction to a discrete
delay optimal control problem, and application of previously known
results by Øksendal, Sulem and Zhang. The maximum principles also
apply to the case where the controller has only partial information, in the
sense that the admissible controls are adapted to a sub-σ-algebra of the
natural filtration.
Fri, 01 Jan 2016 00:00:00 GMThttp://hdl.handle.net/11250/24661692016-01-01T00:00:00ZA Donsker delta functional approach to optimal insider control and applications to finance
http://hdl.handle.net/11250/2466127
A Donsker delta functional approach to optimal insider control and applications to finance
Draouil, Olfa; Øksendal, Bernt
We study optimal insider control problems, i.e. optimal control problems of stochastic
systems where the controller at any time t, in addition to knowledge about the
history of the system up to this time, also has additional information related to a
future value of the system. Since this puts the associated controlled systems outside
the context of semimartingales, we apply anticipative white noise analysis, including
forward integration and Hida-Malliavin calculus to study the problem. Combining this
with Donsker delta functionals we transform the insider control problem into a classical
(but parametrised) adapted control system, albeit with a non-classical performance
functional. We establish a sufficient and a necessary maximum principle for such systems.
Then we apply the results to obtain explicit solutions for some optimal insider
portfolio problems in financial markets described by Itˆo-L´evy processes. Finally, in the
Appendix we give a brief survey of the concepts and results we need from the theory
of white noise, forward integrals and Hida-Malliavin calculus.
Thu, 01 Jan 2015 00:00:00 GMThttp://hdl.handle.net/11250/24661272015-01-01T00:00:00ZOptimal control of predictive mean-field equations and applications to finance
http://hdl.handle.net/11250/2466098
Optimal control of predictive mean-field equations and applications to finance
Øksendal, Bernt; Sulem, Agnès
We study a coupled system of controlled stochastic differential equations (SDEs) driven by a Brownian motion and a compensated Poisson random measure, consisting of a forward SDE in the unknown process X(t) and a predictive mean-field backward SDE (BSDE) in the unknowns Y(t),Z(t),K(t,⋅). The driver of the BSDE at time t may depend not just upon the unknown processes Y(t),Z(t),K(t,⋅), but also on the predicted future value Y(t+δ), defined by the conditional expectation A(t):=E[Y(t+δ)|Ft]. We give a sufficient and a necessary maximum principle for the optimal control of such systems, and then we apply these results to the following two problems: (i) Optimal portfolio in a financial market with an insider influenced asset price process. (ii) Optimal consumption rate from a cash flow modeled as a geometric Itô-Lévy SDE, with respect to predictive recursive utility.
Fri, 01 Jan 2016 00:00:00 GMThttp://hdl.handle.net/11250/24660982016-01-01T00:00:00ZMarket-specific Sunk Export Costs: The Impact of Learning and Spillovers
http://hdl.handle.net/11250/2466085
Market-specific Sunk Export Costs: The Impact of Learning and Spillovers
Maurseth, Per Botolf; Medin, Hege
Firms may face sunk costs when entering an export market. Previous studies have focused on global or country-specific sunk export costs. This study analyses the importance of market-specific sunk export costs (defining ‘market’ as a product-country combination). We also study how market-specific export costs can be affected by various kinds of learning and spillover effects. We use firm-level panel data for Norwegian seafood exports distributed on products and countries. The results lend support to the hypothesis of market-specific sunk costs. We also find evidence of learning and spillover effects, particularly within the same product group.
Sun, 01 Jan 2017 00:00:00 GMThttp://hdl.handle.net/11250/24660852017-01-01T00:00:00ZTax-adjusted Discount Rates: a General Formula under Constant Leverage Ratios
http://hdl.handle.net/11250/2466078
Tax-adjusted Discount Rates: a General Formula under Constant Leverage Ratios
Molnar, Peter; Nyborg, Kjell Gustav
Cooper and Nyborg (2008) derive a tax-adjusted discount rate formula under a constant proportion leverage policy, investor taxes and risky debt. However, their analysis assumes zero recovery in default. We extend their framework to allow for positive recovery rates. We also allow for differences in bankruptcy codes with respect to the order of priority of interest payments versus repayment of principal in default, which may have tax consequences. The general formula we derive differs from that of Cooper and Nyborg when recovery rates in default are anticipated to be positive. However, under continuous rebalancing, the formula collapses to that of Cooper and Nyborg. We provide an explanation for why the effect of the anticipated recovery rate is not directly visible in the general continuous rebalancing formula, even though this formula is derived under the assumption of partial default. The errors from using the continuous approximation formula are sensitive to the anticipated recovery in default, yet small. The ‘cost of debt’ in the tax adjusted discount rate formula is the debt's yield rather than its expected rate of return.
Tue, 01 Jan 2013 00:00:00 GMThttp://hdl.handle.net/11250/24660782013-01-01T00:00:00ZPlanning for charters: A stochastic maritime fleet composition and deployment problem
http://hdl.handle.net/11250/2466060
Planning for charters: A stochastic maritime fleet composition and deployment problem
Wang, Xin; Fagerholt, Kjetil; Wallace, Stein W.
This paper introduces a chartering problem that arises in the shipping industry. The chartering decisions determine the time-charter contracts to enter into, in particular, how many ships of each type to charter in, and for how long they are to be hired. We show that this problem can be modeled as a tactical fleet composition problem, with integrated fleet deployment and speed optimization, which also takes into account market uncertainties. We propose a two-stage stochastic programming model, and present a computational study based on the case of Odfjell, a leading chemical shipping company based in Bergen, Norway. We show how the charter plans produced can change depending on different modeling choices. We also show why and how different charter plans affect the company's overall performance, in order to provide guidance in helping the company make its chartering decisions.
Sun, 01 Jan 2017 00:00:00 GMThttp://hdl.handle.net/11250/24660602017-01-01T00:00:00Z