Recent Submissions

  • Harvesting in a Fishery with Stochastic Growth and a Mean-Reverting Price 

    Kvamsdal, Sturla F; Poudel, Diwakar; Sandal, Leif Kristoffer (Journal article; Peer reviewed, 2014)
    We analyze a continuous, nonlinear bioeconomic model to demonstrate how stochasticity in the growth of fish stocks affects the optimal exploitation policy when prices are stochastic, mean-reverting and possibly harvest ...
  • Optimal multi-dimensional stochastic harvesting with density-dependent prices 

    Alvarez, Luis H.; Lungu, Edward; Øksendal, Bernt (Journal article; Peer reviewed, 2016)
    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 ...
  • Optimal control of predictive mean-field equations and applications to finance 

    Øksendal, Bernt; Sulem, Agnès (Peer reviewed; Journal article, 2016)
    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 ...
  • Planning for charters: A stochastic maritime fleet composition and deployment problem 

    Wang, Xin; Fagerholt, Kjetil; Wallace, Stein W. (Peer reviewed; Journal article, 2017)
    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 ...
  • Optimal control of systems with noisy memory and BSDEs with Malliavin derivatives 

    Øksendal, Bernt; Mohammed, Salah-Eldin; Røse, Elin Engen; Dahl, Kristina Rognlien (Journal article; Peer reviewed, 2016)
    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 ...
  • A Maximum Principle for Mean-Field SDEs with Time Change 

    Di Nunno, Giulia; Haferkorn, Hannes Hagen (Journal article; Peer reviewed, 2017)
    Time change is a powerful technique for generating noises and providing flexible models. In the framework of time changed Brownian and Poisson random measures we study the existence and uniqueness of a solution to a ...
  • A Donsker delta functional approach to optimal insider control and applications to finance 

    Draouil, Olfa; Øksendal, Bernt (Journal article; Peer reviewed, 2015)
    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 ...
  • Sulphur Abatement Globally in Maritime Shipping 

    Lindstad, Elizabeth; Rehn, Carl Fredrik; Eskeland, Gunnar (Journal article; Peer reviewed, 2017)
    In 2016, the International Maritime Organization (IMO) decided on global regulations to reduce sulphur emissions to air from maritime shipping starting 2020. The regulation implies that ships can continue to use residual ...
  • Environmental regulations in shipping: Policies leaning towards globalization of scrubbers deserve scrutiny 

    Lindstad, Haakon Elizabeth; Eskeland, Gunnar (Peer reviewed; Journal article, 2016)
    ABSTRACT Emission regulations for Sulphur oxides (SOx) and nitrogen oxides (NOx) are motivated by health- and other environmental objectives in local and regional settings, while global warming concerns motivate policies ...
  • Stepwise Green Investment under Policy Uncertainty 

    Chronopoulos, Michail; Hagspiel, Verena; Fleten, Stein-Erik (Peer reviewed; Journal article, 2016)
    We analyse how market price and policy uncertainty, in the form of random provision or retraction of a subsidy, interact to affect the optimal time of Investment and the size of a renewable energy (RE) project that can be ...
  • Stepwise investment and capacity sizing under uncertainty 

    Chronopoulos, Michail; Hagspiel, Verena; Fleten, Stein-Erik (Peer reviewed; Journal article, 2016)
    The relationship between uncertainty and managerial flexibility is particularly crucial in addressing capital projects. We consider a firm that can invest in a project in either a single (lumpy investment) or multiple ...
  • Stochastic energy market equilibrium modeling with multiple agents 

    Brekke, Kjell Arne; Golombek, Rolf; Kaut, Michal; Kittelsen, Sverre A.C.; Wallace, Stein W. (Journal article, 2017)
  • Optimal Insurance Policies in the Presence of Costs 

    Aase, Knut Kristian (Journal article; Peer reviewed, 2017)
    We reconsider costs in insurance, and suggest a new type of cost function, which we argue is a natural choice when there are relatively small, but frequent, claims. If a fixed cost is incurred each time a claim is made, ...
  • Scrapping a wind turbine: Policy changes, scrapping incentives and why wind turbines in good locations get scrapped first 

    Mauritzen, Johannes (Journal article; Peer reviewed, 2014)
    The most common reason for scrapping a wind turbine in Denmark is to make room for a newer turbine. The decision to scrap a wind turbine is then highly dependent on an opportunity cost that comes from the interaction of ...
  • Dead Battery? Wind Power, the Spot Market, and Hydropower Interaction in the Nordic Electricity Market 

    Mauritzen, Johannes (Journal article; Peer reviewed, 2013)
    It is well established within both the economics and power system engineering literature that hydropower can act as a complement to large amounts of intermittent energy. In particular hydropower can act as a “battery” where ...
  • Verdien av å (kunne) stenge 

    Kristiansen, Karoline Ask; Nordahl, Helge; Tesaker, Marte (Journal article, 2017)
    Verdsetting av fysiske eiendeler ved hjelp av diskontering av fremtidige forventede kontantstrømmer tilhører barnelærdommen for siviløkonomer. Denne metoden har imidlertid en stor svakhet: Det forutsettes at eieren ikke ...
  • Risikopremier, realrenten og optimal konsum og porteføljeteori: Hva er problemet? 

    Aase, Knut Kristian (Journal article; Peer reviewed, 2017)
    Vi demonstrerer hvordan rekursive preferanser kan anvendes i økonomisk modellering, der kombinasjon av tid og usikkerhet er vesentlige elementer. Additiv og separerbar forventet nytteteori har vært den vanlige grunnpillaren ...
  • Batteries in offshore support vessels – Pollution, climate impact and economics 

    Lindstad, Haakon Elizabeth; Eskeland, Gunnar; Rialland, Agathe Isabelle (Journal article; Peer reviewed, 2016)
    This paper assesses the pros and the cons of installing batteries on offshore support vessels. These vessels are specially designed to provide services to oil and gas operations, such as anchor handling, supply and subsea ...
  • Recursive utility using the stochastic maximum principle 

    Aase, Knut K. (Journal article; Peer reviewed, 2016)
    Motivated by the problems of the conventional model in rationalizing market data, we derive the equilibrium interest rate and risk premiums using recursive utility in a continuous-time model. We use the stochastic maximum ...
  • Harvest control rules in modern fisheries management 

    Kvamsdal, Sturla F; Eide, Arne; Ekerhovd, Nils-Arne; Enberg, Katja; Gudmundsdottir, Asta; Hoel, Alf Håkon; Mills, Katherine E.; Mueter, Franz J.; Ravn-Jonsen, Lars; Sandal, Leif Kristoffer; Stiansen, Jan Erik; Vestergaard, Niels (Journal article; Peer reviewed, 2016)
    Harvest control rules have become an important tool in modern fisheries management, and are increasingly adopted to provide continuity in management practices, to deal with uncertainty and ecosystem considerations, and to ...

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