Research fellow (Ph.D.)
Stochastic analysis group >>
Centre of mathematics for applications >>
University of Oslo >>
Centre of mathematics for applications
University of Oslo
PO Box 1053 Blindern
NO - 0316 Oslo
Norway
Visiting address: Room B1026, Niels Henrik Abels Hus
Tel. +47 22 85 60 30
Fax +47 22 85 43 49
E-mail: j**ka.l**pa (;-P) cma . uio . no
Optimal stopping and stochastic control with applications
Applied mathematical finance on energy markets
Optimal stopping with information constraint, 2012, Applied mathematics and optimization, doi: 10.1007/s00245-012-9166-0
A Dynkin game with asymmetric information (with P. Matomäki), 2012, Stochastics: an international journal of probability and stochastic processes, doi:10.1080/17442508.2012.655279
On the optimal exercise of swing options in electricity markets (with F.E. Benth and T.K. Nilssen), 2011/12, Journal of energy markets, 4/4, 3 - 28
A note on optimal stopping of diffusions with a two-sided optimal rule, 2010, Operations research letters, 38, 11 - 16
On infinite horizon optimal stopping of general random walk, 2008, Mathematical methods of operations research, 67/2, 257 - 268
On the optimal stochastic impulse control of linear diffusions (with L.H.R. Alvarez E.), 2008, SIAM journal on control and optimization, 47/2, 703 - 732
A class of solvable stochastic dividend optimization problems: On a general impact of flexibility on valuation (with L.H.R. Alvarez E.), 2006, Economic theory, 28/2, 373 - 398