Department of Mathematics

Arne Lokka

Arne Lokka graduated from the Department of Matematics in 1997 and received his Master degree in Mathematics in 1999, both from the University of Oslo. He then did one year of military service at the Norwegian Defence Research Establishment. He received a PhD in Mathematics from the University of Oslo in 2003, followed by a post-Doctorial fellowship position at King's College London. During the years 2004 to 2008 he was a lecturer in the Department of Mathematics at King's College London.

His current research interests include stochastic analysis, Malliavin calculus for pure jump processes, filtering, optimal stopping problems, valuation of investment decisions, optimal execution, derivative pricing and hedging in incomplete markets.

• A. Lokka (2013), Optimal liquidation in a limit order book for a risk averse investor. To appear in Mathematical Finance ([PDF]).

• A. Lokka and M. Zervos (2013), Long-term optimal investment strategies in the presence of adjustment costs. SIAM J. Control and Optimization 51 (2), 996-1034.

• A. Lokka and M. Zervos (2010), A model for the long-term optimal capacity level of an investment project. International Journal of Theoretical and Applied Finance 14 (2), 187-196.

• A. Lokka and M. Zervos (2008), Optimal dividend and issuance of equity policies in the presence of proportional costs. Insurance Mathematics and Economics 42, 954-961.

• A. Lokka (2007), Detection of disorder before an observable event. Stochastics 79, 219-231.

• A. Lokka and F. Proske (2006), Infinitely dimensional analysis of pure jump Levy processes on the Poisson space. Mathematica Scandinavica 98, 237-261.

• A. Lokka, B. Oksendal and F. Proske (2004), Stochastic partial differential equations driven by Levy space-time white noise. Annals of Applied Probability 14, 1506-1528.

• F. E. Benth and A. Lokka (2004), Anticipative calculus for Levy processes and stochastic differential equations. Stochastics and Stochastic Reports 76, 191-211.

• A. Lokka (2004), Martingale representation of functionals of Levy processes. Stochastic Analysis and Applications 22, 867-892.

• F. E. Benth, G. Di Nunno, A. Lokka, B. Oksendal and F. Proske (2003), Explicit representation of the minimal variance portfolio in markets driven by Levy processes. Mathematical Finance 13, 55-72.

Selected preprints

• A. Lokka (2012), Optimal execution in a multiplicative limit order book. submitted for publication ([PDF]).