A mean-field stochastic maximum principle via Malliavin calculus (Q3145081): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: The Partially Observed Stochastic Minimum Principle / rank
 
Normal rank
Property / cites work
 
Property / cites work: Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Maximum Principle for Stochastic Control with Partial Information / rank
 
Normal rank
Property / cites work
 
Property / cites work: MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES / rank
 
Normal rank
Property / cites work
 
Property / cites work: The second order minimum principle and adjoint process / rank
 
Normal rank
Property / cites work
 
Property / cites work: Applications of Malliavin calculus to Monte-Carlo methods in finance. II / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized Poisson functionals / rank
 
Normal rank
Property / cites work
 
Property / cites work: A generalized clark representation formula, with application to optimal portfolios / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Note On Utility Maximization Under Partial Observations<sup>1</sup> / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal trading strategy for an investor: the case of partial information / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean field games / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Malliavin Calculus and Related Topics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal portfolio in partially observed stochastic volatility models. / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4255599 / rank
 
Normal rank

Latest revision as of 00:26, 6 July 2024

scientific article
Language Label Description Also known as
English
A mean-field stochastic maximum principle via Malliavin calculus
scientific article

    Statements

    A mean-field stochastic maximum principle via Malliavin calculus (English)
    0 references
    0 references
    13 December 2012
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    Malliavin calculus
    0 references
    maximum principle
    0 references
    stochastic control
    0 references
    mean-field type
    0 references
    jump diffusion
    0 references
    partial information
    0 references
    0 references
    0 references