Malliavin calculus applied to optimal control of stochastic partial differential equations with jumps

DOI10.1080/17442508.2011.652964zbMath1291.93332OpenAlexW2078751837MaRDI QIDQ5411913

Thilo Meyer-Brandis, H. Binti Salleh, Olivier Menoukeu Pamen, Frank Norbert Proske

Publication date: 25 April 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: http://urn.nb.no/URN:NBN:no-23513

zbMATH Keywords

optimal controlmaximum principleMalliavin calculusstochastic partial differential equationpartial information

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (5)

Malliavin method for optimal investment in financial markets with memory ⋮ A maximum principle for controlled stochastic factor model ⋮ Maximum principles of Markov regime-switching forward-backward stochastic differential equations with jumps and partial information ⋮ A SPDE maximum principle for stochastic differential games under partial information with application to optimal portfolios on fixed income markets ⋮ HEDGE-FUND MANAGEMENT WITH LIQUIDITY CONSTRAINT

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