Optimal control of systems with noisy memory and BSDEs with Malliavin derivatives
From MaRDI portal
Publication:285814
DOI10.1016/j.jfa.2016.04.031zbMath1339.93121arXiv1403.4034OpenAlexW2962948879MaRDI QIDQ285814
Salah-Eldin A. Mohammed, Bernt Øksendal, K. R. Dahl, Elin Engen Røse
Publication date: 19 May 2016
Published in: Journal of Functional Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1403.4034
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (17)
The stochastic linear quadratic optimal control problem in Hilbert spaces: a polynomial chaos approach ⋮ Mean-field stochastic control with elephant memory in finite and infinite time horizon ⋮ A nonlinear Kolmogorov equation for stochastic functional delay differential equations with jumps ⋮ Backward Stochastic Volterra Integro-Differential Equations and Applications in Optimal Control Problems ⋮ Optimal control of forward-backward mean-field stochastic delayed systems ⋮ Optimal control of mean-field jump-diffusion systems with noisy memory ⋮ Forward-backward stochastic differential equation games with delay and noisy memory ⋮ Stochastic control of memory mean-field processes ⋮ Stochastic systems with memory and jumps ⋮ Optimal control of nonclassical diffusion equations with memory ⋮ A Donsker delta functional approach to optimal insider control and applications to finance ⋮ Optimal control of mean-field backward doubly stochastic systems driven by Itô-Lévy processes ⋮ Sequential Bayesian optimal experimental design for structural reliability analysis ⋮ Variation of constants formulae for forward and backward stochastic Volterra integral equations ⋮ Maximum principle for infinite horizon optimal control of mean-field backward stochastic systems with delay and noisy memory ⋮ Sufficient maximum principle for stochastic optimal control problems with general delays ⋮ Malliavin calculus and optimal control of stochastic Volterra equations
Cites Work
- Unnamed Item
- Unnamed Item
- Malliavin calculus and optimal control of stochastic Volterra equations
- Risk minimization in financial markets modeled by Itô-Lévy processes
- Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
- The stochastic Fubini theorem revisited
- The Malliavin Calculus and Related Topics
- Lévy Processes and Stochastic Calculus
- Backward Stochastic Differential Equations in Finance
- Malliavin Calculus with Applications to Stochastic Partial Differential Equations
- White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance
This page was built for publication: Optimal control of systems with noisy memory and BSDEs with Malliavin derivatives