Partial observation control in an anticipating environment

DOI10.1070/RM2004v059n02ABEH000723zbMath1055.93075OpenAlexW2106220739MaRDI QIDQ4829865

Agnès Sulem, Bernt Øksendal

Publication date: 1 December 2004

Published in: Russian Mathematical Surveys (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1070/rm2004v059n02abeh000723

zbMATH Keywords

stochastic controlstochastic differential equationsfinanceanticipating environment

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Stochastic calculus of variations and the Malliavin calculus (60H07)

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Portfolio selection and risk control for an insurer with uncertain time horizon and partial information in an anticipating environment ⋮ Optimal investment and risk control for an insurer with partial information in an anticipating environment ⋮ The optimal investment, liability and dividends in insurance ⋮ MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES ⋮ Optimal portfolio for an insider in a market driven by Lévy processes§ ⋮ Optimal portfolio, partial information and Malliavin calculus

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