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

DOI10.1080/17442508.2011.652964zbMath1291.93332MaRDI 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 control; maximum principle; Malliavin calculus; stochastic partial differential equation; partial information

Mathematics Subject Classification ID

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

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