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

Menoukeu Pamen, Olivier; Meyer-Brandis, Thilo ; Proske, Frank und Binti Salleh, Hassilah (2013): Malliavin calculus applied to optimal control of stochastic partial differential equations with jumps. In: Stochastics, Bd. 85, Nr. 3: S. 431-463

Abstract

In this paper, we employ Malliavin calculus to derive a general stochastic maximum principle for stochastic partial differential equations with jumps under partial information. We apply this result to solve an optimal harvesting problem in the presence of partial information. Another application pertains to portfolio optimization under partial observation.

• Dokumententyp: Zeitschriftenartikel
• Fakultät: Mathematik, Informatik und Statistik > Mathematik > Finanz- und Versicherungsmathematik
• Themengebiete: 500 Naturwissenschaften und Mathematik > 510 Mathematik
• ISSN: 1744-2508
• Sprache: Englisch