A stochastic maximum principle via Malliavin calculus

Details A stochastic maximum principle via Malliavin calculus A stochastic maximum principle via Malliavin calculus

2009-11-19

arxiv.org/abs/0911.3720v1

Mathematics

Optimization and Control

Scientific paper

This paper considers a controlled It\^o-L\'evy process where the information available to the controller is possibly less than the overall information. All the system coefficients and the objective performance functional are allowed to be random, possibly non-Markovian. Malliavin calculus is employed to derive a maximum principle for the optimal control of such a system where the adjoint process is explicitly expressed.

Affiliated with

Also associated with

No associations

Rating

A stochastic maximum principle via Malliavin calculus does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with A stochastic maximum principle via Malliavin calculus, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and A stochastic maximum principle via Malliavin calculus will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-452657