A stochastic maximum principle via Malliavin calculus

Øksendal, Bernt; Zhou, Xun Yu; Meyer-Brandis, Thilo
Research report
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Year
2008
Permanent link
http://urn.nb.no/URN:NBN:no-23449

Is part of
Preprint series. Pure mathematics
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Abstract
This paper considers a controlled Itô-Lévy process 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