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dc.date.accessioned2013-03-12T08:16:44Z
dc.date.available2013-03-12T08:16:44Z
dc.date.issued2008en_US
dc.date.submitted2009-11-12en_US
dc.identifier.urihttp://hdl.handle.net/10852/10490
dc.description.abstractThis 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 explicitlyeng
dc.language.isoengen_US
dc.publisherMatematisk Institutt, Universitetet i Oslo
dc.relation.ispartofPreprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076en_US
dc.relation.urihttp://urn.nb.no/URN:NBN:no-8076
dc.rights© The Author(s) (2008). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society.
dc.titleA stochastic maximum principle via Malliavin calculusen_US
dc.typeResearch reporten_US
dc.date.updated2009-11-16en_US
dc.rights.holderCopyright 2008 The Author(s)
dc.creator.authorØksendal, Bernten_US
dc.creator.authorZhou, Xun Yuen_US
dc.creator.authorMeyer-Brandis, Thiloen_US
dc.subject.nsiVDP::410en_US
dc.identifier.urnURN:NBN:no-23449en_US
dc.type.documentForskningsrapporten_US
dc.identifier.duo96765en_US
dc.identifier.fulltextFulltext https://www.duo.uio.no/bitstream/handle/10852/10490/1/pm10-08.pdf


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