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dc.date.accessioned2013-03-12T08:17:39Z
dc.date.available2013-03-12T08:17:39Z
dc.date.issued2008en_US
dc.date.submitted2009-11-12en_US
dc.identifier.urihttp://hdl.handle.net/10852/10502
dc.description.abstractWe present various versions of the maximum principle for optimal control of forward-backward SDEs with jumps. Our study is motivated by risk minimization via g-expectations. We first prove a general sufficient maximum principle for optimal control with partial information of a stochastic system consisting of a forward and a backward SDE driven by Lévy processes. We then present a Malliavin calculus approach which allows us to handle non-Markovian systems. Finally we give examples of applications.eng
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.titleMaximum principles for optimal control of forward-backward stochastic differential equations with jumpsen_US
dc.typeResearch reporten_US
dc.date.updated2009-11-12en_US
dc.creator.authorØksendal, Bernten_US
dc.creator.authorSulem, Agnèsen_US
dc.subject.nsiVDP::410en_US
dc.identifier.urnURN:NBN:no-23461en_US
dc.type.documentForskningsrapporten_US
dc.identifier.duo96781en_US
dc.identifier.fulltextFulltext https://www.duo.uio.no/bitstream/handle/10852/10502/1/pm22-08.pdf


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