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dc.date.accessioned2013-03-12T08:16:27Z
dc.date.available2013-03-12T08:16:27Z
dc.date.issued2006en_US
dc.date.submitted2009-11-19en_US
dc.identifier.urihttp://hdl.handle.net/10852/10549
dc.description.abstractWe study the problem of optimal control of a jump diffusion, i.e. a process which is the solution of a stochastic differential equation driven by Lévy processes. It is required that the control process is adapted to a given subfiltration of the filtration generated by the underlying Lévy processes. We prove two maximum principles (one sufficient and one necessary) for this type of partial information control. The results are applied to a partial information mean-variance portfolio selection problem in finance.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.titleA MAXIMUM PRINCIPLE FOR STOCHASTIC CONTROL WITH PARTIAL INFORMATIONen_US
dc.typeResearch reporten_US
dc.date.updated2009-11-19en_US
dc.creator.authorBaghery, Fouziaen_US
dc.creator.authorØksendal, Bernten_US
dc.subject.nsiVDP::410en_US
dc.identifier.urnURN:NBN:no-23551en_US
dc.type.documentForskningsrapporten_US
dc.identifier.duo97017en_US
dc.identifier.fulltextFulltext https://www.duo.uio.no/bitstream/handle/10852/10549/1/pm20-06.pdf


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