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(Research report / Forskningsrapport, 2008)
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 ...
(Research report / Forskningsrapport, 2008)
(Research report / Forskningsrapport, 2008)
We 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 ...
(Research report / Forskningsrapport, 2008)
In this paper we consider a general partial information stochastic differential game where the state process is a controlled Itô-Lévy process. We use Malliavin calculus to derive a maximum principle for general stochastic ...