Browsing Matematisk institutt by Author "Salleh, Hassilah Binti"
Now showing items 1-3 of 3
-
Meyer-Brandis, Thilo; Proske, Frank; Salleh, Hassilah Binti; Menoukeu Pamen, Olivier (Research report / Forskningsrapport, 2007)In this paper we employ Malliavin calculus to derive a general stochastic maximum principle for stochastic partial di¨eremtial equations with jumps under partial information. We apply this result to solve an optimal ...
-
Proske, Frank; Salleh, Hassilah Binti; Yolcu Okur, Yeliz (Research report / Forskningsrapport, 2009)
-
Proske, Frank; Salleh, Hassilah Binti; Menoukeu Pamen, Olivier (Research report / Forskningsrapport, 2009)In this paper we use techniques of Malliavin calculus and forward integration to present a general stochastic maximum principle for anticipating stochastic differential equations driven by a Lévy type of noise. We apply ...