Year: 2009
Type: preprint
Abstract: This paper considers a controlled Itô-Lévy process where 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 explicitly expressed.
Source: arXiv (Cornell University)
Authors: Meyer-Brandis, Thilo, Zhou, Xunyu, Oksendal, Bernt
Institutions: University of Oslo, University of Oxford
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1496869033