Malliavin calculus applied to optimal control of stochastic partial differential equations with jumps
Work
Year: 2012
Type: article
Abstract: In this paper, we employ Malliavin calculus to derive a general stochastic maximum principle for stochastic partial differential equations with jumps under partial information. We apply this result t... more
Source: Stochastics
Institutions University of Oslo, Ludwig-Maximilians-Universität München, Universiti Malaysia Terengganu
Cites: 25
Cited by: 11
Related to: 10
FWCI: 0.597
Citation percentile (by year/subfield): 81.07
Subfield: Finance
Domain: Social Sciences
Open Access status: green