A stochastic maximum principle via Malliavin calculus - Mathematics > Optimization and ControlReport as inadecuate




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Abstract: This paper considers a controlled It\^o-L\-evy process where the informationavailable to the controller is possibly less than the overall information. Allthe system coefficients and the objective performance functional are allowed tobe random, possibly non-Markovian. Malliavin calculus is employed to derive amaximum principle for the optimal control of such a system where the adjointprocess is explicitly expressed.



Author: Thilo Meyer-Brandis, Xunyu Zhou, Bernt Oksendal

Source: https://arxiv.org/







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