2012•StochasticsOpen access

Malliavin calculus applied to optimal control of stochastic partial differential equations with jumps

Olivier Menoukeu Pamen, Thilo Meyer‐Brandis, Frank Proske, Hassilah Salleh

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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 to solve an optimal harvesting problem in the presence of partial information. Another application pertains to portfolio optimization under partial observation.

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What this paper is about

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 to solve an optimal harvesting problem in the presence of partial information. Another application pertains to portfolio optimization under partial observation.

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OpenAlex reports 11 citations for this work. Citation counts describe recorded attention and do not establish research quality.

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Available 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 to solve an optimal harvesting problem in the presence of partial information. Another application pertains to portfolio optimization under partial observation.

Key concepts: Malliavin calculus, Stochastic partial differential equation, Partial differential equation, Mathematics, Stochastic calculus, Partial derivative, Applied mathematics, Stochastic control

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