Malliavin calculus applied to optimal control of stochastic partial differential equations with jumps
Olivier Menoukeu Pamen, Thilo Meyer‐Brandis, Frank Proske, Hassilah Salleh
Abstract
Olivier Menoukeu Pamen, Thilo Meyer‐Brandis, Frank Proske, Hassilah Salleh
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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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