Malliavin Calculus Applied to Optimal Control of Stochastic Partial Differential Equations with Jumps

In this paper we employ Malliavin calculus to derive a general stochastic maximum principle for stochastic partial di¨eremtial equations with jumps under partial information. We apply this result to solve an optimal harvesting problem in the presence of partial information. Another application perta...

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Hauptverfasser: Meyer-Brandis, Thilo, Proske, Frank, Salleh, Hassilah Binti, Menoukeu Pamen, Olivier
Format: Report
Sprache:eng
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Zusammenfassung:In this paper we employ Malliavin calculus to derive a general stochastic maximum principle for stochastic partial di¨eremtial 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.