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A stochastic maximum principle via Malliavin calculus
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When
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5.15 on Thursday 13th November 2008
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Where
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B617, Leverhulme Library, Columbia House
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Presentations
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Speaker
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Thilo Meyer Brandis
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From
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University of Oslo
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Abstract
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We consider a controlled Itô-Lévy process where the information available to the controller is possibly less than the overall information.
All the system coefficients and the objective performance functional are allowed to be random, possibly non-Markovian. Malliavin calculus is employed to derive a maximum principle for the optimal control of such a system where the adjoint process is explicitly expressed.
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For further information
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Sabina Allam (Postgraduate Administrator) Ext. 6879
Department of Statistics, Columbia House
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