Sensitivity analysis using Itô-Malliavin calculus and application to stochastic optimal control
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منابع مشابه
A stochastic maximum principle via Malliavin calculus
This paper considers a controlled Itô-Lévy process 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 nonMarkovian. Malliavin calculus is employed to derive a maximum principle for the optimal control of such a system where the adjoint process is explic...
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