A Hida–Malliavin white noise calculus approach to optimal control

DOI10.1142/S0219025718500145zbMath1400.60077arXiv1704.08899OpenAlexW2964176642MaRDI QIDQ4554053

Nacira Agram, Bernt Øksendal

Publication date: 7 November 2018

Published in: Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1704.08899

zbMATH Keywords

stochastic maximum principlebackward stochastic differential equation (BSDE)white noise theoryHida-Malliavin calculusspike perturbation

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic models in economics (91B70) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Stochastic integrals (60H05) Stochastic integral equations (60H20)

Related Items

Characterization of stochastic equilibrium controls by the Malliavin calculus, Maximum principle for delayed stochastic mean-field control problem with state constraint, Space-Time Stochastic Calculus and White Noise, On stochastic control for time changed Lévy dynamics

Cites Work

• Malliavin calculus and optimal control of stochastic Volterra equations
• Risk minimization in financial markets modeled by Itô-Lévy processes
• A General Stochastic Maximum Principle for Optimal Control Problems
• Optimal control of forward-backward stochastic Volterra equations
• Applied stochastic control of jump diffusions
• White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance
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