Thilo Meyer-Brandis, Xunyu Zhou, Bernt Oksendal
Published 2009-11-19Version 1
This paper considers a controlled It\^o-L\'evy 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.
Stochastic maximum principle for optimal control of SPDEs
Stochastic maximum principle for optimal control of SPDEs
On optimal control of forward backward stochastic differential equations
![QR code for arXiv:0911.3720 [math.OC]](http://oss.arxitics.com/images/favicon.svg)