| dc.date.accessioned | 2013-03-12T08:17:39Z | |
| dc.date.available | 2013-03-12T08:17:39Z | |
| dc.date.issued | 2008 | en_US |
| dc.date.submitted | 2009-11-12 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10852/10502 | |
| dc.description.abstract | We present various versions of the maximum principle for optimal control of forward-backward SDEs with jumps. Our study is motivated by risk minimization via g-expectations. We first prove a general sufficient maximum principle for optimal control with partial information of a stochastic system consisting of a forward and a backward SDE driven by Lévy processes. We then present a Malliavin calculus approach which allows us to handle non-Markovian systems. Finally we give examples of applications. | eng |
| dc.language.iso | eng | en_US |
| dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
| dc.relation.ispartof | Preprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | en_US |
| dc.relation.uri | http://urn.nb.no/URN:NBN:no-8076 | |
| dc.rights | © The Author(s) (2008). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
| dc.title | Maximum principles for optimal control of forward-backward stochastic differential equations with jumps | en_US |
| dc.type | Research report | en_US |
| dc.date.updated | 2009-11-12 | en_US |
| dc.rights.holder | Copyright 2008 The Author(s) | |
| dc.creator.author | Øksendal, Bernt | en_US |
| dc.creator.author | Sulem, Agnès | en_US |
| dc.subject.nsi | VDP::410 | en_US |
| dc.identifier.urn | URN:NBN:no-23461 | en_US |
| dc.type.document | Forskningsrapport | en_US |
| dc.identifier.duo | 96781 | en_US |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10502/1/pm22-08.pdf | |