| dc.date.accessioned | 2013-03-12T08:18:58Z | |
| dc.date.available | 2013-03-12T08:18:58Z | |
| dc.date.issued | 2007 | en_US |
| dc.date.submitted | 2009-11-16 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10852/10528 | |
| dc.description.abstract | In this paper we employ Malliavin calculus to derive a general stochastic maximum principle for stochastic partial di¨eremtial equations with jumps under partial information. We apply this result to solve an optimal harvesting problem in the presence of partial information. Another application pertains to portfolio optimization under partial observation. | 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) (2007). 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 | Malliavin Calculus Applied to Optimal Control of Stochastic Partial Differential Equations with Jumps. | en_US |
| dc.type | Research report | en_US |
| dc.date.updated | 2012-06-14 | en_US |
| dc.rights.holder | Copyright 2007 The Author(s) | |
| dc.creator.author | Meyer-Brandis, Thilo | en_US |
| dc.creator.author | Proske, Frank | en_US |
| dc.creator.author | Salleh, Hassilah Binti | en_US |
| dc.creator.author | Menoukeu Pamen, Olivier | en_US |
| dc.subject.nsi | VDP::410 | en_US |
| dc.identifier.urn | URN:NBN:no-23513 | en_US |
| dc.type.document | Forskningsrapport | en_US |
| dc.identifier.duo | 96896 | en_US |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10528/1/pm23-07.pdf | |