| dc.date.accessioned | 2013-03-12T08:16:27Z | |
| dc.date.available | 2013-03-12T08:16:27Z | |
| dc.date.issued | 2006 | en_US |
| dc.date.submitted | 2009-11-19 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10852/10549 | |
| dc.description.abstract | We study the problem of optimal control of a jump diffusion, i.e. a process which is the solution of a stochastic differential equation driven by Lévy processes. It is required that the control process is adapted to a given subfiltration of the filtration generated by the underlying Lévy processes. We prove two maximum principles (one sufficient and one necessary) for this type of partial information control. The results are applied to a partial information mean-variance portfolio selection problem in finance. | 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) (2006). 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 | A MAXIMUM PRINCIPLE FOR STOCHASTIC CONTROL WITH PARTIAL INFORMATION | en_US |
| dc.type | Research report | en_US |
| dc.date.updated | 2009-11-19 | en_US |
| dc.rights.holder | Copyright 2006 The Author(s) | |
| dc.creator.author | Baghery, Fouzia | en_US |
| dc.creator.author | Øksendal, Bernt | en_US |
| dc.subject.nsi | VDP::410 | en_US |
| dc.identifier.urn | URN:NBN:no-23551 | en_US |
| dc.type.document | Forskningsrapport | en_US |
| dc.identifier.duo | 97017 | en_US |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10549/1/pm20-06.pdf | |