A mean-field stochastic maximum principle via Malliavin calculus

Stochastics

Volumn 84, Issue 5-6, 2012, Pages 643-666

  Meyer Brandis, Thilo ^a   Øksendal, Bernt ^a,b   Zhou, Xun Yu ^c,d  

^a UNIVERSITY OF OSLO   (Norway)

^b NORWEGIAN SCHOOL OF ECONOMICS   (Norway)

^c UNIVERSITY OF OXFORD   (United Kingdom)

^d CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

jump diffusion; Malliavin calculus; maximum principle; mean field type; partial information; stochastic control

Indexed keywords

EID: 84868330033     PISSN: 17442508     EISSN: 17442516     Source Type: Journal    
DOI: 10.1080/17442508.2011.651619     Document Type: Article

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