A Maximum Principle for Stochastic Control with Partial Information

Abstract

We study the problem of optimal control of a jump diffusion, that is, 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.     

Symmetric Powers of Nat 𝔰𝔩2(𝕂)

We identify the spaces of homogeneous polynomials in two variables 𝕂[Y^k, XY^k?1, ?, X^k] among representations of the Lie ring 𝔰𝔩₂(𝕂). This amounts to constructing a compatible 𝕂-linear structure on some abstract 𝔰𝔩₂(𝕂)-modules, where 𝔰𝔩₂(𝕂) is viewed as a Lie ring.     

A baire approach to quantitative resonance principles

The main purpose of this paper is to give a proof of quantitative resonance and condensation principles via Baire category arguments in contrast to the gliding hump method used previously. Thereby a new nonquantitative resonance principle is established which is concerned with dominated convergence in Frechet spaces, by the way yielding more detailed information on the structure of the underlying spaces. On the other hand, Baire's approach is an easy tool to develop condensation principles by considering residual sets. Finally, some typical applications concerning trigonometric Fourier partial sums may illustrate the result received.     

On the transposition anti-involution in real Clifford algebras I: the transposition map

A particular orthogonal map on a finite-dimensional real quadratic vector space (V,?Q) with a non-degenerate quadratic form Q of any signature (p,?q) is considered. It can be viewed as a correlation of the vector space that leads to a dual Clifford algebra C?(V*,?Q) of linear functionals (multiforms) acting on the universal Clifford algebra C?(V,?Q). The map results in a unique involutive automorphism and a unique involutive anti-automorphism of C?(V,?Q). The anti-involution reduces to reversion (resp. conjugation) for any Euclidean (resp. anti-Euclidean) signature. When applied to a general element of the algebra, it results in transposition of the element matrix in the left regular representation of C?(V,?Q). We also give an example for real spinor spaces. The general setting for spinor representations will be treated in part II of this work [R. Ab?amowicz and B. Fauser, On the transposition anti-involution in real Clifford algebras II: Stabilizer groups of primitive idempotents, Linear Multilinear Algebra, to appear].     

Asyptotics for linear difference equations I:basic theory

We present here a unified treatment of asymptotic theory of linear difference equations. This is based on anadapted theory of discrete dichotomy. The obtained results narrow the gap between Poincarés Theorem and (the discrete analoue of) Levinson's Theorem.     

Continuous local martingales and stochastic integration in UMD Banach spaces

Recently, van Neerven, Weis and the author, constructed a theory for stochastic integration of UMD Banach space valued processes. Here the authors use a (cylindrical) Brownian motion as an integrator. In this note we show how one can extend these results to the case where the integrator is an arbitrary real-valued continuous local martingale. We give several characterizations of integrability and prove a version of the Itô isometry, the Burkholder–Davis–Gundy inequality, the Itô formula and the martingale representation theorem.