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Malliavin calculus applied to optimal control of stochastic partial differential equations with jumps
Abstract:In this paper, we employ Malliavin calculus to derive a general stochastic maximum principle for stochastic partial differential 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.
Keywords:Malliavin calculus  maximum principle  portfolio optimization  jumps diffusion  stochastic flows  partial observation control
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