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math.OC2014
Optimal control with delayed information flow of systems driven by -Brownian motion
Francesca Biagini, Thilo Meyer-Brandis, Bernt Øksendal +1
In this paper we study strongly robust optimal control problems under volatility uncertainty. In the -framework we adapt the stochastic maximum principle to find necessary and s…
math.OC2009★ 8 cited
A stochastic maximum principle via Malliavin calculus
Thilo Meyer-Brandis, Xunyu Zhou, Bernt Oksendal
This paper considers a controlled Itô-Lévy process where the information available to the controller is possibly less than the overall information. All the system coefficients and…