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Special Semester on Stochastics with Emphasis on Finance
Linz, September 2008 - December 2008
Presentation: Maximum Principles for optimal control of forward-backward stochastic differential equations with jumps

Workshop: Optimization and Optimal Control

Time: Mon, October 20, 2008, 16:20-17:10

Speaker: Agnès Sulem

Abstract

We present various versions of maximum principles for
optimal control of FBSDES with jumps motivated by risk minimization via g-expectations. We first present a general sufficient maximum principle for optimal control with partial information of a stochastic system consisting of a forward and a backward SDE driven by Lévy processes.
We then present a Malliavin calculus approach which allows us to handle non Markovian systems. (joint work with Bernt Oksendal).

Presentation slides (pdf, 534 KB)

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