Optimal control of systems with noisy memory and BSDEs with Malliavin derivatives
Author:
Funder
Norwegian Academy of Science and Letters
Norwegian Research Council
NSF
Publisher
Elsevier BV
Subject
Analysis
Reference15 articles.
1. White noise generalizations of the Clark–Haussmann–Ocone theorem with application to mathematical finance;Aase;Finance Stoch.,2000
2. Malliavin calculus and optimal control of stochastic Volterra equations;Agram;J. Optim. Theory Appl.,2015
3. Lévy Processes and Stochastic Calculus;Applebaum,2009
4. Malliavin Calculus for Lévy Processes with Applications to Finance;Di Nunno,2009
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