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Benth, F.E., Di Nunno, G., Løkka, A., Øksendal, B. and Proske, F. (2003) Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Lévy Processes. Mathematical Finance, 13, 55-72.
https://doi.org/10.1111/1467-9965.t01-1-00005

has been cited by the following article:

• TITLE: A Mean-Field Stochastic Maximum Principle for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps via Malliavin Calculus

  AUTHORS: Qing Zhou, Yong Ren

  KEYWORDS: Malliavin Calculus, Maximum Principle, Forward-Backward Stochastic Differential Equations, Mean-Field Type, Jump Diffusion, Partial Information

  JOURNAL NAME: Journal of Applied Mathematics and Physics, Vol.6 No.1, January 16, 2018

  ABSTRACT: This paper considers a mean-field type stochastic control problem where the dynamics is governed by a forward and backward stochastic differential equation (SDE) driven by Lévy processes and the information available to the controller is possibly less than the overall information. All the system coefficients and the objective performance functional are allowed to be random, possibly non-Markovian. Malliavin calculus is employed to derive a maximum principle for the optimal control of such a system where the adjoint process is explicitly expressed.