Some Harvesting Problems

Abstract

ABSTRACT. The aim of this thesis is to study and solve optimal control problems for systems driven by both: Brownian motion and Levy processes. The methods of solution used are: Dynamic programming, and Maximum principle where the known Clark-Ocone theorem is applied. The application of Clark-Ocone theorem needs the existence of Malliavin derivative and its extesion in L2 spaces. As an application , the thesis considered an example of harvesting problem in a crowded media as well as searching for optimal portfolio strategies in hedging options in markets driven by both: Brovmian motion and Levy processes.