Optimal Portfolio, Partial Information and Malliavin Calculus

In a market driven by Levy processes, we consider an optimal portfolio problem for a trader who has access to some information in general smaller than the one generated by the market events. In this sense we refer to this trader as having partial information.
For this generally incomplete market and within a non-Markovian setting, we give a characterization for a portfolio maximizing the expected utility of the final wealth.
Techniques of Malliavin calculus are used for the analysis.
(This presentation is based on a joint work with Bernt Øksendal).