Optimal Control with Partial Information for Stochastic Volterra Equations
2010 ◽
Vol 2010
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pp. 1-25
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Keyword(s):
In the first part of the paper we obtain existence and characterizations of an optimal control for a linear quadratic control problem of linear stochastic Volterra equations. In the second part, using the Malliavin calculus approach, we deduce a general maximum principle for optimal control of general stochastic Volterra equations. The result is applied to solve some stochastic control problem for some stochastic delay equations.
2013 ◽
Vol 29
(2)
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pp. 303-314
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2007 ◽
Vol 8
(2)
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pp. 261-277
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2016 ◽
Vol 4
(2)
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1994 ◽
Vol 82
(2)
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pp. 323-341
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