Optimal control with partial information for stochastic Volterra equations
Journal article, Peer reviewed
Permanent lenke
http://hdl.handle.net/11250/163554Utgivelsesdato
2010Metadata
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- Articles (FOR) [100]
Originalversjon
10.1155/2010/329185Sammendrag
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.