Blar i NHH Brage på tidsskrift "International Journal of Stochastic Analysis"
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Optimal control with partial information for stochastic Volterra equations
(Journal article; Peer reviewed, 2010)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 ... -
Optimal control with partial information for stochastic Volterra equations
(Journal article; Peer reviewed, 2010)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 ...