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Optimal control with partial information for stochastic Volterra equations

Øksendal, Bernt; Zhang, Tusheng
Journal article, Peer reviewed
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URI
http://hdl.handle.net/11250/163554
Date
2010
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  • Articles (FOR) [100]
Original version
10.1155/2010/329185
Abstract
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.
Publisher
Hindawi Publishing Corporation
Journal
International Journal of Stochastic Analysis

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