Optimal control with partial information for stochastic Volterra equations
Journal article, Peer reviewed
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Original versionInternational Journal of Stochastic Analysis. 2010, 2010 . 10.1155/2010/329185
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.