Optimal control with partial information for stochastic Volterra equations
Journal article, Peer reviewed
Published version
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http://hdl.handle.net/11250/2491910Utgivelsesdato
2010Metadata
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- Articles (FOR) [100]
- Publikasjoner fra CRIStin (NHH) [249]
Sammendrag
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.