dc.contributor.author | Øksendal, Bernt | |
dc.contributor.author | Zhang, Tusheng | |
dc.date.accessioned | 2018-03-23T12:00:02Z | |
dc.date.available | 2018-03-23T12:00:02Z | |
dc.date.created | 2011-01-18T10:18:03Z | |
dc.date.issued | 2010 | |
dc.identifier.citation | International Journal of Stochastic Analysis. 2010, 2010 . | nb_NO |
dc.identifier.issn | 2090-3332 | |
dc.identifier.uri | http://hdl.handle.net/11250/2491910 | |
dc.description.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. | nb_NO |
dc.language.iso | eng | nb_NO |
dc.publisher | Hindawi | nb_NO |
dc.rights | Navngivelse 4.0 Internasjonal | * |
dc.rights.uri | http://creativecommons.org/licenses/by/4.0/deed.no | * |
dc.title | Optimal control with partial information for stochastic Volterra equations | nb_NO |
dc.type | Journal article | nb_NO |
dc.type | Peer reviewed | nb_NO |
dc.description.version | publishedVersion | nb_NO |
dc.subject.nsi | VDP::Mathematics and natural science: 400::Mathematics: 410 | nb_NO |
dc.subject.nsi | VDP::Social science: 200::Economics: 210::Business: 213 | nb_NO |
dc.source.pagenumber | 25 | nb_NO |
dc.source.volume | 2010 | nb_NO |
dc.source.journal | International Journal of Stochastic Analysis | nb_NO |
dc.identifier.doi | 10.1155/2010/329185 | |
dc.identifier.cristin | 526193 | |
cristin.unitcode | 191,0,0,0 | |
cristin.unitname | Norges Handelshøyskole | |
cristin.ispublished | true | |
cristin.fulltext | original | |
cristin.qualitycode | 1 | |