Optimal control with partial information for stochastic Volterra equations (Q980544): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
Revision as of 02:48, 5 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Optimal control with partial information for stochastic Volterra equations |
scientific article |
Statements
Optimal control with partial information for stochastic Volterra equations (English)
0 references
29 June 2010
0 references
Summary: 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.
0 references
existence and characterizations of an optimal control
0 references
linear stochastic Volterra equations
0 references
general maximum principle
0 references