Singular control of stochastic Volterra integral equations

DOI10.1007/s10473-022-0311-9OpenAlexW4224286127MaRDI QIDQ2157866

Samia Yakhlef, Saloua Labed, Nacira Agram, Bernt Øksendal

Publication date: 22 July 2022

Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1909.08338

zbMATH Keywords

stochastic maximum principlesingular controlstochastic Volterra integral equationHida-Malliavin calculusbackward stochastic Volterra integral equation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Stochastic integrals (60H05) Stochastic integral equations (60H20)

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