Optimal control with partial information for stochastic Volterra equations (Q980544)
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scientific article; zbMATH DE number 5728459
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| English | Optimal control with partial information for stochastic Volterra equations |
scientific article; zbMATH DE number 5728459 |
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Optimal control with partial information for stochastic Volterra equations (English)
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29 June 2010
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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.
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existence and characterizations of an optimal control
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linear stochastic Volterra equations
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general maximum principle
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0.8823935389518738
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0.8776768445968628
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0.8705460429191589
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0.8691600561141968
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