Malliavin calculus and optimal control of stochastic Volterra equations
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Publication:262021
DOI10.1007/s10957-015-0753-5zbMath1335.60121arXiv1406.0325OpenAlexW1532823275MaRDI QIDQ262021
Publication date: 29 March 2016
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1406.0325
maximum principlestochastic optimal controlMalliavin calculuspartial informationstochastic Volterra integral equations
Optimal stochastic control (93E20) Stochastic calculus of variations and the Malliavin calculus (60H07) Optimality conditions for problems involving randomness (49K45) Stochastic integral equations (60H20)
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