Malliavin calculus and optimal control of stochastic Volterra equations

DOI10.1007/s10957-015-0753-5zbMath1335.60121arXiv1406.0325OpenAlexW1532823275MaRDI QIDQ262021

Nacira Agram, Bernt Øksendal

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

zbMATH Keywords

maximum principlestochastic optimal controlMalliavin calculuspartial informationstochastic Volterra integral equations

Mathematics Subject Classification ID

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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