Backward stochastic Volterra integro-differential equations and applications in optimal control problems
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Cites work
- A linear quadratic optimal control problem for stochastic Volterra integral equations
- A martingale approach for fractional Brownian motions and related path dependent PDEs
- A unified approach to well-posedness of type-I backward stochastic Volterra integral equations
- Adapted solution of a backward semilinear stochastic evolution equation
- Adapted solution of a backward stochastic nonlinear Volterra integral equation
- Anticipated backward stochastic differential equations
- Backward stochastic Volterra integral equations -- representation of adapted solutions
- Backward stochastic Volterra integral equations and some related problems
- Comparison theorems for some backward stochastic Volterra integral equations
- Equilibrium controls in time inconsistent stochastic linear quadratic problems
- Evolutionary Integral Equations and Applications
- Extended backward stochastic Volterra integral equations and their applications to time-inconsistent stochastic recursive control problems
- scientific article; zbMATH DE number 3140813 (Why is no real title available?)
- scientific article; zbMATH DE number 3690402 (Why is no real title available?)
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- scientific article; zbMATH DE number 194918 (Why is no real title available?)
- Linear quadratic control problems of stochastic Volterra integral equations
- Malliavin calculus and optimal control of stochastic Volterra equations
- Mean-field backward stochastic Volterra integral equations
- Necessary conditions of Pontraygin's type for general controlled stochastic Volterra integral equations
- New approach to optimal control of stochastic Volterra integral equations
- NON-LIPSCHITZ BACKWARD STOCHASTIC VOLTERRA TYPE EQUATIONS WITH JUMPS
- Optimal control for stochastic Volterra equations with completely monotone kernels
- Optimal control of forward-backward stochastic Volterra equations
- Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
- Optimal control of systems with noisy memory and BSDEs with Malliavin derivatives
- Optimal control problems of forward-backward stochastic Volterra integral equations with closed control regions
- Optimal dynamic advertising policies for hereditary processes
- Path dependent Feynman-Kac formula for forward backward stochastic Volterra integral equations
- SOLVABILITY OF GENERAL BACKWARD STOCHASTIC VOLTERRA INTEGRAL EQUATIONS
- Stability of stochastic integro differiential equations
- The Quadratic Regulator Problem and the Riccati Equation for a Process Governed by a Linear Volterra Integrodifferential Equations
- The stochastic goodwill problem
- Time-inconsistent optimal control problems and related issues
- Time-inconsistent optimal control problems and the equilibrium HJB equation
- Time-inconsistent recursive stochastic optimal control problems
- Time-inconsistent stochastic linear-quadratic control
- Time-inconsistent stochastic optimal control problems and backward stochastic Volterra integral equations
- Well-posedness and regularity of backward stochastic Volterra integral equations
Cited in
(10)- A variational formula for controlled backward stochastic partial differential equations and some applications
- Optimal control problems of forward-backward stochastic Volterra integral equations
- Optimal control of forward-backward stochastic Volterra equations
- On quadratic multidimensional type-I BSVIEs, infinite families of BSDEs and their applications
- Stochastic maximum principle for moving average control system
- Singular backward stochastic Volterra integral equations in infinite dimensional spaces
- Time-inconsistent contract theory
- Stochastic maximum principle for a generalized Volterra control system
- Exponential stability of stochastic integro-differential equations with time-varying delays and Lévy noise
- On backward stochastic evolution equations in Hilbert spaces and optimal control
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