Infinite Horizon Optimal Control of Forward-Backward Stochastic Volterra Equations with Delay
Probability
2026-04-02 v1
Abstract
We consider an optimal control problem for infinite horizon systems governed by coupled forward-backward stochastic Volterra integral equations with delay. Using Hida-Malliavin calculus, we prove both sufficient and necessary maximum principles for optimal control of such systems. We establish existence and uniqueness results for a class of infinite horizon backward stochastic Volterra integral equations (BSVIEs).
Keywords
Cite
@article{arxiv.2604.00937,
title = {Infinite Horizon Optimal Control of Forward-Backward Stochastic Volterra Equations with Delay},
author = {Ibtissem Djaber and Hafiane Nawel and Samia Yakhlef},
journal= {arXiv preprint arXiv:2604.00937},
year = {2026}
}