New approach to optimal control of stochastic Volterra integral equations
Optimization and Control
2018-12-07 v4
Abstract
We study optimal control of stochastic Volterra integral equations (SVIE) with jumps by using Hida-Malliavin calculus. - We give conditions under which there exists unique solutions of such equations. - Then we prove both a sufficient maximum principle (a verification theorem) and a necessary maximum principle via Hida-Malliavin calculus. - As an application we solve a problem of optimal consumption from a cash flow modelled by an SVIE.
Keywords
Cite
@article{arxiv.1709.05463,
title = {New approach to optimal control of stochastic Volterra integral equations},
author = {Nacira Agram and Bernt Øksendal and Samia Yakhlef},
journal= {arXiv preprint arXiv:1709.05463},
year = {2018}
}