Optimal control of forward-backward stochastic Volterra equations
Optimization and Control
2017-09-18 v4
Abstract
We study the problem of optimal control of a coupled system of forward-backward stochastic Volterra equations. We use Hida-Malliavin calculus to prove a sufficient and a necessary maximum principle for the optimal control of such systems. Existence and uniqueness of backward stochastic Volterra integral equations are proved. As an application of our methods, we solve a recursive utility optimisation problem in a financial model with memory.
Cite
@article{arxiv.1606.03280,
title = {Optimal control of forward-backward stochastic Volterra equations},
author = {Nacira Agram and Bernt Øksendal and Samia Yakhlef},
journal= {arXiv preprint arXiv:1606.03280},
year = {2017}
}