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New approach to optimal control of stochastic Volterra integral equations

Authors :
Agram, Nacira
Øksendal, Bernt
Yakhlef, Samia
Publication Year :
2017

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.

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.1709.05463
Document Type :
Working Paper