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New approach to optimal control of stochastic Volterra integral equations
- 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.
- Subjects :
- Mathematics - Optimization and Control
60H05, 60H20, 60J75, 93E20, 91G80, 91B70
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.1709.05463
- Document Type :
- Working Paper