On the maximum principle for optimal control problems of stochastic Volterra integral equations with delay
DOI10.1007/s00245-022-09958-wOpenAlexW4327533901MaRDI QIDQ2694470
Publication date: 3 April 2023
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2109.06092
maximum principlesanticipated backward stochastic Volterra integral equationsfractional stochastic delay differential equationsGaussian state-feedback representation formulastochastic delay Volterra integral equations
Optimal stochastic control (93E20) Stochastic functional-differential equations (34K50) Stochastic integral equations (60H20) Functional-differential equations with fractional derivatives (34K37)
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