Optimal control of forward-backward stochastic Volterra equations

DOI10.4171/186-1/1zbMath1400.45001arXiv1606.03280OpenAlexW4250290010MaRDI QIDQ4686113

Nacira Agram, Samia Yakhlef, Bernt Øksendal

Publication date: 9 October 2018

Published in: Non-Linear Partial Differential Equations, Mathematical Physics, and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1606.03280

zbMATH Keywords

maximum principlefinancial modelHida-Malliavin calculus

Mathematics Subject Classification ID

Volterra integral equations (45D05)

Related Items (6)

A Hida–Malliavin white noise calculus approach to optimal control ⋮ Singular control of stochastic Volterra integral equations ⋮ New approach to optimal control of stochastic Volterra integral equations ⋮ Mean-field stochastic control with elephant memory in finite and infinite time horizon ⋮ Backward Stochastic Volterra Integro-Differential Equations and Applications in Optimal Control Problems ⋮ A unified approach to well-posedness of type-I backward stochastic Volterra integral equations

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