Optimal control with partial information for stochastic Volterra equations

DOI10.1155/2010/329185zbMath1214.49033OpenAlexW2092232294WikidataQ58651963 ScholiaQ58651963MaRDI QIDQ980544

Bernt Øksendal, Tu-Sheng Zhang

Publication date: 29 June 2010

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/223651

zbMATH Keywords

existence and characterizations of an optimal controlgeneral maximum principlelinear stochastic Volterra equations

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Methods involving semicontinuity and convergence; relaxation (49J45) Optimality conditions for problems involving randomness (49K45)

Related Items (7)

Optimal control for stochastic Volterra equations with multiplicative Lévy noise ⋮ Optimal stopping of stochastic differential equations with delay driven by Lévy noise ⋮ Relation of a new interpretation of stochastic differential equations to Itô process ⋮ A stochastic control problem with delay arising in a pension fund model ⋮ Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations ⋮ Malliavin calculus and optimal control of stochastic Volterra equations ⋮ American Options in an Illiquid Market: Nonlinear Complementary Method

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• Partial Information Linear Quadratic Control for Jump Diffusions
• MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
• On Feedback Control of Linear Stochastic Systems

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