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Optimal Control with Partial Information for Stochastic Volterra Equations

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  • Bernt øksendal
  • Tusheng Zhang

Abstract

In the first part of the paper we obtain existence and characterizations of an optimal control for a linear quadratic control problem of linear stochastic Volterra equations. In the second part, using the Malliavin calculus approach, we deduce a general maximum principle for optimal control of general stochastic Volterra equations. The result is applied to solve some stochastic control problem for some stochastic delay equations.

Suggested Citation

  • Bernt øksendal & Tusheng Zhang, 2010. "Optimal Control with Partial Information for Stochastic Volterra Equations," International Journal of Stochastic Analysis, Hindawi, vol. 2010, pages 1-25, June.
    • Handle: RePEc:hin:jnijsa:329185
    DOI: 10.1155/2010/329185
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    Cited by:

    1. Fred Espen Benth & Asma Khedher & Michèle Vanmaele, 2020. "Pricing of Commodity Derivatives on Processes with Memory," Risks, MDPI, vol. 8(1), pages 1-32, January.

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