Optimal control of forward-backward stochastic Volterra equations
classification
🧮 math.OC
keywords
controlequationsoptimalstochasticvolterraforward-backwardproblemapplication
read the original abstract
We study the problem of optimal control of a coupled system of forward-backward stochastic Volterra equations. We use Hida-Malliavin calculus to prove a sufficient and a necessary maximum principle for the optimal control of such systems. Existence and uniqueness of backward stochastic Volterra integral equations are proved. As an application of our methods, we solve a recursive utility optimisation problem in a financial model with memory.
This paper has not been read by Pith yet.
Forward citations
Cited by 1 Pith paper
-
Backward doubly stochastic Volterra integral equations and applications to optimal control problems
BDSVIEs are defined and proven well-posed via M-solutions; a comparison theorem yields existence results for continuous coefficients, a duality with FDSVIEs is shown, and a maximum principle is derived for optimal con...
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.