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arXiv · 1709.05463

New approach to optimal control of stochastic Volterra integral equations

Nacira Agram·Bernt Øksendal·Samia Yakhlef
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Abstract

We study optimal control of stochastic Volterra integral equations (SVIE) with jumps by using Hida-Malliavin calculus. - We give conditions under which there exists unique solutions of such equations. - Then we prove both a sufficient maximum principle (a verification theorem) and a necessary maximum principle via Hida-Malliavin calculus. - As an application we solve a problem of optimal consumption from a cash flow modelled by an SVIE.

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Nacira Agram, Bernt Øksendal, Samia Yakhlef. 2017-09-16. New approach to optimal control of stochastic Volterra integral equations. https://arxiv.org/abs/1709.05463

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