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• W1532823275 abstract "Solutions of stochastic Volterra (integral) equations are not Markov processes, and therefore, classical methods, such as dynamic programming, cannot be used to study optimal control problems for such equations. However, we show that using Malliavin calculus, it is possible to formulate modified functional types of maximum principle suitable for such systems. This principle also applies to situations where the controller has only partial information available to base her decisions upon. We present both a Mangasarian sufficient condition and a Pontryagin-type maximum principle of this type, and then, we use the results to study some specific examples. In particular, we solve an optimal portfolio problem in a financial market model with memory." @default.
• W1532823275 created "2016-06-24" @default.
• W1532823275 creator A5078265147 @default.
• W1532823275 creator A5083592351 @default.
• W1532823275 date "2015-05-16" @default.
• W1532823275 modified "2023-10-16" @default.
• W1532823275 title "Malliavin Calculus and Optimal Control of Stochastic Volterra Equations" @default.
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• W1532823275 doi "https://doi.org/10.1007/s10957-015-0753-5" @default.
• W1532823275 hasPublicationYear "2015" @default.
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