Optimal Control with Partial Information for Stochastic Volterra Equations
نویسندگان
چکیده
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. AMS Subject Classification: Primary 60H15 Secondary 93E20, 35R60.
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