Open this publication in new window or tab >>2019 (English)In: Stochastics: An International Journal of Probablitiy and Stochastic Processes, ISSN 1744-2508, E-ISSN 1744-2516, Vol. 91, no 6, p. 873-894Article in journal (Refereed) Published
Abstract [en]
We study optimal control of stochastic Volterra integral equations(SVIE) with jumps by using Hida-Malliavin calculus.
• We give conditions under which there exist unique solutions ofsuch equations.
• Then we prove both a sufficient maximum principle (a verificationtheorem) and a necessary maximum principle via Hida-Malliavincalculus.
• As an application we solve a problem of optimal consumptionfrom a cash flow modelled by an SVIE.
Place, publisher, year, edition, pages
Abingdon-on-Thames: Taylor & Francis, 2019
Keywords
Stochastic maximum principle, stochastic Volterra integral equation (SVIE), backward stochastic Volterra integral equation (BSVIE), Hida-Malliavin calculus, Volterra recursive utility, optimal consumption from an SVIE cash flow
National Category
Other Mathematics
Research subject
Mathematics, Mathematics
Identifiers
urn:nbn:se:lnu:diva-82262 (URN)10.1080/17442508.2018.1557186 (DOI)
2019-04-262019-04-262019-08-09Bibliographically approved