| dc.date.accessioned | 2020-01-03T19:32:17Z | |
| dc.date.available | 2020-01-03T19:32:17Z | |
| dc.date.created | 2019-01-18T10:21:35Z | |
| dc.date.issued | 2019 | |
| dc.identifier.citation | Agram, Nacira Øksendal, Bernt Yakhlef, Samia . New approach to optimal control of stochastic Volterra integral equations. Stochastics: An International Journal of Probability and Stochastic Processes. 2019 | |
| dc.identifier.uri | http://hdl.handle.net/10852/71875 | |
| dc.description.abstract | 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 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. | |
| dc.language | EN | |
| dc.title | New approach to optimal control of stochastic Volterra integral equations | |
| dc.type | Journal article | |
| dc.creator.author | Agram, Nacira | |
| dc.creator.author | Øksendal, Bernt | |
| dc.creator.author | Yakhlef, Samia | |
| cristin.unitcode | 185,15,13,0 | |
| cristin.unitname | Matematisk institutt | |
| cristin.ispublished | true | |
| cristin.fulltext | postprint | |
| cristin.fulltext | postprint | |
| cristin.qualitycode | 1 | |
| dc.identifier.cristin | 1659979 | |
| dc.identifier.bibliographiccitation | info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Stochastics: An International Journal of Probability and Stochastic Processes&rft.volume=&rft.spage=&rft.date=2019 | |
| dc.identifier.jtitle | Stochastics: An International Journal of Probability and Stochastic Processes | |
| dc.identifier.doi | https://doi.org/10.1080/17442508.2018.1557186 | |
| dc.identifier.urn | URN:NBN:no-74985 | |
| dc.type.document | Tidsskriftartikkel | |
| dc.source.issn | 1744-2508 | |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/71875/1/%255BAOY%255DVolterraStochastics%2B26.11.2018.pdf | |
| dc.type.version | SubmittedVersion | |
| dc.relation.project | NFR/250768 | |