Add to ORKGIn 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. The result is applied to solve some stochastic control problem for some stochastic delay equations
We study the problem of optimal control of a jump diffusion, i.e. a process which is the solution of...
We consider the problem of stochastic control under power constraints. Problems such as linear quadr...
In this paper, the delayed doubly stochastic linear quadratic optimal control problem is discussed. ...
In the first part of the paper we obtain existence and characterizations of an optimal control for a...
Solutions of stochastic Volterra (integral) equations are not Markov processes, and therefore, class...
This paper is concerned with linear quadratic control problems of stochastic differential equations ...
A linear quadratic optimal control problem is considered for a stochastic Volterra integral equation...
This book showcases a subclass of hereditary systems, that is, systems with behaviour depending not ...
AbstractMany processes in automatic regulation, physics, etc. can be modelled by stochastic differen...
We prove a sufficient maximum principle for the optimal control of systems described by a quasilinea...
In this paper, we consider optimal control problems derived by stochastic systems with delay, where ...
We study optimal control of stochastic Volterra integral equations (SVIE) with jumps by using Hida-M...
AbstractThe problems of stability and optimal control for stochastic difference equations are receiv...
Abstract This paper is concerned with near-optimality for stochastic control problems of linear dela...
This paper is devoted to the analysis of an optimal control problem for stochastic integro-different...
We study the problem of optimal control of a jump diffusion, i.e. a process which is the solution of...
We consider the problem of stochastic control under power constraints. Problems such as linear quadr...
In this paper, the delayed doubly stochastic linear quadratic optimal control problem is discussed. ...
In the first part of the paper we obtain existence and characterizations of an optimal control for a...
Solutions of stochastic Volterra (integral) equations are not Markov processes, and therefore, class...
This paper is concerned with linear quadratic control problems of stochastic differential equations ...
A linear quadratic optimal control problem is considered for a stochastic Volterra integral equation...
This book showcases a subclass of hereditary systems, that is, systems with behaviour depending not ...
AbstractMany processes in automatic regulation, physics, etc. can be modelled by stochastic differen...
We prove a sufficient maximum principle for the optimal control of systems described by a quasilinea...
In this paper, we consider optimal control problems derived by stochastic systems with delay, where ...
We study optimal control of stochastic Volterra integral equations (SVIE) with jumps by using Hida-M...
AbstractThe problems of stability and optimal control for stochastic difference equations are receiv...
Abstract This paper is concerned with near-optimality for stochastic control problems of linear dela...
This paper is devoted to the analysis of an optimal control problem for stochastic integro-different...
We study the problem of optimal control of a jump diffusion, i.e. a process which is the solution of...
We consider the problem of stochastic control under power constraints. Problems such as linear quadr...
In this paper, the delayed doubly stochastic linear quadratic optimal control problem is discussed. ...