Regularity of Backward Stochastic Volterra Integral Equations in Hilbert Spaces

    Authors

    V. V. Anh; W. Grecksch;J. M. Yong

    Comments

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    Abbreviated Journal Title

    Stoch. Anal. Appl.

    Keywords

    Pontryagin maximum principle; Regularity of adapted solutions; Stochastic optimal control; Stochastic Volterra integral equations; COHERENT; UTILITY; DRIVEN; RISK; Mathematics, Applied; Statistics & Probability

    Abstract

    This article investigates backward stochastic Volterra integral equations in Hilbert spaces. The existence and uniqueness of their adapted solutions is reviewed. We establish the regularity of the adapted solutions to such equations by means of Malliavin calculus. For an application, we study an optimal control problem for a stochastic Volterra integral equation driven by a Hilbert space-valued fractional Brownian motion. A Pontryagin-type maximum principle is formulated for the problem and an example is presented.

    Journal Title

    Stochastic Analysis and Applications

    Volume

    29

    Issue/Number

    1

    Publication Date

    1-1-2011

    Document Type

    Article

    Language

    English

    First Page

    146

    Last Page

    168

    WOS Identifier

    WOS:000286818300008

    ISSN

    0736-2994

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