Title

Regularity of Backward Stochastic Volterra Integral Equations in Hilbert Spaces

Authors

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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