Title

Regularity Of Backward Stochastic Volterra Integral Equations In Hilbert Spaces

Keywords

Pontryagin maximum principle; Regularity of adapted solutions; Stochastic optimal control; Stochastic volterra integral equations

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. © Taylor & Francis Group, LLC.

Publication Date

1-1-2011

Publication Title

Stochastic Analysis and Applications

Volume

29

Issue

1

Number of Pages

146-168

Document Type

Editorial Material

Personal Identifier

scopus

DOI Link

https://doi.org/10.1080/07362994.2011.532046

Socpus ID

78650471548 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/78650471548

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