Regularity of Backward Stochastic Volterra Integral Equations in Hilbert Spaces

Citation data:

Stochastic Analysis and Applications, ISSN: 0736-2994, Vol: 29, Issue: 1, Page: 146-168

Publication Year:
2010
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Repository URL:
http://stars.library.ucf.edu/facultybib2010/1065
DOI:
10.1080/07362994.2011.532046
Author(s):
Vo V. Anh; Wilfried Grecksch; Jiongmin Yong
Publisher(s):
Informa UK Limited
Tags:
Mathematics; Decision Sciences; Pontryagin maximum principle; Regularity of adapted solutions; Stochastic optimal control; Stochastic Volterra integral equations; COHERENT; UTILITY; DRIVEN; RISK; Mathematics; Applied; Statistics & Probability
article description
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.