Optimal Control with Partial Information for Stochastic Volterra Equations

Abstract EN

In 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.