3 papers
math.OC2019
Singular optimal control of stochastic Volterra integral equations
Nacira Agram, Saloua Labed, Bernt Øksendal +1
This paper deals with optimal combined singular and regular controls for stochastic Volterra integral equations, where the solution X^{u,ξ}(t)=X(t) is given by X(t) =ϕ(t)+\int_{0}^…
math.OC2017
New approach to optimal control of stochastic Volterra integral equations
Nacira Agram, Bernt Øksendal, Samia Yakhlef
We study optimal control of stochastic Volterra integral equations (SVIE) with jumps by using Hida-Malliavin calculus. - We give conditions under which there exists unique solution…
math.OC2016
Optimal control of forward-backward stochastic Volterra equations
Nacira Agram, Bernt Øksendal, Samia Yakhlef
We study the problem of optimal control of a coupled system of forward-backward stochastic Volterra equations. We use Hida-Malliavin calculus to prove a sufficient and a necessary…