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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 91, 2019 - Issue 6
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Articles

New approach to optimal control of stochastic Volterra integral equations

Nacira AgramDepartment of Mathematics, University of Oslo, Oslo, Norway;University Mohamed Khider of Biskra, Biskra, AlgeriaView further author information
,
Bernt ØksendalDepartment of Mathematics, University of Oslo, Oslo, NorwayCorrespondence[email protected]
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&
Samia YakhlefUniversity Mohamed Khider of Biskra, Biskra, AlgeriaView further author information
Pages 873-894 | Received 03 Nov 2017, Accepted 05 Dec 2018, Published online: 13 Dec 2018

Citations (10)

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Read on this site (2)

Fred Espen Benth, Nils Detering & Paul Krühner. (2022) Stochastic Volterra integral equations and a class of first-order stochastic partial differential equations. Stochastics 94:7, pages 1054-1076.
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Nacira Agram. (2019) Dynamic risk measure for BSVIE with jumps and semimartingale issues. Stochastic Analysis and Applications 37:3, pages 361-376.
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Articles from other publishers (8)

Giulia di Nunno & Michele Giordano. (2023) Stochastic Volterra equations with time-changed Lévy noise and maximum principles. Annals of Operations Research.
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Giulia di Nunno. (2022) On stochastic control for time changed Lévy dynamics. SeMA Journal 79:3, pages 529-547.
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Tianxiao Wang. (2022) Backward Stochastic Volterra Integro-Differential Equations and Applications in Optimal Control Problems. SIAM Journal on Control and Optimization 60:4, pages 2393-2419.
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Nacira Agram, Saloua Labed, Bernt Øksendal & Samia Yakhlef. (2022) Singular Control of Stochastic Volterra Integral Equations. Acta Mathematica Scientia 42:3, pages 1003-1017.
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Peixue Wu, Zhiwei Yang, Hong Wang & Renming Song. (2021) Time fractional stochastic differential equations driven by pure jump Lévy noise. Journal of Mathematical Analysis and Applications 504:2, pages 125412.
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Camilo Hernández & Dylan Possamaï. (2021) A unified approach to well-posedness of type-I backward stochastic Volterra integral equations. Electronic Journal of Probability 26:none.
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Anas Dheyab Khalaf, Mahmoud Abouagwa, Almushaira Mustafa & Xiangjun Wang. (2021) Stochastic Volterra integral equations with jumps and the strong superconvergence of the Euler–Maruyama approximation. Journal of Computational and Applied Mathematics 382, pages 113071.
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Yufeng Shi, Jiaqiang Wen & Jie Xiong. (2020) Backward doubly stochastic Volterra integral equations and their applications. Journal of Differential Equations 269:9, pages 6492-6528.
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