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标题：Mean-field stochastic Volterra optimal singular control with Poisson jumps ∗
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作者：R. Deepa ; P. Muthukumar
期刊名称：IFAC PapersOnLine
印刷版ISSN：2405-8963
出版年度：2016
卷号：49
期号：1
页码：230-235
DOI：10.1016/j.ifacol.2016.03.058
语种：English
出版社：Elsevier
摘要：AbstractThis paper considers an infinite horizon mean-field type of stochastic Volterra singular control problem. The dynamical system is governed by a Itô-Lévy processes and a standard one dimensional independent Brownian motion. Stochastic Volterra controlled system is difficult to manipulate by standard methods such as dynamic programming and classical maximum principle, because the presence of memory terms in the dynamics of the system. In this study, Malliavin calculus is a useful tool to overcome these difficulties. Necessary and sufficient condition for the aforementioned system is established by using Malliavin calculus, convex perturbation technique and transversality condition. Finally an example is given to show that the application of the theoretical study.
关键词：KeywordsMalliavin calculusMean-field theoryOptimal controlSingular controlStochastic systemVolterra equation