Work

Maximum principle for delayed Volterra jumps systems using anticipating adjoints

Year: 2026

Type: article

Abstract: We establish a complete stochastic maximum principle for optimal control of stochastic Volterra integral equations with delay, Lévy processes, and partial observation. Anticipated backward stochastic Volterra integral equations characterize the adjoint processes. We rigorously establish existence and uniqueness of solutions. Employing Hida-Malliavin calculus, we derive necessary and sufficient optimality conditions. Applicability is demonstrated through explicit solutions to linear problems with memory and delay effects.

Source: Gulf Journal of Mathematics

DOI: 10.56947/gjom.v22i1.3895

Authors: Nawel Hafiane, Boubakeur Labed, Samia Yakhlef

Institution: University of Biskra

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: diamond

OpenAlex ID: W7125437452

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