Malliavin calculus and optimal control of stochastic Volterra equations
  Solutions of stochastic Volterra (integral) equations are not Markov processes, and therefore classical methods, like dynamic programming, cannot be used to study optimal control problems for such equations. However, we show that by using {\em Malliavin calculus} it is possible to formulate a modified functional type of {\em maximum principle} suitable for such systems. This principle also applies to situations where the controller has only partial information available to base her decisions upon. We present both a sufficient and a necessary maximum principle of this type, and then we use the results to study some specific examples. In particular, we solve an optimal portfolio problem in a financial market model with memory. 
Nacira Agram, Bernt {\O}ksendal
math.OC math.PR