Optimal control of forward-backward stochastic Volterra equations

Abstract

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 maximum principle for the optimal control of such systems. Existence and uniqueness of backward stochastic Volterra integral equations are proved. As an application of our methods, we solve a recursive utility optimisation problem in a financial model with memory.