Infinite Horizon Optimal Control of Forward-Backward Stochastic Volterra Equations with Delay

Abstract

We consider an optimal control problem for infinite horizon systems governed by coupled forward-backward stochastic Volterra integral equations with delay. Using Hida-Malliavin calculus, we prove both sufficient and necessary maximum principles for optimal control of such systems. We establish existence and uniqueness results for a class of infinite horizon backward stochastic Volterra integral equations (BSVIEs).