Feedback Optimal Control for Stochastic Volterra Equations with Completely Monotone Kernels

Fulvia Confortola; Elisa Mastrogiacomo

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arXiv · 1112.3818

Feedback Optimal Control for Stochastic Volterra Equations with Completely Monotone Kernels

Fulvia Confortola·Elisa Mastrogiacomo

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Abstract

In this paper we are concerned with a class of stochastic Volterra integro-differential problems with completely monotone kernels, where we assume that the noise enters the system when we introduce a control. We start by reformulating the state equation into a semilinear evolution equation which can be treated by semigroup methods. The application to optimal control provide other interesting result and require a precise descriprion of the properties of the generated semigroup. The first main result of the paper is the proof of existence and uniqueness of a mild solution for the corresponding Hamilton-Jacobi-Bellman (HJB) equation. The main technical point consists in the differentiability of the BSDE associated with the reformulated equation with respect to its initial datum x.

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BibTeX RIS

Fulvia Confortola, Elisa Mastrogiacomo. 2011-12-16. Feedback Optimal Control for Stochastic Volterra Equations with Completely Monotone Kernels. https://arxiv.org/abs/1112.3818

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