Extended backward stochastic Volterra integral equations and their applications to time-inconsistent stochastic recursive control problems
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Publication:2245641
DOI10.3934/MCRF.2020043zbMATH Open1478.93732arXiv2004.14346OpenAlexW3023213734MaRDI QIDQ2245641FDOQ2245641
Publication date: 15 November 2021
Published in: Mathematical Control and Related Fields (Search for Journal in Brave)
Abstract: In this paper, we study extended backward stochastic Volterra integral equations (EBSVIEs, for short). We establish the well-posedness under weaker assumptions than the literature, and prove a new kind of regularity property for the solutions. As an application, we investigate, in the open-loop framework, a time-inconsistent stochastic recursive control problem where the cost functional is defined by the solution to a backward stochastic Volterra integral equation (BSVIE, for short). We show that the corresponding adjoint equations become EBSVIEs, and provide a necessary and sufficient condition for an open-loop equilibrium control via variational methods.
Full work available at URL: https://arxiv.org/abs/2004.14346
backward stochastic Volterra integral equationopen-loop equilibrium controlextended backward stochastic Volterra integral equationtime-inconsistent stochastic recursive control problem
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Cited In (15)
- Linear-Quadratic Optimal Controls for Stochastic Volterra Integral Equations: Causal State Feedback and Path-Dependent Riccati Equations
- Variation of constants formulae for forward and backward stochastic Volterra integral equations
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- Backward stochastic differential equations and backward stochastic Volterra integral equations with anticipating generators
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