Extended backward stochastic Volterra integral equations and their applications to time-inconsistent stochastic recursive control problems

DOI10.3934/MCRF.2020043MaRDI QIDQ2245641zbMATH OpenOpenAlexFDO

Authors Yushi Hamaguchi

Publication date 15 November 2021

Published in Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2004.14346

zbMATH Keywords

backward stochastic Volterra integral equationopen-loop equilibrium controlextended backward stochastic Volterra integral equationtime-inconsistent stochastic recursive control problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic integral equations (60H20)

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.

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Cited in

(17)

• 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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• On quadratic multidimensional type-I BSVIEs, infinite families of BSDEs and their applications
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