Infinite horizon stochastic optimal control for Volterra equations with completely monotone kernels

DOI10.1016/j.jmaa.2018.10.066zbMath1481.49025arXiv1401.5484OpenAlexW2963380399WikidataQ128981193 ScholiaQ128981193MaRDI QIDQ2414738

Elisa Mastrogiacomo

Publication date: 17 May 2019

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1401.5484

zbMATH Keywords

Hilbert spacesbackward stochastic differential equationsmild solutionsanalytic semigroupabstract integro-differential equationelliptic pdes

Mathematics Subject Classification ID

Optimality conditions for problems involving partial differential equations (49K20) Integro-partial differential equations (45K05) Hilbert and pre-Hilbert spaces: geometry and topology (including spaces with semidefinite inner product) (46C05) Optimality conditions for problems involving randomness (49K45) Hamilton-Jacobi equations (35F21)

Related Items

On the maximum principle for optimal control problems of stochastic Volterra integral equations with delay

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Volterra equations in Banach spaces with completely monotone kernels
• An analytic approach to stochastic Volterra equations with completely monotone kernels
• Feedback optimal control for stochastic Volterra equations with completely monotone kernels
• Quadratic BSDEs with convex generators and unbounded terminal conditions
• Exponential stabilization of Volterra integral equations with singular kernels
• Backwards SDE with random terminal time and applications to semilinear elliptic PDE
• Logistic map with memory from economic model
• Solution for a fractional diffusion-wave equation defined in a bounded domain
• Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control
• Infinite horizon backward stochastic differential equations and elliptic equations in Hilbert spaces.
• Stationary backward stochastic differential equations and associated partial differential equations
• BSDE with quadratic growth and unbounded terminal value
• Spatial dynamics and convergence: the spatial AK model
• BSDE on an infinite horizon and elliptic PDEs in infinite dimension
• Differential equation s in abstract spaces
• Optimal Control for Stochastic Volterra Equations with Completely Monotone Kernels
• One-Parameter Semigroups for Linear Evolution Equations
• Elasticity for economic processes with memory: fractional differential calculus approach
• Backward stochastic variational inequalities
• BSDE<scp>s</scp> with a random terminal time driven by a monotone generator and their links with PDE<scp>s</scp>
• Analytic semigroups and optimal regularity in parabolic problems
• Stochastic Equations in Infinite Dimensions