Infinite horizon stochastic optimal control for Volterra equations with completely monotone kernels
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Publication:2414738
abstract integro-differential equationanalytic semigroupbackward stochastic differential equationselliptic pdesHilbert spacesmild solutions
Hamilton-Jacobi equations (35F21) 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 partial differential equations (49K20) Optimality conditions for problems involving randomness (49K45)
Abstract: The aim of the paper is to study an optimal control problem on infinite horizon for an infinite dimensional integro-differential equation with completely monotone kernelskernels, 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 main tools consist in studying the differentiability of the forward-backward system with infinite horizon corresponding with the reformulated problem and the proof of existence and uniqueness of of mild solutions to the corresponding HJB equation.
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Cited in
(4)- On the maximum principle for optimal control problems of stochastic Volterra integral equations with delay
- Optimal control for stochastic Volterra equations 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
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