A Hida-Malliavin white noise calculus approach to optimal control

DOI10.1142/S0219025718500145MaRDI QIDQ4554053zbMATH OpenOpenAlexFDO

Authors N. Agram, B. Øksendal

Publication date 7 November 2018

Published in Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1704.08899

zbMATH Keywords

stochastic maximum principlebackward stochastic differential equation (BSDE)white noise theoryHida-Malliavin calculusspike perturbation

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic integrals (60H05) Stochastic models in economics (91B70) Financial applications of other theories (91G80) Optimal stochastic control (93E20) Stochastic integral equations (60H20)

Abstract: The classical maximum principle for optimal stochastic control states that if a control $hatu$ is optimal, then the corresponding Hamiltonian has a maximum at $u=hatu$. The first proofs for this result assumed that the control did not enter the diffusion coefficient. Moreover, it was assumed that there were no jumps in the system. Subsequently it was discovered by Shige Peng (still assuming no jumps) that one could also allow the diffusion coefficient to depend on the control, provided that the corresponding adjoint backward stochastic differential equation (BSDE) for the first order derivative was extended to include an extra BSDE for the second order derivatives. In this paper we present an alternative approach based on Hida-Malliavin calculus and white noise theory. This enables us to handle the general case with jumps, allowing both the diffusion coefficient and the jump coefficient to depend on the control, and we do not need the extra BSDE with second order derivatives. The result is illustrated by an example of a constrained mean-variance portfolio problem.

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Cited in

(7)

• Optimal control of systems with noisy memory and BSDEs with Malliavin derivatives
• Space-Time Stochastic Calculus and White Noise
• Malliavin calculus applied to optimal control of stochastic partial differential equations with jumps
• Maximum principle for delayed stochastic mean-field control problem with state constraint
• On stochastic control for time changed Lévy dynamics
• A white noise approach to optimal insider control of systems with delay
• Characterization of stochastic equilibrium controls by the Malliavin calculus

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