Infinite horizon backward stochastic Volterra integral equations and discounted control problems

DOI10.1051/COCV/2021098MaRDI QIDQ5016158zbMATH OpenOpenAlexFDO

Authors Yushi Hamaguchi

Publication date 13 December 2021

Published in ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2105.02438

zbMATH Keywords

discounted stochastic controlduality principleinfinite horizon backward stochastic Volterra integral equationstochastic Volterra integral equation

Mathematics Subject Classification ID

Singular nonlinear integral equations (45G05) Optimality conditions for problems involving randomness (49K45) Duality theory (optimization) (49N15) Stochastic integral equations (60H20)

Abstract: Infinite horizon backward stochastic Volterra integral equations (BSVIEs for short) are investigated. We prove the existence and uniqueness of the adapted M-solution in a weighted $L^2$-space. Furthermore, we extend some important known results for finite horizon BSVIEs to the infinite horizon setting. We provide a variation of constant formula for a class of infinite horizon linear BSVIEs and prove a duality principle between a linear (forward) stochastic Volterra integral equation (SVIE for short) and an infinite horizon linear BSVIE in a weighted $L^2$-space. As an application, we investigate infinite horizon stochastic control problems for SVIEs with discounted cost functional. We establish both necessary and sufficient conditions for optimality by means of Pontryagin's maximum principle, where the adjoint equation is described as an infinite horizon BSVIE. These results are applied to discounted control problems for fractional stochastic differential equations and stochastic integro-differential equations.

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Cited in

(16)

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