Optimal control problems of forward-backward stochastic Volterra integral equations with closed control regions

DOI10.1137/16M1059801MaRDI QIDQ5348481zbMATH OpenOpenAlexFDO

Authors HaiSen Zhang, Tianxiao Wang

Publication date 18 August 2017

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1602.05661

zbMATH Keywords

duality principlefirst order necessary optimality conditionsforward-backward stochastic Volterra integral equationslinear stochastic integral equations with nonadapted solutionsset-value analysis

Mathematics Subject Classification ID

Set-valued and variational analysis (49J53) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20) Stochastic integral equations (60H20)

Abstract: Optimal control problems of forward-backward stochastic Volterra integral equations (FBSVIEs, in short) with closed control regions are formulated and studied. Instead of using spike variation method as one may imagine, here we turn to treat the non-convexity of the control regions by borrowing some tools in set-valued analysis and adapting them into our stochastic control systems. A duality principle between linear backward stochastic Volterra integral equations and linear stochastic Fredholm-Volterra integral equations with conditional expectation are derived, which extends and improves the corresponding results in [25], [30]. Some first order necessary optimality conditions for optimal controls of FBSVIEs are established. In contrast with existed common routines to treat the non-convexity of stochastic control problems, here only one adjoint system and one-order differentiability requirements of the coefficients are needed.

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Cited in

(32)

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• Backward stochastic differential equations and backward stochastic Volterra integral equations with anticipating generators
• Backward doubly stochastic Volterra integral equations and their applications
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