Spike Variations for Stochastic Volterra Integral Equations

DOI10.1137/22M1522097zbMATH Open1530.45002arXiv2205.13486MaRDI QIDQ6140992FDOQ6140992

Authors: Tianxiao Wang, Jiongmin Yong 

Publication date: 2 January 2024

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

Abstract: Spike variation technique plays a crucial role in deriving Pontryagin's type maximum principle of optimal controls for differential equations of several types, including ordinary differential equations (ODEs), partial differential equations (PDEs), and stochastic differentia equations (SDEs), when the control domains are not assumed to be convex. This technique also applies to (deterministic forward) Volterra intrgral equations (FVIEs). It is natural to expect that such a technique could be extended to the case of (forward) stochastic Volterra integral equations (FSVIEs). However, by mimicking the case of SDEs, one encounters an essential difficulty of handling an involved quadratic term. To overcome the difficulty, we introduce an auxiliary process for which one can use It^o's formula, and adopt a trick used in linear-quadratic stochastic optimal control problems. Then a suitable representation of the above-mentioned quadratic form is obtained, and the second order adjoint equations are derived. Consequently, the maximum principle of Pontryagin type is established. Some relevant extensions are investigated as well.

Full work available at URL: https://arxiv.org/abs/2205.13486

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zbMATH Keywords

backward stochastic Volterra integral equationsnonconvex control domainsecond-order adjoint equationssingle variation

Mathematics Subject Classification ID

Volterra integral equations (45D05) Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems) (93C30) Random integral equations (45R05) Stochastic integral equations (60H20)

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Cited In (3)

• Stochastic spikes and strong noise limits of stochastic differential equations
• Singular backward stochastic Volterra integral equations in infinite dimensional spaces
• A general maximum principle for optimal control of stochastic differential delay systems

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