Lifting of Volterra processes: optimal control in UMD Banach spaces
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Publication:6441398
PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15) Dynamic programming in optimal control and differential games (49L20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20) Stochastic models in economics (91B70) Optimal stochastic control (93E20)
Abstract: We study a stochastic control problem for a Volterra-type controlled forward equation with past dependence obtained via convolution with a deterministic kernel. To be able to apply dynamic programming to solve the problem, we lift it to infinite dimensions and we formulate a UMD Banach-valued Markovian problem, which is shown to be equivalent to the original finite-dimensional non-Markovian one. We characterize the optimal control for the infinite dimensional problem and show that this also characterizes the optimal control for the finite dimensional problem.
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