Discounted optimal control problems of stochastic Volterra integral equations

Date
2021/07/09 Fri 15:00 - 16:30
Speaker
Yushi Hamaguchi
Affiliation
Osaka University
Abstract

We study infinite horizon discounted control problems of stochastic Volterra integral equations. We establish both necessary and sufficient conditions for optimality by means of the stochastic maximum principle. The adjoint process corresponding to an optimal control is characterized by an infinite horizon backward stochastic Volterra integral equation. Some applications to discounted control problems of fractional stochastic differential equations and stochastic integro-differential equations are also discussed.