Discounted optimal control problems of stochastic Volterra integral equations

開催日時
2021/07/09 金 15:00 - 16:30
講演者
濱口雄史
講演者所属
大阪大学
概要

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.