Infinite horizon backward stochastic Volterra integral equations and discounted control problems

DOI10.1051/cocv/2021098zbMath1490.60197arXiv2105.02438OpenAlexW3206938786MaRDI QIDQ5016158

Yushi Hamaguchi

Publication date: 13 December 2021

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2105.02438

zbMATH Keywords

duality principlestochastic Volterra integral equationdiscounted stochastic controlinfinite horizon backward stochastic Volterra integral equation

Mathematics Subject Classification ID

Duality theory (optimization) (49N15) Optimality conditions for problems involving randomness (49K45) Singular nonlinear integral equations (45G05) Stochastic integral equations (60H20)

Related Items (5)

Anticipated backward stochastic Volterra integral equations with jumps and applications to dynamic risk measures ⋮ Linear-Quadratic Optimal Controls for Stochastic Volterra Integral Equations: Causal State Feedback and Path-Dependent Riccati Equations ⋮ On the maximum principle for optimal control problems of stochastic Volterra integral equations with delay ⋮ Backward stochastic differential equations and backward stochastic Volterra integral equations with anticipating generators ⋮ Variation of constants formulae for forward and backward stochastic Volterra integral equations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Malliavin calculus and optimal control of stochastic Volterra equations
• Asymptotic behavior of stochastic lattice systems with a Caputo fractional time derivative
• Mean-field backward stochastic Volterra integral equations
• Maximum principle for stochastic recursive optimal control problems involving impulse controls
• Sufficient stochastic maximum principle for discounted control problem
• Approximate controllability of nonlinear deterministic and stochastic systems with unbounded delay
• Existence results for neutral integro-differential equations with unbounded delay
• Infinite horizon BSDEs in infinite dimensions with continuous driver and applications
• Well-posedness and regularity of backward stochastic Volterra integral equations
• On solutions of a class of infinite horizon FBSDEs
• Asymptotically periodic solutions to Volterra integral equations in epidemic models
• Forward-backward stochastic differential equations and their applications
• Infinite horizon forward-backward stochastic differential equations
• Linear Volterra backward stochastic integral equations
• Infinite horizon backward stochastic differential equations and elliptic equations in Hilbert spaces.
• \(p\)th mean integrability and almost sure asymptotic stability of solutions of Itô-Volterra equations
• Comparison theorems for some backward stochastic Volterra integral equations
• The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time
• Recursive utility processes, dynamic risk measures and quadratic backward stochastic Volterra integral equations
• Linear-quadratic control for a class of stochastic Volterra equations: solvability and approximation
• Extended backward stochastic Volterra integral equations and their applications to time-inconsistent stochastic recursive control problems
• Optimal control problems of forward-backward stochastic Volterra integral equations
• Backward stochastic Volterra integral equations and some related problems
• Mean square stability of stochastic Volterra integro-differential equations
• Necessary stochastic maximum principle for dissipative systems on infinite time horizon
• Continuous-time dynamic risk measures by backward stochastic Volterra integral equations
• Adapted solution of a backward stochastic nonlinear Volterra integral equation
• Volatility is rough
• DIFFERENTIABILITY OF BSVIEs AND DYNAMIC CAPITAL ALLOCATIONS
• Time-inconsistent stochastic optimal control problems and backward stochastic volterra integral equations
• Necessary conditions of Pontraygin’s type for general controlled stochastic Volterra integral equations
• Controlled Singular Volterra Integral Equations and Pontryagin Maximum Principle
• Backward Stochastic Differential Equations
• Optimal Control Problems of Forward-Backward Stochastic Volterra Integral Equations with Closed Control Regions
• Linear quadratic control problems of stochastic Volterra integral equations
• Dynamic risk measure for BSVIE with jumps and semimartingale issues

This page was built for publication: Infinite horizon backward stochastic Volterra integral equations and discounted control problems