Stochastic Maximum Principle for a generalized Volterra Control System

2023/12/21 by Li, Yuhang, Han, Yuecai
#FOS: Mathematics #Optimization and Control (math.OC)

paper · doi:10.48550/arxiv.2312.13516

Abstract

In this paper, we consider the stochastic optimal control problem for a generalized Volterra control system. The corresponding state process is a kind of a generalized stochastic Volterra integral differential equations. We prove the existence and uniqueness of the solution of this type of equations. We obtain the stochastic maximum principle of the optimal control system by introducing a kind of generalized anticipated backward stochastic differential equations. We prove the existence and uniqueness of the solution of this adjoint equation, which may be singular at some points. As an application, the linear quadratic control problem is investigated to illustrate the main results.

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