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Pré-Publication, Document De Travail Année : 2022

Existence of optimal controls for stochastic Volterra equations

Résumé

We provide sufficient conditions that guarantee the existence of relaxed optimal controls in the weak formulation of control problems for stochastic Volterra equations (SVEs). Our study can be applied to rough processes which arise when the kernel appearing in the controlled SVE is singular at zero. The proof of existence of relaxed optimal policies relies on the interaction between integrability hypotheses on the kernel, growth conditions on the running cost functional and on the coefficients of the controlled SVEs, and certain compactness properties of the class of Young measures on Suslin metrizable control sets. Under classical convexity assumptions, we also deduce the existence of optimal strict controls.
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Dates et versions

hal-03720342 , version 1 (11-07-2022)

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  • HAL Id : hal-03720342 , version 1

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Andrés Cárdenas, Sergio Pulido, Rafael Serrano. Existence of optimal controls for stochastic Volterra equations. 2022. ⟨hal-03720342⟩
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