June  2015, 5(2): 191-235. doi: 10.3934/mcrf.2015.5.191

Feedback optimal control for stochastic Volterra equations with completely monotone kernels

1. 

Dipartimento di Matematica, Politecnico di Milano, Piazza Leonardo da Vinci, 32 - 20133 Milano

2. 

Dipartimento di statistica e metodi quantitativi, Universitá degli studi di Milano Bicocca, Piazza dell'Ateneo Nuovo, 1 - 20126, Milano

Received  September 2013 Revised  August 2014 Published  April 2015

In this paper we are concerned with a class of stochastic Volterra integro-differential problems with completely monotone kernels, where we assume that the noise enters the system when we introduce a control. We start by reformulating the state equation into a semilinear evolution equation which can be treated by semigroup methods. The application to optimal control provides other interesting results and requires a precise description of the properties of the generated semigroup.
    The first main result of the paper is the proof of existence and uniqueness of a mild solution for the corresponding Hamilton-Jacobi-Bellman (HJB) equation. The main technical point consists in the differentiability of the BSDE associated with the reformulated equation with respect to its initial datum $x$.
Citation: Fulvia Confortola, Elisa Mastrogiacomo. Feedback optimal control for stochastic Volterra equations with completely monotone kernels. Mathematical Control & Related Fields, 2015, 5 (2) : 191-235. doi: 10.3934/mcrf.2015.5.191
References:
[1]

O. P. Agrawal, Solution for a fractional diffusion-wave equation defined in a bounded domain,, Nonlinear Dynamics, 29 (2002), 145. doi: 10.1023/A:1016539022492.

[2]

S. A. Belbas, A new method for optimal control of Volterra integral equations,, Appl. Math. Comput., 189 (2007), 1902. doi: 10.1016/j.amc.2006.12.077.

[3]

S. Bonaccorsi, Some Applications in Malliavin Calculus,, Ph.D thesis, (1998).

[4]

S. Bonaccorsi and G. Desch, Volterra equations in Banach spaces with completely monotone kernels,, NoDEA Nonlinear Differential Equations Appl., 20 (2013), 557. doi: 10.1007/s00030-012-0167-0.

[5]

S. Bonaccorsi and E. Mastrogiacomo, An analytic approach to stochastic Volterra equations with completely monotone kernels,, J. Evol. Equ., 9 (2009), 315. doi: 10.1007/s00028-009-0010-1.

[6]

S. Bonaccorsi, F. Confortola and E. Mastrogiacomo, Optimal control for stochastic Volterra equations with completely monotone kernels,, SIAM J. Control Optim., 50 (2012), 748. doi: 10.1137/100782875.

[7]

P. Briand and F. Confortola, SDEs with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces,, Stochastic Process. Appl., 118 (2008), 818. doi: 10.1016/j.spa.2007.06.006.

[8]

F. Confortola and E. Mastrogiacomo, Optimal control for stochastic heat equation with memory,, Evolution Equations and Control Theory, 3 (2014), 35. doi: 10.3934/eect.2014.3.35.

[9]

G. Da Prato and J. Zabczyk, Evolution Equations with White-Noise Boundary Conditions,, Cambridge Univ. Press, (1993). doi: 10.1080/17442509308833817.

[10]

G. Da Prato and J. Zabczyk, Stochastic Equations in Infinite Dimensions,, Cambridge Univ. Press, (1992). doi: 10.1017/CBO9780511666223.

[11]

A. Debussche, M. Fuhrman and G. Tessitore, Optimal control of a stochastic heat equation with boundary-noise and boundary-control,, ESAIM Control Optim. Calc. Var., 13 (2007), 178. doi: 10.1051/cocv:2007001.

[12]

W. Desch and R. K. Miller, Exponential stabilization of Volterra integral equations with singular kernels,, J. Integral Equations Appl., 1 (1988), 397. doi: 10.1216/JIE-1988-1-3-397.

[13]

K. J. Engel and R. Nagel, One-parameter Semigroups for Linear Evolution Equations,, Graduate Texts in Math., (2000).

[14]

W. H. Fleming and H. M. Soner, Controlled Markov Processes and Viscosity Solutions,, Springer-Verlag, (1993).

[15]

M. Fuhrman and G. Tessitore, Nonlinear Kolmogorov equations in infinite dimensional spaces: The backward stochastic differential equations approach and applications to optimal control,, Ann. Probab., 30 (2002), 1397. doi: 10.1214/aop/1029867132.

[16]

G. Gripenberg, S. O. Londen and O. Staffans, Volterra Integral and Functional Equations,, Cambridge University Press, (1990). doi: 10.1017/CBO9780511662805.

[17]

A. Grorud and E. Pardoux, Intégrales Hilbertiennes anticipantes par rapport à un processus de Wienner cylindrique et calcul stochastique associé,, Appl. Math. Optim., 25 (1992), 31. doi: 10.1007/BF01184155.

[18]

K. W. Homan, An Analytic Semigroup Approach to Convolution Volterra Equations,, Ph.D. Thesis, (2003).

[19]

G. E. Ladas and V. Lakshmikantham, Differential Equations in Abstract Spaces,, Mathematics in Science and Engineering, (1972).

[20]

A. Lunardi, Analytic Semigroups and Optimal Regularity in Parabolic Problems,, 2013 reprint of the 1995 original, (1995).

[21]

F. Masiero, A stochastic optimal control problem for the heat equation on the halfline with dirichlet boundary-noise and boundary-control,, Appl. Math. Optim., 62 (2010), 253. doi: 10.1007/s00245-010-9103-z.

[22]

R. K. Miller, Linear Volterra integrodifferential equations as semigroups,, Funkcial. Ekvac., 17 (1974), 39.

[23]

D. Nualart, Malliavin Calculus and Related Topics,, Probability and its Applications (New York), (2006).

[24]

B. Øksendal and T. Zhang, The stochastic Volterra equation,, in Barcelona Seminar on Stochastic Analysis (St. Feliu de Guíxols, (1991), 168.

[25]

B. Øksendal and T. Zhang, The general linear stochastic Volterra equations with anticipating coefficients,, in Stochastic Analysis and Applications (Powys, (1995), 343.

[26]

E. Pardoux, Nonlinear filtering, prediction and smoothing equations,, Stochastics, 6 (): 193. doi: 10.1080/17442508208833204.

[27]

J. Prüss, Evolutionary Integral Equations and Applications,, Monographs in Mathematics, (1993). doi: 10.1007/978-3-0348-8570-6.

[28]

W. R. Schneider and W. Wyss, Fractional diffusion and wave equations,, Journal of Mathematical Physics, 30 (1989), 134. doi: 10.1063/1.528578.

show all references

References:
[1]

O. P. Agrawal, Solution for a fractional diffusion-wave equation defined in a bounded domain,, Nonlinear Dynamics, 29 (2002), 145. doi: 10.1023/A:1016539022492.

[2]

S. A. Belbas, A new method for optimal control of Volterra integral equations,, Appl. Math. Comput., 189 (2007), 1902. doi: 10.1016/j.amc.2006.12.077.

[3]

S. Bonaccorsi, Some Applications in Malliavin Calculus,, Ph.D thesis, (1998).

[4]

S. Bonaccorsi and G. Desch, Volterra equations in Banach spaces with completely monotone kernels,, NoDEA Nonlinear Differential Equations Appl., 20 (2013), 557. doi: 10.1007/s00030-012-0167-0.

[5]

S. Bonaccorsi and E. Mastrogiacomo, An analytic approach to stochastic Volterra equations with completely monotone kernels,, J. Evol. Equ., 9 (2009), 315. doi: 10.1007/s00028-009-0010-1.

[6]

S. Bonaccorsi, F. Confortola and E. Mastrogiacomo, Optimal control for stochastic Volterra equations with completely monotone kernels,, SIAM J. Control Optim., 50 (2012), 748. doi: 10.1137/100782875.

[7]

P. Briand and F. Confortola, SDEs with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces,, Stochastic Process. Appl., 118 (2008), 818. doi: 10.1016/j.spa.2007.06.006.

[8]

F. Confortola and E. Mastrogiacomo, Optimal control for stochastic heat equation with memory,, Evolution Equations and Control Theory, 3 (2014), 35. doi: 10.3934/eect.2014.3.35.

[9]

G. Da Prato and J. Zabczyk, Evolution Equations with White-Noise Boundary Conditions,, Cambridge Univ. Press, (1993). doi: 10.1080/17442509308833817.

[10]

G. Da Prato and J. Zabczyk, Stochastic Equations in Infinite Dimensions,, Cambridge Univ. Press, (1992). doi: 10.1017/CBO9780511666223.

[11]

A. Debussche, M. Fuhrman and G. Tessitore, Optimal control of a stochastic heat equation with boundary-noise and boundary-control,, ESAIM Control Optim. Calc. Var., 13 (2007), 178. doi: 10.1051/cocv:2007001.

[12]

W. Desch and R. K. Miller, Exponential stabilization of Volterra integral equations with singular kernels,, J. Integral Equations Appl., 1 (1988), 397. doi: 10.1216/JIE-1988-1-3-397.

[13]

K. J. Engel and R. Nagel, One-parameter Semigroups for Linear Evolution Equations,, Graduate Texts in Math., (2000).

[14]

W. H. Fleming and H. M. Soner, Controlled Markov Processes and Viscosity Solutions,, Springer-Verlag, (1993).

[15]

M. Fuhrman and G. Tessitore, Nonlinear Kolmogorov equations in infinite dimensional spaces: The backward stochastic differential equations approach and applications to optimal control,, Ann. Probab., 30 (2002), 1397. doi: 10.1214/aop/1029867132.

[16]

G. Gripenberg, S. O. Londen and O. Staffans, Volterra Integral and Functional Equations,, Cambridge University Press, (1990). doi: 10.1017/CBO9780511662805.

[17]

A. Grorud and E. Pardoux, Intégrales Hilbertiennes anticipantes par rapport à un processus de Wienner cylindrique et calcul stochastique associé,, Appl. Math. Optim., 25 (1992), 31. doi: 10.1007/BF01184155.

[18]

K. W. Homan, An Analytic Semigroup Approach to Convolution Volterra Equations,, Ph.D. Thesis, (2003).

[19]

G. E. Ladas and V. Lakshmikantham, Differential Equations in Abstract Spaces,, Mathematics in Science and Engineering, (1972).

[20]

A. Lunardi, Analytic Semigroups and Optimal Regularity in Parabolic Problems,, 2013 reprint of the 1995 original, (1995).

[21]

F. Masiero, A stochastic optimal control problem for the heat equation on the halfline with dirichlet boundary-noise and boundary-control,, Appl. Math. Optim., 62 (2010), 253. doi: 10.1007/s00245-010-9103-z.

[22]

R. K. Miller, Linear Volterra integrodifferential equations as semigroups,, Funkcial. Ekvac., 17 (1974), 39.

[23]

D. Nualart, Malliavin Calculus and Related Topics,, Probability and its Applications (New York), (2006).

[24]

B. Øksendal and T. Zhang, The stochastic Volterra equation,, in Barcelona Seminar on Stochastic Analysis (St. Feliu de Guíxols, (1991), 168.

[25]

B. Øksendal and T. Zhang, The general linear stochastic Volterra equations with anticipating coefficients,, in Stochastic Analysis and Applications (Powys, (1995), 343.

[26]

E. Pardoux, Nonlinear filtering, prediction and smoothing equations,, Stochastics, 6 (): 193. doi: 10.1080/17442508208833204.

[27]

J. Prüss, Evolutionary Integral Equations and Applications,, Monographs in Mathematics, (1993). doi: 10.1007/978-3-0348-8570-6.

[28]

W. R. Schneider and W. Wyss, Fractional diffusion and wave equations,, Journal of Mathematical Physics, 30 (1989), 134. doi: 10.1063/1.528578.

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