Feedback optimal control for stochastic Volterra equations with completely monotone kernels

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

Feedback optimal control for stochastic Volterra equations with completely monotone kernels

Fulvia Confortola ^1, and Elisa Mastrogiacomo ^2,

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

Abstract
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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 $x$.

Keywords: optimal control, backward stochastic differential equations, HJB equation, Stochastic Volterra integral equation, feedback law..

Mathematics Subject Classification: 45D05, 93E20, 60H3.

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.

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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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