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Singular Control Of Stochastic Volterra Integral Equations
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.).ORCID iD: 0000-0003-1662-0215
Univ Mohamed Khider Biskra, Biskra, Algeria..
Univ Oslo, Dept Math, POB 1053, N-0316 Oslo, Norway..
Univ Mohamed Khider Biskra, Biskra, Algeria..
2022 (English)In: Acta Mathematica Scientia, ISSN 0252-9602, E-ISSN 1003-3998, Vol. 42, no 3, p. 1003-1017Article in journal (Refereed) Published
Abstract [en]

This paper deals with optimal combined singular and regular controls for stochastic Volterra integral equations, where the solution X-u,X-xi(t) =X(t) is given by X(t) = phi(t) + integral(t)(0) b (t, s, X(s), u(s)) ds + integral(t)(0) sigma (t, s, X(s), u(s)) dB(s) + integral(t )(0)h (t, s) d xi(s). Here dB(s) denotes the Brownian motion Ito type differential, xi denotes the singular control (singular in time t with respect to Lebesgue measure) and u denotes the regular control (absolutely continuous with respect to Lebesgue measure). Such systems may for example be used to model harvesting of populations with memory, where X(t) represents the population density at time t, and the singular control process xi represents the harvesting effort rate. The total income from the harvesting is represented by J(u, xi) = E[integral(T)(0) f(0)(t, X(t), u(t))dt + integral(T)(0) f(1)(t, X(t))d xi(t) + g(X(T))], for the given functions f(0), f(1) and g, where T > 0 is a constant denoting the terminal time of the harvesting. Note that it is important to allow the controls to be singular, because in some cases the optimal controls are of this type. Using Hida-Malliavin calculus, we prove sufficient conditions and necessary conditions of optimality of controls. As a consequence, we obtain a new type of backward stochastic Volterra integral equations with singular drift. Finally, to illustrate our results, we apply them to discuss optimal harvesting problems with possibly density dependent prices.

Place, publisher, year, edition, pages
Springer Nature , 2022. Vol. 42, no 3, p. 1003-1017
Keywords [en]
Stochastic maximum principle, stochastic Volterra integral equation, singular control, backward stochastic Volterra integral equation, Hida-Malliavin calculus
National Category
Mathematical Analysis
Identifiers
URN: urn:nbn:se:kth:diva-312209DOI: 10.1007/s10473-022-0311-9ISI: 000784562000011Scopus ID: 2-s2.0-85128715046OAI: oai:DiVA.org:kth-312209DiVA, id: diva2:1658379
Note

QC 20220516

Available from: 2022-05-16 Created: 2022-05-16 Last updated: 2022-06-25Bibliographically approved

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Agram, Nacira

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