Workshop: Optimization and Optimal Control
Time: Mon, October 20, 2008, 15:00-15:50
Speaker: Bernt Øksendal
Abstract
We study partial information optimal control problems for stochastic Volterra equations driven by Lévy processes.
In the first part we prove the existence and uniqueness of a solution for the partial information Volterra linear quadratic control (LQC) problem, and we give a characterization of the optimal control for such LQC problems.
In the second part we consider the general partial information stochastic control problem for Volterra equations, and we use Malliavin calculus to obtain a maximum principle type of characterization of the optimal control for such problems.
Finally, using the connection between stochastic delay equations and stochastic Voterra equations, we apply the result to find the optimal consumption rate from a cash flow described by a stochastic delay equation driven by Lévy processes.
The presentation is based on recent joint work with Tusheng Zhang.
Presentation slides (pdf, 673 KB)
URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php
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