On the maximum principle for optimal control problems of stochastic Volterra integral equations with delay

Abstract

In this paper, we prove both necessary and sufficient maximum principles for infinite horizon discounted control problems of stochastic Volterra integral equations with finite delay and a convex control domain. The corresponding adjoint equation is a novel class of infinite horizon anticipated backward stochastic Volterra integral equations. Our results can be applied to discounted control problems of stochastic delay differential equations and fractional stochastic delay differential equations. As an example, we consider a stochastic linear-quadratic regulator problem for a delayed fractional system. Based on the maximum principle, we prove the existence and uniqueness of the optimal control for this concrete example and obtain a new type of explicit Gaussian state-feedback representation formula for the optimal control.

28 pages

Cited by in corpus (2)

• Linear-quadratic stochastic Volterra controls I: Causal feedback strategies
• Linear-quadratic stochastic Volterra controls II: Optimal strategies and Riccati--Volterra equations