Research-Spike Variations for Stochastic Volterra Integral Equations

Research

Probability & Statistics Seminar

Spike Variations for Stochastic Volterra Integral Equations

Speaker: Tianxiao Wang (Sichuan University)
Time: Jun 22, 2022, 15:00-16:00
Location: Tencent Meeting ID 585 560 286

Abstract

Spike variation technique plays a crucial role in deriving Pontryagin's type maximum principle of optimal control for deterministic and stochastic differential equation systems when the control domains are not assumed to be convex. It is expected that such a technique could be extended to the case of (forward) stochastic Volterra integral equations (FSVIEs). However, due to the lack of differentiability, the straightforward extension does not work. This report is to develop spike variations for FSVIEs and the corresponding cost functionals.