• Corpus ID: 250451038

Existence of optimal controls for stochastic Volterra equations

@inproceedings{Cardenas2022ExistenceOO,
  title={Existence of optimal controls for stochastic Volterra equations},
  author={Andr'es C'ardenas and Sergio Pulido and Rafael Serrano},
  year={2022}
}
We provide sufficient conditions that guarantee the existence of relaxed optimal controls in the weak formulation of control problems for stochastic Volterra equations (SVEs). Our study can be applied to rough processes which arise when the kernel appearing in the controlled SVE is singular at zero. The proof of existence of relaxed optimal policies relies on the interaction between integrability hypotheses on the kernel, growth conditions on the running cost functional and on the coefficients of… 

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